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Mon, Sep 7

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57
  1. Latest
    Multi SourceHorizon inversion

    LQ1 full-input ElasticNet many factor rank v1: Higher‑ranked stocks led in the 10‑day window and lower‑ranked stocks led in the 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +4.99 means higher‑ranked stocks led; the 60‑day ICIR of –3.34 shows lower‑ranked stocks led, meaning the rank direction reversed between short and long horizons.
    Interpretation
    Walk-forward elasticnet forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.99
    ICIR · 20D+3.25
    ICIR · 60D-3.34
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0089
    IC historical percentile59.5%
    IC robust z+0.24
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.4%
    Spread Sharpe-2.56
    Evaluation dates85
    Peer percentile · 10D87.9%
    Measured peers356
    Nearest-peer IC correlation+0.91

    Factor

    #LQ1 full-input ElasticNet many factor rank v1

    Multi SourceHorizon inversionIntradayhistorical-evaluation
  2. Latest
    OtherHorizon inversion

    LQ1 Prior day residual open close: higher‑ranked stocks led over the 10‑day window and lower‑ranked stocks led over the 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +6.48, showing that higher‑ranked stocks led during that short horizon. The 60‑day ICIR is –2.60, indicating lower‑ranked stocks led over the longer period. This reversal means the factor’s signal flips direction when moving from a very short to a medium‑term view, so its usefulness depends on the investment horizon.
    Interpretation
    This factor ranks stocks using the registered LQ1 Prior day residual open close definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+6.48
    ICIR · 20D-0.68
    ICIR · 60D-2.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1061
    IC historical percentile92.4%
    IC robust z+1.51
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.1%
    Spread Sharpe-1.22
    Evaluation dates672
    Peer percentile · 10D85.3%
    Measured peers34
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day residual open close

    OtherHorizon inversionIntradayhistorical-evaluation
  3. Latest
    Price momentumHorizon inversion

    LQ1 Prior day last hour momentum: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –5.77, meaning lower‑ranked stocks outperformed higher‑ranked ones in that window. The 60‑day ICIR is +2.40, showing higher‑ranked stocks led over the longer horizon, so the factor’s short‑term and long‑term signals diverge.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.77
    ICIR · 20D+0.23
    ICIR · 60D+2.40
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0351
    IC historical percentile67.2%
    IC robust z+0.38
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.9%
    Spread Sharpe+1.98
    Evaluation dates618
    Peer percentile · 10D61.1%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day last hour momentum

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  4. Latest
    Price TechnicalPersistent ranking

    LQ25 Price acceleration 5d: lower‑ranked stocks led over 10 days, higher‑ranked over 20 and 60 days.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    The rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → shows a negative -4.47 over 10 days, meaning lower‑ranked stocks led; the less negative -2.13 over 20 days and -4.11 over 60 days show higher‑ranked stocks led as horizons lengthened. This means the rank direction changed with horizon.
    Interpretation
    This factor ranks stocks using the registered LQ25 Price acceleration 5d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-4.47
    ICIR · 20D-2.13
    ICIR · 60D-4.11
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0344
    IC historical percentile52.1%
    IC robust z+0.05
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-2.36
    Evaluation dates285
    Peer percentile · 10D1.1%
    Measured peers180
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Price acceleration 5d

    Price TechnicalPersistent rankingIntradayhistorical-evaluation
  5. Latest
    Mean reversionDaily outlier

    LQ25 full-input LightGBM reversal basket v1: lower‑ranked stocks led on the latest day with IC –0.222 at the 0th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2217, at +0.0 percentile of the factor's own history.
    Model
    The factor’s latest daily IC is –0.2217, placing it at the 0th percentile; this means lower‑ranked stocks led that day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –1.23 shows an inverse relationship over recent days, meaning the rank direction stayed the same and was more pronounced in the short window.
    Interpretation
    Within its liquid-stock universe, this factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-1.23
    ICIR · 20D-3.41
    ICIR · 60D-2.45
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2217
    IC historical percentile0.0%
    IC robust z-8.23
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.7%
    Spread Sharpe-1.07
    Evaluation dates192
    Peer percentile · 10D17.1%
    Measured peers356
    Nearest-peer IC correlation+0.91

    Factor

    #LQ25 full-input LightGBM reversal basket v1

    Mean reversionDaily outlierIntradayhistorical-evaluation
  6. Latest
    Thematic SectorShort-window strengthening

    LQ10 Defense aerospace and national security exposure: lower‑ranked stocks led over the 10‑day window; higher‑ranked stocks led over the 60‑day.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –7.87 shows lower‑ranked stocks led in that window; the 60‑day ICIR of –2.87 shows higher‑ranked stocks led over a longer horizon, meaning the rank direction changed between horizons.
    Interpretation
    This factor ranks stocks using the registered LQ10 Defense aerospace and national security exposure definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.87
    ICIR · 20D-6.48
    ICIR · 60D-2.87
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0118
    IC historical percentile60.5%
    IC robust z+0.35
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-1.71
    Evaluation dates285
    Peer percentile · 10D1.6%
    Measured peers63
    Nearest-peer IC correlation+0.98

    Factor

    #LQ10 Defense aerospace and national security exposure

    Thematic SectorShort-window strengtheningIntradayhistorical-evaluation
  7. Latest
    Price momentumHorizon inversion

    NC proxy for LQ25 Prior day residual open close: lower‑ranked stocks led over 10 days while higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –7.51, meaning lower‑ranked stocks led during the last 10 days; the long‑window ICIR is +0.30, showing higher‑ranked stocks led over 60 days. This means the rank direction changed from lower‑to‑higher when moving from a short to a longer horizon.
    Interpretation
    This factor tests whether stocks that rank strongly on its inputs continue to lead peers.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.51
    ICIR · 20D-0.32
    ICIR · 60D+0.30
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0034
    IC historical percentile53.8%
    IC robust z+0.16
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →38.4%
    Spread Sharpe-0.75
    Evaluation dates669
    Peer percentile · 10D47.2%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #NC proxy for LQ25 Prior day residual open close

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  8. Latest
    OtherHorizon inversion

    LQ25 Prior day residual open close: higher‑ranked stocks led over the 10‑day window and lower‑ranked stocks led over the 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.57 means higher‑ranked stocks led recent intraday moves, and the 60‑day ICIR of –3.03 shows lower‑ranked stocks dominated over a longer period. This sign reversal indicates that the rank direction changed from short to long horizons.
    Interpretation
    This factor ranks stocks using the registered LQ25 Prior day residual open close definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.57
    ICIR · 20D-0.41
    ICIR · 60D-3.03
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1068
    IC historical percentile93.3%
    IC robust z+1.58
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.7%
    Spread Sharpe-0.96
    Evaluation dates246
    Peer percentile · 10D91.2%
    Measured peers34
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Prior day residual open close

    OtherHorizon inversionIntradayhistorical-evaluation
  9. Latest
    Price momentumDaily outlier

    LQ5 Prior day open close return: lower‑ranked stocks led on the latest day, IC –0.276 at the 2.5th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2760, at +2.5 percentile of the factor's own history.
    Model
    The latest IC of –0.276 means lower‑ranked stocks led on the most recent day, a result in the 2.5th percentile of its own daily distribution. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –6.60 shows the same negative ranking direction, so the rank relationship stayed the same across horizons.
    Interpretation
    This factor ranks stocks by the previous session's open-to-close return, testing whether that day's relative winners and losers carry forward or reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2760
    IC historical percentile2.5%
    IC robust z-2.28
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-1.15
    Evaluation dates624
    Peer percentile · 10D52.8%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Prior day open close return

    Price momentumDaily outlierSame day to closehistorical-evaluation
  10. Latest
    ValuationHorizon inversion

    LQ1 full-input ElasticNet TA value quality v1: higher‑ranked stocks led over the last 10 days; lower‑ranked stocks dominated the past 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.67, meaning higher‑ranked stocks led recently; the 60‑day ICIR is –0.41, showing lower‑ranked stocks led over that period. This sign reversal indicates the factor’s ranking direction changed from short to long horizons.
    Interpretation
    This factor looks for attractively valued companies whose profitability and financial strength help distinguish durable value from businesses that are cheap for a reason.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.67
    ICIR · 20D+2.33
    ICIR · 60D-0.41
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0153
    IC historical percentile60.5%
    IC robust z+0.31
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →43.7%
    Spread Sharpe+0.81
    Evaluation dates87
    Peer percentile · 10D98.3%
    Measured peers356
    Nearest-peer IC correlation+0.89

    Factor

    #LQ1 full-input ElasticNet TA value quality v1

    ValuationHorizon inversionIntradayhistorical-evaluation
  11. Latest
    Market structureHorizon inversion

    VWAP-volume versus low-ADV correlation: lower‑ranked stocks led over 10 days and higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –7.23 shows lower‑ranked stocks led; the 60‑day ICIR of +2.70 shows higher‑ranked stocks led, meaning the rank direction reversed between horizons.
    Interpretation
    Boolean comparison of VWAP-volume correlation to low/ADV50 rank correlation. Computed over the daily alpha model universe and stored as a same-date cross-sectional rank z-scoreZ-scoreA standardized value expressed as its distance from the cross-sectional mean in estimated standard-deviation units.Open glossary entry →.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.23
    ICIR · 20D-2.33
    ICIR · 60D+2.70
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0219
    IC historical percentile27.7%
    IC robust z-0.59
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →55.5%
    Spread Sharpe+0.74
    Evaluation dates283
    Peer percentile · 10D0.5%
    Measured peers207
    Nearest-peer IC correlation+0.97

    Factor

    #VWAP-volume versus low-ADV correlation

    Market structureHorizon inversion2-5 dayshistorical-evaluation
  12. Latest
    FundamentalDaily outlier

    Low debt to equity: Lower‑ranked stocks outperformed on the most recent day, with a -0.118 IC at the 5.8th percentile and a short‑window ICIR of 0.52.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.1183, at +5.8 percentile of the factor's own history.
    Model
    The latest IC of -0.1183 at the 5.8th percentile shows lower‑ranked stocks led, and the short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of 0.52 means the rank direction stayed the same as in prior horizons.
    Interpretation
    Daily carry-forward inverted debt-to-equity.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+0.52
    ICIR · 20D+4.16
    ICIR · 60D+0.52
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1183
    IC historical percentile5.8%
    IC robust z-1.61
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →57.1%
    Spread Sharpe+1.93
    Evaluation dates105
    Peer percentile · 10D29.3%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #Low debt to equity

    FundamentalDaily outlierNext dayhistorical-evaluation
  13. Latest
    Price momentumHorizon inversion

    LQ1 Prior day last hour momentum: lower‑ranked stocks led over 10 days while higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –5.77, meaning lower‑ranked stocks led during that period; the 60‑day ICIR is +2.40, indicating higher‑ranked stocks led over the longer window. This shows the rank direction reversed between horizons, with short‑term momentum running opposite to long‑term trend.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.77
    ICIR · 20D+0.23
    ICIR · 60D+2.40
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0351
    IC historical percentile67.2%
    IC robust z+0.38
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.9%
    Spread Sharpe+1.98
    Evaluation dates618
    Peer percentile · 10D61.1%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day last hour momentum

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  14. Latest
    Thematic SectorPersistent ranking

    LQ25 Defense aerospace and national security exposure: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 20 and 60 days.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –4.82, meaning lower‑ranked stocks led; the 20‑day ICIR is –6.89 and the 60‑day ICIR is –3.34, showing higher‑ranked stocks led over those horizons. This means the rank direction changed between short and longer windows.
    Interpretation
    This factor ranks stocks using the registered LQ25 Defense aerospace and national security exposure definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-4.82
    ICIR · 20D-6.89
    ICIR · 60D-3.34
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0878
    IC historical percentile86.6%
    IC robust z+0.94
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-2.30
    Evaluation dates285
    Peer percentile · 10D14.3%
    Measured peers63
    Nearest-peer IC correlation+0.91

    Factor

    #LQ25 Defense aerospace and national security exposure

    Thematic SectorPersistent rankingIntradayhistorical-evaluation
  15. Latest
    LiquidityFast decay

    LQ1 ETF flow pressure 1d: lower‑ranked stocks led over the past 10 days and continued to lead over longer horizons.

    Now
    Ranking consistency is weaker in the 10-day window than in the 60-day record.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –0.03 shows that lower‑ranked stocks led over the short window, and the 60‑day ICIR of –2.79 means the reversal became more pronounced at longer horizons, indicating a consistent rank direction that strengthens with time.
    Interpretation
    This factor ranks stocks using the registered LQ1 ETF flow pressure 1d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.03
    ICIR · 20D-0.71
    ICIR · 60D-2.79
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0133
    IC historical percentile50.7%
    IC robust z+0.05
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →44.1%
    Spread Sharpe-3.80
    Evaluation dates68
    Peer percentile · 10D33.3%
    Measured peers50
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 ETF flow pressure 1d

    LiquidityFast decayNext dayhistorical-evaluation
  16. Latest
    LiquidityShort-window strengthening

    LQ10 Relative volume since open: higher‑ranked stocks led over the past 10 days and the advantage nearly disappears by 60 days.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.65 means higher‑ranked stocks led during that window; the 60‑day ICIR of +0.30 shows the lead almost disappears, so the rank direction is more pronounced at the short horizon.
    Interpretation
    This factor ranks stocks using the registered LQ10 Relative volume since open definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.65
    ICIR · 20D+3.54
    ICIR · 60D+0.30
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0246
    IC historical percentile52.9%
    IC robust z+0.13
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.2%
    Spread Sharpe+0.20
    Evaluation dates283
    Peer percentile · 10D78.6%
    Measured peers14
    Nearest-peer IC correlation+0.95

    Factor

    #LQ10 Relative volume since open

    LiquidityShort-window strengtheningSame day to closehistorical-evaluation
  17. Latest
    FundamentalDaily outlier

    EV EBITDA yield: higher‑ranked stocks led on the latest evaluated day with IC 0.256, 99th percentile, and a 10‑day ICIR of 5.97.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.2561, at +99.0 percentile of the factor's own history.
    Model
    The factor’s latest IC of +0.256, at the 99th percentile, means higher‑ranked stocks led on that day. The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +5.97 shows the ranking relationship was more pronounced over a short horizon than longer horizons.
    Interpretation
    Daily carry-forward inverse positive EV/EBITDA.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+5.97
    ICIR · 20D+1.19
    ICIR · 60D+2.51
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.2561
    IC historical percentile99.0%
    IC robust z+2.80
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.5%
    Spread Sharpe+0.39
    Evaluation dates101
    Peer percentile · 10D88.0%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #EV EBITDA yield

    FundamentalDaily outlierNext dayhistorical-evaluation
  18. Latest
    Positioning and flowsDaily outlier

    Cash flow yield: higher‑ranked stocks led on the most recent evaluation day with an IC of +0.3001, at the 99th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.3001, at +99.0 percentile of the factor's own history.
    Model
    The latest daily IC of +0.3001 means higher‑ranked stocks outperformed lower‑ranked ones on the most recent evaluation day, and this result sits at the 99th percentile of all historical daily ICs for the factor—an exceptionally rare event; with a rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +4.13 over ten days, the factor’s ranking relationship is more pronounced in the short horizon than in longer horizons.
    Interpretation
    Daily carry-forward inverse positive price/cash-flow.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.13
    ICIR · 20D+0.37
    ICIR · 60D+1.98
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.3001
    IC historical percentile99.0%
    IC robust z+2.49
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.5%
    Spread Sharpe+0.29
    Evaluation dates101
    Peer percentile · 10D71.4%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #Cash flow yield

    Positioning and flowsDaily outlierNext dayhistorical-evaluation
  19. Latest
    Mean reversionPersistent ranking

    LQ10 Prior 5d ten o clock reversal: higher‑ranked stocks led over 10 days, 20 days and 60 days with ICIRs of +3.21, +2.36 and +2.66.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    The ICIRs mean that higher‑ranked stocks led over all three horizons (+3.21, +2.36, +2.66). This shows the rank direction stayed the same across short, medium and long intraday windows.
    Interpretation
    Within its liquid-stock universe, this factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+3.21
    ICIR · 20D+2.36
    ICIR · 60D+2.66
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1605
    IC historical percentile13.4%
    IC robust z-0.94
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.2%
    Spread Sharpe+0.53
    Evaluation dates195
    Peer percentile · 10D8.3%
    Measured peers36
    Nearest-peer IC correlation+0.99

    Factor

    #LQ10 Prior 5d ten o clock reversal

    Mean reversionPersistent rankingSame day to closehistorical-evaluation
  20. Latest
    ValuationHorizon inversion

    LQ1 full-input ElasticNet TA value quality v1: higher‑ranked stocks led over 10 days, lower‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The factor’s 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.67, showing that higher‑ranked stocks led recently; the 60‑day ICIR is –0.41, showing lower‑ranked stocks led over the longer window. This means the rank direction changed from short to long horizons.
    Interpretation
    This factor looks for attractively valued companies whose profitability and financial strength help distinguish durable value from businesses that are cheap for a reason.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.67
    ICIR · 20D+2.33
    ICIR · 60D-0.41
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0153
    IC historical percentile60.5%
    IC robust z+0.31
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →43.7%
    Spread Sharpe+0.81
    Evaluation dates87
    Peer percentile · 10D98.3%
    Measured peers356
    Nearest-peer IC correlation+0.89

    Factor

    #LQ1 full-input ElasticNet TA value quality v1

    ValuationHorizon inversionIntradayhistorical-evaluation
  21. Latest
    OtherHorizon inversion

    LQ1 Prior day residual open close: higher‑ranked stocks led over the 10‑day window while lower‑ranked stocks led over the 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +6.48, showing that higher‑ranked stocks led during that short horizon. The 60‑day ICIR is –2.60, indicating lower‑ranked stocks led over the longer period. This reversal means the factor’s signal flips direction when moving from a very short to a medium‑term view, so its usefulness depends on the investment horizon.
    Interpretation
    This factor ranks stocks using the registered LQ1 Prior day residual open close definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+6.48
    ICIR · 20D-0.68
    ICIR · 60D-2.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1061
    IC historical percentile92.4%
    IC robust z+1.51
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.1%
    Spread Sharpe-1.22
    Evaluation dates672
    Peer percentile · 10D85.3%
    Measured peers34
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day residual open close

    OtherHorizon inversionIntradayhistorical-evaluation
  22. Latest
    Thematic SectorShort-window strengthening

    LQ10 Defense aerospace and national security exposure: lower‑ranked stocks led over the 10‑day window, higher‑ranked stocks led over 60 days.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –7.87 means lower‑ranked stocks led; the 60‑day ICIR of –2.87 means higher‑ranked stocks led, showing the rank direction reversed between horizons.
    Interpretation
    This factor ranks stocks using the registered LQ10 Defense aerospace and national security exposure definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.87
    ICIR · 20D-6.48
    ICIR · 60D-2.87
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0118
    IC historical percentile60.5%
    IC robust z+0.35
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-1.71
    Evaluation dates285
    Peer percentile · 10D1.6%
    Measured peers63
    Nearest-peer IC correlation+0.98

    Factor

    #LQ10 Defense aerospace and national security exposure

    Thematic SectorShort-window strengtheningIntradayhistorical-evaluation
  23. Latest
    Mean reversionShort-window strengthening

    LQ10 VWAP mean reversion: higher‑ranked stocks led over the 10‑day window while lower‑ranked stocks led over the 60‑day window.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.29 means higher‑ranked stocks led in that period; the 60‑day ICIR of +1.59 shows only modest outperformance over a longer horizon, so the rank direction is more pronounced at the short window.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by how far their current price has moved from volume-weighted average price, looking for stretched intraday moves that may reverse.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.29
    ICIR · 20D-2.37
    ICIR · 60D+1.59
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0262
    IC historical percentile39.5%
    IC robust z-0.28
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.0%
    Spread Sharpe-0.05
    Evaluation dates283
    Peer percentile · 10D36.1%
    Measured peers36
    Nearest-peer IC correlation+0.99

    Factor

    #LQ10 VWAP mean reversion

    Mean reversionShort-window strengtheningSame day to closehistorical-evaluation
  24. Latest
    Multi SourceHorizon inversion

    LQ1 full-input ElasticNet many factor rank v1: higher‑ranked stocks led over the 10‑day window and lower‑ranked stocks dominated the 60‑day period.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +4.99, meaning higher‑ranked stocks led in the short window; the 60‑day ICIR is –3.34, showing lower‑ranked stocks led over the long horizon. This means the rank direction changed from short to long horizons.
    Interpretation
    Walk-forward elasticnet forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.99
    ICIR · 20D+3.25
    ICIR · 60D-3.34
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0089
    IC historical percentile59.5%
    IC robust z+0.24
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.4%
    Spread Sharpe-2.56
    Evaluation dates85
    Peer percentile · 10D87.9%
    Measured peers356
    Nearest-peer IC correlation+0.91

    Factor

    #LQ1 full-input ElasticNet many factor rank v1

    Multi SourceHorizon inversionIntradayhistorical-evaluation
  25. Latest
    Price momentumDaily outlier

    LQ5 Prior day open close return: lower‑ranked stocks outperformed on the most recent day.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2760, at +2.5 percentile of the factor's own history.
    Model
    The latest daily IC is –0.276, placing this day in the 2.5th percentile; a negative IC means lower‑ranked stocks led that session. The rolling 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –6.60 shows that over short horizons the factor consistently ranks lower performers higher. This means the rank direction stayed the same across horizons.
    Interpretation
    This factor ranks stocks by the previous session's open-to-close return, testing whether that day's relative winners and losers carry forward or reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2760
    IC historical percentile2.5%
    IC robust z-2.28
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-1.15
    Evaluation dates624
    Peer percentile · 10D52.8%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Prior day open close return

    Price momentumDaily outlierSame day to closehistorical-evaluation
  26. Latest
    Price momentumHorizon inversion

    NC proxy for LQ25 Prior day residual open close: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –7.51 means lower‑ranked stocks led over the last 10 days. The long‑window ICIR of +0.30 shows higher‑ranked stocks led over the past 60 days. This indicates the rank direction changed between horizons.
    Interpretation
    This factor tests whether stocks that rank strongly on its inputs continue to lead peers.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.51
    ICIR · 20D-0.32
    ICIR · 60D+0.30
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0034
    IC historical percentile53.8%
    IC robust z+0.16
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →38.4%
    Spread Sharpe-0.75
    Evaluation dates669
    Peer percentile · 10D47.2%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #NC proxy for LQ25 Prior day residual open close

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  27. Latest
    Positioning and flowsFast decay

    LQ25 Money flow index 14d: lower‑ranked stocks led over the past 10 days and higher‑ranked stocks led after 60 days.

    Now
    Ranking consistency is weaker in the 10-day window than in the 60-day record.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –0.37, which shows lower‑ranked stocks led during that window; the 60‑day ICIR is –2.91, which shows higher‑ranked stocks led over a longer horizon. The rank direction changed between short and long horizons.
    Interpretation
    This factor ranks stocks using the registered LQ25 Money flow index 14d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.37
    ICIR · 20D-7.12
    ICIR · 60D-2.91
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0920
    IC historical percentile31.9%
    IC robust z-0.41
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-0.39
    Evaluation dates285
    Peer percentile · 10D37.2%
    Measured peers180
    Nearest-peer IC correlation+0.97

    Factor

    #LQ25 Money flow index 14d

    Positioning and flowsFast decayIntradayhistorical-evaluation
  28. Latest
    Price momentumHorizon inversion

    LQ1 Prior day last hour momentum: lower‑ranked stocks led over 10 days while higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –5.77, meaning lower‑ranked stocks led during that period; the 60‑day ICIR is +2.40, indicating higher‑ranked stocks led over the longer window. This shows the rank direction changed from short to long horizons.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.77
    ICIR · 20D+0.23
    ICIR · 60D+2.40
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0351
    IC historical percentile67.2%
    IC robust z+0.38
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.9%
    Spread Sharpe+1.98
    Evaluation dates618
    Peer percentile · 10D61.1%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day last hour momentum

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  29. Latest
    Mean reversionPersistent ranking

    Prior 5d ten o clock reversal: higher‑ranked stocks led over 10, 20 and 60 days with ICIRs of +4.28, +1.51 and +4.02.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    Higher‑ranked stocks led over all three windows, with ICIRs of +4.28 (10 days), +1.51 (20 days) and +4.02 (60 days). This pattern means the factor’s ranking direction stayed the same across horizons, showing consistent performance.
    Interpretation
    This factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.28
    ICIR · 20D+1.51
    ICIR · 60D+4.02
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0131
    IC historical percentile31.1%
    IC robust z-0.60
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →58.4%
    Spread Sharpe+3.85
    Evaluation dates622
    Peer percentile · 10D16.7%
    Measured peers36
    Nearest-peer IC correlation+0.90

    Factor

    #Prior 5d ten o clock reversal

    Mean reversionPersistent rankingSame day to closehistorical-evaluation
  30. Latest
    Mean reversionDaily outlier

    LightGBM reversal basket v1: Lower‑ranked stocks outperformed peers on the most recent day despite a strong short‑window ICIR.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.1475, at +0.0 percentile of the factor's own history.
    Model
    The factor’s most recent daily IC is -0.1475, placing it at the 0.0 percentile—meaning lower‑ranked stocks led that day. This shows a reversal from its usual pattern, where the short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +2.46 indicates higher‑ranked stocks normally lead. The rank direction changed on this day.
    Interpretation
    This factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+2.46
    ICIR · 20D+2.46
    ICIR · 60D+0.94
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1475
    IC historical percentile0.0%
    IC robust z-7.86
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →51.1%
    Spread Sharpe+0.29
    Evaluation dates137
    Peer percentile · 10D63.5%
    Measured peers356
    Nearest-peer IC correlation+0.86

    Factor

    #LightGBM reversal basket v1

    Mean reversionDaily outlierIntradayhistorical-evaluation
  31. Latest
    Price momentumDaily outlier

    LQ5 Prior day open close return: lower‑ranked stocks led on the latest day, IC = –0.276 at the 2.5th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2760, at +2.5 percentile of the factor's own history.
    Model
    The latest daily IC of –0.276 means lower‑ranked stocks outperformed higher‑ranked ones, a result at the 2.5th‑percentile of all historical daily ICs for this factor. Combined with a rolling 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –6.60, these figures show that the rank direction has stayed inverted over short horizons and is more pronounced than in longer windows.
    Interpretation
    This factor ranks stocks by the previous session's open-to-close return, testing whether that day's relative winners and losers carry forward or reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2760
    IC historical percentile2.5%
    IC robust z-2.28
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-1.15
    Evaluation dates624
    Peer percentile · 10D52.8%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Prior day open close return

    Price momentumDaily outlierSame day to closehistorical-evaluation
  32. Latest
    FundamentalDaily outlier

    EV sales yield: Higher‑ranked stocks led on the latest day with an IC of +0.302, topping its historical 100th percentile and outpacing the short‑term.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.3018, at +100.0 percentile of the factor's own history.
    Model
    The latest daily IC of +0.302 shows EV sales yield at its 100th percentile, meaning higher‑ranked stocks outperformed lower‑ranked ones that day; this result also exceeds the short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +1.88, indicating a more pronounced ranking relationship for the factor on this recent evaluation.
    Interpretation
    Daily carry-forward inverse positive EV/sales.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+1.88
    ICIR · 20D-1.55
    ICIR · 60D+1.08
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.3018
    IC historical percentile100.0%
    IC robust z+2.86
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.5%
    Spread Sharpe-0.72
    Evaluation dates101
    Peer percentile · 10D49.6%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #EV sales yield

    FundamentalDaily outlierNext dayhistorical-evaluation
  33. Latest
    OtherHorizon inversion

    LQ25 Prior day residual open close: higher‑ranked stocks led over the short 10‑day window; lower‑ranked stocks led over the long 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.57 shows that, in recent intraday trading, stocks ranked higher by LQ25 Prior day residual open close tended to outperform lower‑ranked ones. In contrast, the 60‑day ICIR of –3.03 indicates that over a longer horizon the lower‑ranked stocks outperformed, reversing the short‑term relationship and highlighting a horizon‑dependent shift in ranking effectiveness.
    Interpretation
    This factor ranks stocks using the registered LQ25 Prior day residual open close definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.57
    ICIR · 20D-0.41
    ICIR · 60D-3.03
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1068
    IC historical percentile93.3%
    IC robust z+1.58
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.7%
    Spread Sharpe-0.96
    Evaluation dates246
    Peer percentile · 10D91.2%
    Measured peers34
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Prior day residual open close

    OtherHorizon inversionIntradayhistorical-evaluation
  34. Latest
    Mean reversionPersistent ranking

    LQ10 Prior 5d ten o clock reversal: higher‑ranked stocks led over 10, 20 and 60 days with ICIRs of +3.21, +2.36 and +2.66.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    Higher‑ranked stocks led consistently across all three horizons, with ICIRs of +3.21 (10 days), +2.36 (20 days) and +2.66 (60 days). The factor’s 48.2% hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry → and spread Sharpe of 0.53 show that this ranking pattern is statistically significant and economically meaningful, indicating the rank direction stayed the same across horizons.
    Interpretation
    Within its liquid-stock universe, this factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Track sign consistency, hit rate, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+3.21
    ICIR · 20D+2.36
    ICIR · 60D+2.66
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1605
    IC historical percentile13.4%
    IC robust z-0.94
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.2%
    Spread Sharpe+0.53
    Evaluation dates195
    Peer percentile · 10D8.3%
    Measured peers36
    Nearest-peer IC correlation+0.99

    Factor

    #LQ10 Prior 5d ten o clock reversal

    Mean reversionPersistent rankingSame day to closehistorical-evaluation
  35. Latest
    Mean reversionDaily outlier

    LQ25 full-input LightGBM reversal basket v1: Lower‑ranked stocks led the latest day, with an IC of –0.22 at the 0th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2217, at +0.0 percentile of the factor's own history.
    Model
    The latest daily IC is –0.22, placing the factor at the 0th percentile of its historical distribution; this means lower‑ranked stocks led that day. The rolling 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –1.23 shows the same pattern over recent weeks, indicating the rank direction has stayed consistently negative across horizons.
    Interpretation
    Within its liquid-stock universe, this factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-1.23
    ICIR · 20D-3.41
    ICIR · 60D-2.45
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2217
    IC historical percentile0.0%
    IC robust z-8.23
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.7%
    Spread Sharpe-1.07
    Evaluation dates192
    Peer percentile · 10D17.1%
    Measured peers356
    Nearest-peer IC correlation+0.91

    Factor

    #LQ25 full-input LightGBM reversal basket v1

    Mean reversionDaily outlierIntradayhistorical-evaluation
  36. Latest
    Price TechnicalFast decay

    LQ5 OBV pressure 20d: lower‑ranked stocks led over the last 10 days and continued to lead on longer horizons.

    Now
    Ranking consistency is weaker in the 10-day window than in the 60-day record.
    Model
    The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –0.37 means lower‑ranked stocks led in that window, and the 60‑day ICIR of –2.52 shows they also led over a longer period; thus the rank direction stayed the same across horizons.
    Interpretation
    This factor ranks stocks using the registered LQ5 OBV pressure 20d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.37
    ICIR · 20D-2.07
    ICIR · 60D-2.52
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0527
    IC historical percentile35.4%
    IC robust z-0.34
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →40.9%
    Spread Sharpe-3.25
    Evaluation dates66
    Peer percentile · 10D37.8%
    Measured peers180
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 OBV pressure 20d

    Price TechnicalFast decayIntradayhistorical-evaluation
  37. Latest
    ValuationHorizon inversion

    LQ1 full-input ElasticNet TA value quality v1: higher‑ranked stocks led over the last 10 days, and lower‑ranked stocks led over the past 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.67, showing that higher‑ranked stocks led recently; the 60‑day ICIR is –0.41, indicating lower‑ranked stocks led over the longer window. This means the factor’s rank direction changed from short to long horizons.
    Interpretation
    This factor looks for attractively valued companies whose profitability and financial strength help distinguish durable value from businesses that are cheap for a reason.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.67
    ICIR · 20D+2.33
    ICIR · 60D-0.41
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0153
    IC historical percentile60.5%
    IC robust z+0.31
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →43.7%
    Spread Sharpe+0.81
    Evaluation dates87
    Peer percentile · 10D98.3%
    Measured peers356
    Nearest-peer IC correlation+0.89

    Factor

    #LQ1 full-input ElasticNet TA value quality v1

    ValuationHorizon inversionIntradayhistorical-evaluation
  38. Latest
    Price TechnicalPersistent ranking

    LQ25 Price acceleration 5d: lower‑ranked stocks led over 10 days, higher‑ranked over 20 and 60 days.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –4.47 means lower‑ranked stocks led; the 20‑day and 60‑day ICIRs of –2.13 and –4.11 mean higher‑ranked stocks led, so the rank direction changed between horizons.
    Interpretation
    This factor ranks stocks using the registered LQ25 Price acceleration 5d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-4.47
    ICIR · 20D-2.13
    ICIR · 60D-4.11
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0344
    IC historical percentile52.1%
    IC robust z+0.05
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-2.36
    Evaluation dates285
    Peer percentile · 10D1.1%
    Measured peers180
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Price acceleration 5d

    Price TechnicalPersistent rankingIntradayhistorical-evaluation
  39. Latest
    Mean reversionShort-window strengthening

    LQ10 VWAP mean reversion: higher‑ranked stocks led over the 10‑day window while lower‑ranked stocks led over the 60‑day window.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The +7.29 ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → over 10 days means higher‑ranked stocks led, and the +1.59 ICIR over 60 days also shows higher‑ranked stocks led; the effect is more pronounced at the short horizon.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by how far their current price has moved from volume-weighted average price, looking for stretched intraday moves that may reverse.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.29
    ICIR · 20D-2.37
    ICIR · 60D+1.59
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0262
    IC historical percentile39.5%
    IC robust z-0.28
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.0%
    Spread Sharpe-0.05
    Evaluation dates283
    Peer percentile · 10D36.1%
    Measured peers36
    Nearest-peer IC correlation+0.99

    Factor

    #LQ10 VWAP mean reversion

    Mean reversionShort-window strengtheningSame day to closehistorical-evaluation
  40. Latest
    Price momentumHorizon inversion

    LQ1 Prior day last hour momentum: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –5.77, meaning lower‑ranked stocks led during that short window; the 60‑day ICIR is +2.40, meaning higher‑ranked stocks led over the longer horizon. This shows the rank direction changed from short to long horizons.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.77
    ICIR · 20D+0.23
    ICIR · 60D+2.40
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0351
    IC historical percentile67.2%
    IC robust z+0.38
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.9%
    Spread Sharpe+1.98
    Evaluation dates618
    Peer percentile · 10D61.1%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day last hour momentum

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  41. Latest
    LiquidityShort-window strengthening

    LQ10 Relative volume since open: higher‑ranked stocks led over the short 10‑day window, and the long 60‑day relationship is almost flat.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.65 means higher‑ranked stocks led; the 60‑day ICIR of +0.30 shows almost no lead, so the rank direction is more pronounced in the short window.
    Interpretation
    This factor ranks stocks using the registered LQ10 Relative volume since open definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.65
    ICIR · 20D+3.54
    ICIR · 60D+0.30
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0246
    IC historical percentile52.9%
    IC robust z+0.13
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.2%
    Spread Sharpe+0.20
    Evaluation dates283
    Peer percentile · 10D78.6%
    Measured peers14
    Nearest-peer IC correlation+0.95

    Factor

    #LQ10 Relative volume since open

    LiquidityShort-window strengtheningSame day to closehistorical-evaluation
  42. Latest
    Price momentumHorizon inversion

    NC proxy for LQ25 Prior day residual open close: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –7.51, meaning lower‑ranked stocks led during the last 10 days; the long‑window ICIR is +0.30, showing higher‑ranked stocks led over 60 days. This means the rank direction changed from lower‑to‑higher as the horizon lengthened.
    Interpretation
    This factor tests whether stocks that rank strongly on its inputs continue to lead peers.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.51
    ICIR · 20D-0.32
    ICIR · 60D+0.30
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0034
    IC historical percentile53.8%
    IC robust z+0.16
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →38.4%
    Spread Sharpe-0.75
    Evaluation dates669
    Peer percentile · 10D47.2%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #NC proxy for LQ25 Prior day residual open close

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  43. Latest
    FundamentalDaily outlier

    EV EBITDA yield: higher‑ranked stocks led on the latest evaluated day with IC 0.256, 99th percentile, and a 10‑day ICIR of 5.97.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.2561, at +99.0 percentile of the factor's own history.
    Model
    The factor’s latest IC of +0.256, at the 99th percentile, means higher‑ranked stocks led on that day. The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +5.97 shows the ranking relationship was more pronounced over a short horizon than over longer horizons.
    Interpretation
    Daily carry-forward inverse positive EV/EBITDA.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+5.97
    ICIR · 20D+1.19
    ICIR · 60D+2.51
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.2561
    IC historical percentile99.0%
    IC robust z+2.80
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.5%
    Spread Sharpe+0.39
    Evaluation dates101
    Peer percentile · 10D88.0%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #EV EBITDA yield

    FundamentalDaily outlierNext dayhistorical-evaluation
  44. Latest
    FundamentalDaily outlier

    Low debt to equity: Lower‑ranked stocks outperformed on the most recent day, with a -0.118 IC at the 5.8th percentile and a short‑window ICIR of 0.52.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.1183, at +5.8 percentile of the factor's own history.
    Model
    The latest daily IC of -0.1183 at the 5.8th percentile shows lower‑ranked stocks led, and the short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of 0.52 means the rank direction stayed the same as in prior horizons.
    Interpretation
    Daily carry-forward inverted debt-to-equity.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+0.52
    ICIR · 20D+4.16
    ICIR · 60D+0.52
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1183
    IC historical percentile5.8%
    IC robust z-1.61
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →57.1%
    Spread Sharpe+1.93
    Evaluation dates105
    Peer percentile · 10D29.3%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #Low debt to equity

    FundamentalDaily outlierNext dayhistorical-evaluation
  45. Latest
    Price momentumDaily outlier

    LQ5 Prior day open close return: lower‑ranked stocks led on the latest day, IC = –0.276 at the 2.5th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2760, at +2.5 percentile of the factor's own history.
    Model
    The latest IC is –0.276, placing the factor in its 2.5th percentile; this means lower‑ranked stocks led on that day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –6.60 shows the same inverse ranking relationship at the 10‑day horizon, indicating the rank direction stayed the same across horizons.
    Interpretation
    This factor ranks stocks by the previous session's open-to-close return, testing whether that day's relative winners and losers carry forward or reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2760
    IC historical percentile2.5%
    IC robust z-2.28
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-1.15
    Evaluation dates624
    Peer percentile · 10D52.8%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Prior day open close return

    Price momentumDaily outlierSame day to closehistorical-evaluation
  46. Latest
    Mean reversionPersistent ranking

    Prior 5d ten o clock reversal: higher‑ranked stocks led over 10, 20 and 60 days with ICIRs of +4.28, +1.51 and +4.02.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    Higher‑ranked stocks led over all three windows, with ICIRs of +4.28 (10 days), +1.51 (20 days) and +4.02 (60 days). This means the factor’s ranking direction stayed the same across horizons, showing consistent performance.
    Interpretation
    This factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.28
    ICIR · 20D+1.51
    ICIR · 60D+4.02
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0131
    IC historical percentile31.1%
    IC robust z-0.60
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →58.4%
    Spread Sharpe+3.85
    Evaluation dates622
    Peer percentile · 10D16.7%
    Measured peers36
    Nearest-peer IC correlation+0.90

    Factor

    #Prior 5d ten o clock reversal

    Mean reversionPersistent rankingSame day to closehistorical-evaluation
  47. Latest
    Multi SourceShort-window strengthening

    LQ25 LightGBM many factor raw v1: higher‑ranked stocks led over the 10‑day window and lower‑ranked stocks led over the 60‑day window.

    Now
    Ranking consistency is strongest in the 10-day window and declines across longer horizons.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.97 means higher‑ranked stocks led; the 60‑day ICIR of +0.50 shows lower‑ranked stocks led, indicating the rank direction changed between horizons.
    Interpretation
    Walk-forward lightgbm forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.97
    ICIR · 20D+6.38
    ICIR · 60D+0.50
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0126
    IC historical percentile51.9%
    IC robust z+0.02
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →56.2%
    Spread Sharpe-0.90
    Evaluation dates80
    Peer percentile · 10D99.4%
    Measured peers356
    Nearest-peer IC correlation+1.00

    Factor

    #LQ25 LightGBM many factor raw v1

    Multi SourceShort-window strengtheningIntradayhistorical-evaluation
  48. Latest
    Multi SourceHorizon inversion

    LQ1 full-input ElasticNet many factor rank v1: higher‑ranked stocks led over the 10‑day window and lower‑ranked stocks dominated the 60‑day period.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +4.99 means higher‑ranked stocks led; the 60‑day ICIR of –3.34 shows lower‑ranked stocks led, so the rank direction reversed between horizons.
    Interpretation
    Walk-forward elasticnet forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.99
    ICIR · 20D+3.25
    ICIR · 60D-3.34
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0089
    IC historical percentile59.5%
    IC robust z+0.24
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.4%
    Spread Sharpe-2.56
    Evaluation dates85
    Peer percentile · 10D85.7%
    Measured peers356
    Nearest-peer IC correlation+0.91

    Factor

    #LQ1 full-input ElasticNet many factor rank v1

    Multi SourceHorizon inversionIntradayhistorical-evaluation
  49. Latest
    Thematic SectorPersistent ranking

    LQ25 Defense aerospace and national security exposure: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 20 and 60 days.

    Now
    The ranking relationship keeps the same direction across the 10-, 20-, and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –4.82, meaning lower‑ranked stocks led; the 20‑day ICIR is –6.89 and the 60‑day ICIR is –3.34, showing higher‑ranked stocks led over those horizons. This shows that the rank direction changed between short and longer windows.
    Interpretation
    This factor ranks stocks using the registered LQ25 Defense aerospace and national security exposure definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-4.82
    ICIR · 20D-6.89
    ICIR · 60D-3.34
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0878
    IC historical percentile86.6%
    IC robust z+0.94
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-2.30
    Evaluation dates285
    Peer percentile · 10D14.3%
    Measured peers63
    Nearest-peer IC correlation+0.91

    Factor

    #LQ25 Defense aerospace and national security exposure

    Thematic SectorPersistent rankingIntradayhistorical-evaluation
  50. Latest
    Mean reversionDaily outlier

    LightGBM reversal basket v1: Lower‑ranked stocks led on the latest evaluated day with a negative IC of –0.15, the worst daily result ever.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.1475, at +0.0 percentile of the factor's own history.
    Model
    The latest daily IC of –0.15 sits at the 0th percentile, meaning lower‑ranked stocks led that day. The short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of 2.46 shows the factor usually ranks high performers, so this reversal indicates a rare tail event where the rank direction changed dramatically.
    Interpretation
    This factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+2.46
    ICIR · 20D+2.46
    ICIR · 60D+0.94
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1475
    IC historical percentile0.0%
    IC robust z-7.86
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →51.1%
    Spread Sharpe+0.29
    Evaluation dates137
    Peer percentile · 10D63.5%
    Measured peers356
    Nearest-peer IC correlation+0.86

    Factor

    #LightGBM reversal basket v1

    Mean reversionDaily outlierIntradayhistorical-evaluation
  51. Latest
    OtherHorizon inversion

    LQ25 Prior day residual open close: higher‑ranked stocks led over the 10‑day window and lower‑ranked stocks led over the 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +7.57 means higher‑ranked stocks led; the 60‑day ICIR of –3.03 shows lower‑ranked stocks led, so the rank direction reversed between horizons.
    Interpretation
    This factor ranks stocks using the registered LQ25 Prior day residual open close definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.57
    ICIR · 20D-0.41
    ICIR · 60D-3.03
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1068
    IC historical percentile93.3%
    IC robust z+1.58
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.7%
    Spread Sharpe-0.96
    Evaluation dates246
    Peer percentile · 10D91.2%
    Measured peers34
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Prior day residual open close

    OtherHorizon inversionIntradayhistorical-evaluation
  52. Latest
    Positioning and flowsFast decay

    LQ25 Money flow index 14d: lower‑ranked stocks led over the past 10 days; higher‑ranked dominated after 60 days.

    Now
    Ranking consistency is weaker in the 10-day window than in the 60-day record.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –0.37, which shows lower‑ranked stocks led over the short window. The 60‑day ICIR is –2.91, which shows higher‑ranked stocks led after a longer period. This means the rank direction changed between horizons.
    Interpretation
    This factor ranks stocks using the registered LQ25 Money flow index 14d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.37
    ICIR · 20D-7.12
    ICIR · 60D-2.91
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0920
    IC historical percentile31.9%
    IC robust z-0.41
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe-0.39
    Evaluation dates285
    Peer percentile · 10D37.2%
    Measured peers180
    Nearest-peer IC correlation+0.97

    Factor

    #LQ25 Money flow index 14d

    Positioning and flowsFast decayIntradayhistorical-evaluation
  53. Latest
    Positioning and flowsDaily outlier

    Cash flow yield: higher‑ranked stocks led with an IC of +0.3001 at the 99th percentile and a short‑window rolling ICIR of +4.13.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.3001, at +99.0 percentile of the factor's own history.
    Model
    The factor’s latest daily IC of +0.3001 places it at the 99th percentile, meaning higher‑ranked stocks led on this day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +4.13 shows that over the past ten days the ranking direction was more pronounced than at longer horizons.
    Interpretation
    Daily carry-forward inverse positive price/cash-flow.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.13
    ICIR · 20D+0.37
    ICIR · 60D+1.98
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.3001
    IC historical percentile99.0%
    IC robust z+2.49
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.5%
    Spread Sharpe+0.29
    Evaluation dates101
    Peer percentile · 10D71.4%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #Cash flow yield

    Positioning and flowsDaily outlierNext dayhistorical-evaluation
  54. Latest
    Price momentumHorizon inversion

    LQ1 Prior day last hour momentum: lower‑ranked stocks led over 10 days, higher‑ranked stocks led over 60 days.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is –5.77, meaning lower‑ranked stocks led during that short window; the 60‑day ICIR is +2.40, showing higher‑ranked stocks led over the longer horizon. This means the rank direction changed from lower‑to‑higher as the horizon extended.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.77
    ICIR · 20D+0.23
    ICIR · 60D+2.40
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0351
    IC historical percentile67.2%
    IC robust z+0.38
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.9%
    Spread Sharpe+1.98
    Evaluation dates618
    Peer percentile · 10D61.1%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day last hour momentum

    Price momentumHorizon inversionSame day to closehistorical-evaluation
  55. Latest
    OtherHorizon inversion

    LQ1 Prior day residual open close: higher‑ranked stocks led over the short 10‑day window, and lower‑ranked stocks led over the long 60‑day window.

    Now
    The ranking relationship reverses between the 10-day and 60-day windows.
    Model
    The 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +6.48 means higher‑ranked stocks recently outperformed lower‑ranked ones; the 60‑day ICIR of –2.60 shows lower‑ranked stocks led over a longer horizon, so the rank direction reversed between short and long windows.
    Interpretation
    This factor ranks stocks using the registered LQ1 Prior day residual open close definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+6.48
    ICIR · 20D-0.68
    ICIR · 60D-2.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1061
    IC historical percentile92.4%
    IC robust z+1.51
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.1%
    Spread Sharpe-1.22
    Evaluation dates672
    Peer percentile · 10D85.3%
    Measured peers34
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Prior day residual open close

    OtherHorizon inversionIntradayhistorical-evaluation
  56. Latest
    FundamentalDaily outlier

    EV sales yield: higher‑ranked stocks led on the latest day with an IC of +0.302 at the 100th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.3018, at +100.0 percentile of the factor's own history.
    Model
    The latest daily IC of +0.302 at the 100th percentile means higher‑ranked stocks led that day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +1.88 shows that over the past ten days higher‑ranked stocks consistently outperformed lower‑ranked ones, indicating a more pronounced lead by the factor’s top‑ranked group.
    Interpretation
    Daily carry-forward inverse positive EV/sales.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+1.88
    ICIR · 20D-1.55
    ICIR · 60D+1.08
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.3018
    IC historical percentile100.0%
    IC robust z+2.86
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.5%
    Spread Sharpe-0.72
    Evaluation dates101
    Peer percentile · 10D49.6%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #EV sales yield

    FundamentalDaily outlierNext dayhistorical-evaluation
  57. Latest
    FundamentalDaily outlier

    Low debt to equity: lower‑ranked stocks led on the latest day with an IC of –0.118 at the 5.8th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.1183, at +5.8 percentile of the factor's own history.
    Model
    The latest daily IC of –0.118 at the 5.8th percentile means lower‑ranked stocks outperformed higher‑ranked ones, a reversal from the usual +0.52 short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → that shows higher‑ranked stocks leading. Thus the rank direction changed on this day.
    Interpretation
    Daily carry-forward inverted debt-to-equity.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+0.52
    ICIR · 20D+4.16
    ICIR · 60D+0.52
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1183
    IC historical percentile5.8%
    IC robust z-1.61
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →57.1%
    Spread Sharpe+1.93
    Evaluation dates105
    Peer percentile · 10D29.3%
    Measured peers133
    Nearest-peer IC correlation+1.00

    Factor

    #Low debt to equity

    FundamentalDaily outlierNext dayhistorical-evaluation

Factor commentary is provided for research and educational purposes. It is not investment advice, a recommendation, or an instruction to trade any security.