The factors tracked
These map roughly onto the standard Fama-French + extensions framework.
How exposure is computed
Each holding gets factor loadings from a regression of its returns on the factor return series. Your portfolio’s loading is the weighted sum of those holding-level loadings. A loading of +1.0 means full exposure to that factor (you move 1:1 with the factor). −1.0 means short exposure. 0 means flat.What you’ll see
Factor bar chart
Six bars, one per factor, showing your portfolio’s loading. Bars are color-coded — green for positive tilt, red for short tilt, gray for neutral.Factor regression
Statistical regression results: R² (how much of your return is explained by factors), per-factor t-stats (how reliable each loading is), residual alpha (the part not explained by factors). A high R² (>0.85) means your portfolio is mostly factor exposure dressed up as stock picking. A low R² (<0.6) means you’re doing something idiosyncratic — for better or worse.Per-holding factor breakdown
Sortable table — every holding’s contribution to each factor. Useful for “why am I so long momentum?” → click momentum column → sort descending → see which 3 names are doing it.Reading the result
How to use it
- After every rebalance — verify your tilts match your thesis
- When the market regime changes — e.g., when momentum cracks, you want to know how much momentum you actually own
- Before bragging or apologizing — high return on a momentum-tilted book during a momentum rally is not alpha. Check your R² and residual before celebrating.
Related
- Performance & attribution — the attribution view also breaks return down by factor
- Risk — IVaR helps locate concentrated risk; factor exposure helps locate concentrated style risk