Factor Research · 跨截面因子组合
Factor Portfolio
A long-only top-decile basket built from a 34-factor composite score, rebalanced monthly. Today's catalog is BULL, selected by the daily regime classifier.
As of 2026-07-10. Forward record since 2026-06-18 · 1 basket (1 active, 0 closed).
🌡️ Regime — BULL
Label
BULL
Score
+0.62
Catalog
BULL
Factors
34
Direction flips
0
BULL (score=0.62) | bullish: price_vs_ma+ma_slope+breadth+fear
📈 Forward record
Strategy
-3.8%
SPY benchmark
+0.6%
Alpha
-4.3%
Baskets
1
Rolling-IC strategy ●
-6.6%
Rolling-IC alpha
-7.3%
Rolling-IC baskets
1
📌 Current basket 25 holdings from 251 universe · rebalance 2026-06-18
| # | Symbol | Weight | Composite z | Period return |
|---|---|---|---|---|
| 1 | WDC | 4.0% | +1.18 | -18.8% |
| 2 | ARM | 4.0% | +1.17 | -21.7% |
| 3 | MRVL | 4.0% | +1.17 | -16.0% |
| 4 | STX | 4.0% | +1.12 | -16.5% |
| 5 | AMAT | 4.0% | +1.06 | -0.7% |
| 6 | NBIS | 4.0% | +1.05 | -23.0% |
| 7 | COF | 4.0% | +0.99 | -0.4% |
| 8 | MU | 4.0% | +0.98 | -4.9% |
| 9 | ALAB | 4.0% | +0.97 | +11.4% |
| 10 | HON | 4.0% | +0.89 | -2.3% |
| 11 | SNDK | 4.0% | +0.87 | -5.1% |
| 12 | LRCX | 4.0% | +0.83 | -5.6% |
| 13 | CRWV | 4.0% | +0.83 | -22.1% |
| 14 | CAT | 4.0% | +0.82 | -1.8% |
| 15 | MRNA | 4.0% | +0.79 | +23.9% |
| 16 | AAL | 4.0% | +0.76 | +10.6% |
| 17 | AXP | 4.0% | +0.75 | +1.8% |
| 18 | BA | 4.0% | +0.75 | -1.1% |
| 19 | GEV | 4.0% | +0.69 | +2.5% |
| 20 | AMD | 4.0% | +0.67 | +6.7% |
| 21 | HOOD | 4.0% | +0.67 | +9.4% |
| 22 | INTC | 4.0% | +0.66 | -7.1% |
| 23 | ASML | 4.0% | +0.66 | -3.4% |
| 24 | DLR | 4.0% | +0.66 | -4.1% |
| 25 | FER | 4.0% | +0.65 | -6.1% |
🔬 Information Coefficient — top factors cross-sectional Spearman, 21-day forward · 20 rebalances
| Rank | Factor | Family | mean IC | IR | Win % | Useful |
|---|---|---|---|---|---|---|
| 1 | bollinger_b_20d | reversal | +0.052 | +0.25 | 50% | — |
| 2 | beta_60d | risk | +0.068 | +0.21 | 60% | — |
| 3 | mean_revert_20d | reversal | +0.043 | +0.18 | 55% | — |
| 4 | rsi_14 | reversal | +0.033 | +0.15 | 50% | — |
| 5 | close_to_high_60d | momentum | +0.029 | +0.14 | 65% | — |
| 6 | momentum_1m | momentum | +0.027 | +0.12 | 60% | — |
| 7 | rs_1m_vs_spy | momentum | +0.027 | +0.12 | 60% | — |
| 8 | downside_vol_60d | risk | +0.033 | +0.12 | 55% | — |
| 9 | drawdown_3m | momentum | +0.029 | +0.11 | 55% | — |
| 10 | volatility_60d | risk | +0.034 | +0.11 | 60% | — |
⚠️ Worst 5 by IR (drop candidates or direction-flip targets)
| amihud_illiq_60d | liquidity | mean IC -0.030 | IR -0.21 | win 50% |
| momentum_6m | momentum | mean IC -0.007 | IR -0.04 | win 41% |
| sharpe_60d | momentum | mean IC -0.007 | IR -0.03 | win 60% |
| volume_momentum_60d | liquidity | mean IC -0.002 | IR -0.01 | win 45% |
| mean_revert_60d | reversal | mean IC +0.014 | IR +0.06 | win 65% |
Honest caveats
- Universe = today's SP500 — survivorship-biased; delisted losers excluded.
- IC sample is 20 monthly rebalances over ≈ 2 years — minimal statistical edge.
- Catalog is regime-tuned: BULL today (different weights kick in if regime flips).
- Forward record is real prices, equal-weight, no costs or slippage modelled.
- Rolling-IC track (G8) is an additive forward experiment — weights = each factor's trailing realized IC (no look-ahead, ≤ today's history only). The fixed-weight composite stays the production default; both NAVs accrue side-by-side pending forward evidence.