|
corr |
corr_rnk |
ls |
g10_corr |
bigg_vs_zz500 |
smallg_vs_zz500 |
bigg_vs_zz1000 |
smallg_vs_zz1000 |
bigg_vs_hs300 |
smallg_vs_hs300 |
| 20260410_112338_mega_raw |
|
|
|
|
|
|
|
|
|
|
| -- size |
-0.110407 |
-0.196296 |
-0.007836 |
-0.878788 |
-0.002313 |
0.005523 |
-0.000559 |
0.007277 |
-0.001694 |
0.006142 |
| + beta |
0.116771 |
0.121658 |
0.009632 |
0.478788 |
0.000369 |
-0.009263 |
0.002123 |
-0.007509 |
0.000988 |
-0.008644 |
| - momentum |
-0.112403 |
-0.122742 |
-0.008322 |
-0.878788 |
-0.005092 |
0.003230 |
-0.003338 |
0.004984 |
-0.004473 |
0.003849 |
| -- residualvolatility |
-0.206324 |
-0.210892 |
-0.015022 |
-0.927273 |
-0.011660 |
0.003362 |
-0.009906 |
0.005116 |
-0.011041 |
0.003981 |
| -- nonlinearsize |
-0.118334 |
-0.182836 |
-0.008144 |
-0.951515 |
-0.002622 |
0.005523 |
-0.000867 |
0.007277 |
-0.002003 |
0.006142 |
| + btop |
-0.036013 |
-0.012459 |
0.000564 |
-0.006061 |
-0.001240 |
-0.001803 |
0.000515 |
-0.000049 |
-0.000621 |
-0.001184 |
| -- liquidity |
-0.131594 |
-0.135135 |
-0.009387 |
-0.854545 |
-0.006707 |
0.002679 |
-0.004953 |
0.004434 |
-0.006088 |
0.003298 |
| + earningsyield |
-0.043967 |
-0.039767 |
-0.003343 |
-0.296970 |
-0.002391 |
0.000952 |
-0.000637 |
0.002706 |
-0.001772 |
0.001571 |
| - growth |
0.013653 |
0.010880 |
0.002000 |
-0.018182 |
0.002484 |
0.000484 |
0.004239 |
0.002238 |
0.003103 |
0.001103 |
| - leverage |
-0.041874 |
-0.062225 |
-0.004016 |
-0.406061 |
-0.002403 |
0.001613 |
-0.000648 |
0.003367 |
-0.001784 |
0.002232 |