|
corr |
corr_rnk |
ls |
g10_corr |
bigg_vs_zz500 |
smallg_vs_zz500 |
bigg_vs_zz1000 |
smallg_vs_zz1000 |
bigg_vs_hs300 |
smallg_vs_hs300 |
| 20251205_145958_mega_raw |
|
|
|
|
|
|
|
|
|
|
| -- size |
-0.085548 |
-0.133940 |
-0.009721 |
-0.563636 |
-0.003782 |
0.005938 |
-0.004743 |
0.004978 |
0.000176 |
0.009897 |
| + beta |
0.204328 |
0.268822 |
0.016529 |
1.000000 |
0.008183 |
-0.008346 |
0.007222 |
-0.009307 |
0.012141 |
-0.004388 |
| - momentum |
0.105225 |
0.126286 |
0.008781 |
0.975758 |
0.006030 |
-0.002751 |
0.005070 |
-0.003711 |
0.009989 |
0.001207 |
| -- residualvolatility |
0.044778 |
-0.007408 |
0.005007 |
0.115152 |
0.006669 |
0.001662 |
0.005708 |
0.000702 |
0.010627 |
0.005620 |
| -- nonlinearsize |
-0.050834 |
-0.089362 |
-0.003599 |
-0.418182 |
0.002340 |
0.005938 |
0.001379 |
0.004978 |
0.006298 |
0.009897 |
| + btop |
-0.075444 |
-0.053909 |
-0.006766 |
-0.890909 |
-0.000952 |
0.005814 |
-0.001913 |
0.004853 |
0.003006 |
0.009772 |
| -- liquidity |
0.133667 |
0.143509 |
0.009235 |
0.963636 |
0.007182 |
-0.002053 |
0.006222 |
-0.003013 |
0.011141 |
0.001906 |
| + earningsyield |
-0.116246 |
-0.126759 |
-0.010606 |
-0.793939 |
-0.004197 |
0.006409 |
-0.005157 |
0.005448 |
-0.000238 |
0.010367 |
| - growth |
0.017108 |
0.026559 |
0.001132 |
0.369697 |
0.004282 |
0.003150 |
0.003321 |
0.002189 |
0.008240 |
0.007108 |
| - leverage |
-0.033734 |
-0.019759 |
-0.001384 |
-0.078788 |
-0.000124 |
0.001261 |
-0.001084 |
0.000300 |
0.003835 |
0.005219 |