|
nsigma_corr |
nsigma_corr_rnk |
nsigma_ls |
nsigma_g10_corr |
nsigma_bigg_vs_zz500 |
nsigma_smallg_vs_zz500 |
nsigma_bigg_vs_zz1000 |
nsigma_smallg_vs_zz1000 |
nsigma_bigg_vs_hs300 |
nsigma_smallg_vs_hs300 |
| 20251205_145958_mega_nsigma |
|
|
|
|
|
|
|
|
|
|
| -- size |
-0.775678 |
-0.818996 |
-0.808914 |
-0.789835 |
-0.821092 |
0.578125 |
-0.717448 |
0.544132 |
0.089415 |
0.727771 |
| + beta |
1.568627 |
1.453333 |
1.239496 |
1.283301 |
0.857940 |
-1.120307 |
0.878174 |
-1.166288 |
0.919830 |
-0.373756 |
| - momentum |
1.041911 |
1.028561 |
0.898041 |
1.549888 |
0.896478 |
-0.349315 |
0.867610 |
-0.516998 |
0.938325 |
0.123564 |
| -- residualvolatility |
0.633174 |
0.381127 |
0.708607 |
0.366442 |
0.860463 |
0.201053 |
0.919024 |
0.014400 |
0.889089 |
0.602490 |
| -- nonlinearsize |
-0.499517 |
-0.624856 |
-0.359354 |
-0.594606 |
0.646693 |
0.578125 |
0.350636 |
0.544132 |
0.753315 |
0.727771 |
| + btop |
-0.855617 |
-0.484876 |
-0.699564 |
-1.249445 |
-0.133379 |
0.848413 |
-0.248689 |
0.906197 |
0.438054 |
0.873556 |
| -- liquidity |
1.425915 |
1.307569 |
1.085033 |
1.538436 |
0.876725 |
-0.348824 |
0.924194 |
-0.506914 |
0.907394 |
0.170052 |
| + earningsyield |
-1.359672 |
-1.219098 |
-1.232245 |
-1.297511 |
-0.738658 |
1.010307 |
-0.728725 |
1.077192 |
-0.028786 |
0.971784 |
| - growth |
0.319650 |
0.423603 |
0.156365 |
0.645844 |
0.676773 |
0.560988 |
0.658643 |
0.447163 |
0.769489 |
0.741396 |
| - leverage |
-0.369734 |
-0.145901 |
-0.088476 |
0.001336 |
0.059937 |
0.155040 |
-0.094386 |
0.005181 |
0.522949 |
0.477911 |