Factor targets are pre-filled to offset the current portfolio's style exposures.
Constraints
Weighting Method
Basket Direction
Selects names with highest factor exposure — intended to be shorted to offset portfolio tilts.
Number of Names
Minimum ADV ($M)
Recommended — prevents basket from including names already held.
Country
US Only
Factor Targets
Basket will be shorted — targets show the portfolio's own exposure. Names are selected with the same directional tilt so that shorting them creates the offset.
| Factor | On | Target | Direction | Portfolio | Basket Exp | Portfolio Exp | Pro-Forma |
|---|---|---|---|---|---|---|---|
| Beta | — | — | — | — | |||
| Momentum | — | — | — | — | |||
| Size | — | — | — | — | |||
| Value | — | — | — | — | |||
| Growth | — | — | — | — | |||
| Residual Volatility | — | — | — | — | |||
| Profitability | — | — | — | — | |||
| Leverage | — | — | — | — | |||
| Liquidity | — | — | — | — | |||
| ST Reversal | — | — | — | — | |||
| LT Reversal | — | — | — | — | |||
| Stock Crowding | — | — | — | — | |||
| Earnings Quality | — | — | — | — | |||
| Short Interest | — | — | — | — | |||
| Earnings Yield | — | — | — | — | |||
| Dividend Yield | — | — | — | — | |||
| ML Factor | — | — | — | — |