EGC CORE — FACTOR RISK BRIEFING

2026-03-30

| Prior: 2026-03-27

FACTOR TILT SUMMARY

The book carries its largest net tilts in LT Reversal (+0.63), Momentum (+0.40), and Liquidity (+0.29) on the long side, against meaningful short tilts in Growth (-0.34), Profitability (-0.30), and Size (-0.26). The positioning reads as a contrarian-value recovery trade — long beaten-down, liquid, mean-reverting names (energy, cyclicals) while shorting high-growth, high-profitability compounders (mega-cap tech). The net beta tilt is modestly short (-0.09), consistent with a book that is defensively positioned against high-beta momentum longs in the market.

NOTABLE MOVES

• LT Reversal +0.1421 (largest single-day move): Tilt extended further long, now the dominant exposure at +0.63. Adds to an already outsized bet on mean reversion — increasing risk.
• Earnings Quality +0.1828: Net swung to +0.12 from near-flat; book now meaningfully long earnings quality for the first time. Direction of move worth monitoring.
• Beta -0.3816: Single largest absolute daily move. Pushed net beta tilt deeper short (-0.09). Driven by AVGO and AMD — reduces market sensitivity in the book.
• Growth -0.2000: Tilt extended further short (-0.34), reinforcing the anti-growth posture. Largest growth move in several sessions.
• Profitability -0.1859: Deepened the short tilt to -0.30. META, NVDA, GOOGL driving — these are core short positions, not new activity.
• Stock Crowding +0.1363: Moved from more negative to -0.03 (near flat). Crowding risk reduced, but the reversal in one day is notable — flag if it continues positive.
• Leverage +0.1437: Swung to net long +0.07. Prior date was near flat on this factor — a new directional tilt introduced overnight.
• Dividend Yield +0.1224 and Short Interest +0.1201: Both moved materially in the same session, both now net positive. Minor tilts individually but the co-movement warrants attention.

CONCENTRATION RISK

LT Reversal (net +0.63 — largest exposure in the book) Top-3 contributors account for 14.9% of gross factor exposure: META (+0.117), APA (+0.070), BTU (+0.060). META at +0.117 is the single largest driver — a short position with a very negative LT Reversal score, meaning it is doing significant work on this tilt. One name (META) is responsible for ~40% of the top-3 contribution. If META moves or is covered, this tilt compresses materially.

Momentum (net +0.39) Top-3 at 15.1% of gross: MU (+0.068), SNDK (+0.063), META (+0.053). Three names concentrated in semiconductors and a mega-cap short. MU is a top-10 long with a momentum z-score of +2.36 — high idiosyncratic momentum risk embedded in a single name.

Growth (net -0.34) Top-3 at 18.2% of gross — highest concentration ratio in the table: ATHABASCA OIL CORP (+0.116), AVGO (-0.073), CRWV (-0.052). ATHABASCA alone drives +0.116 of the long-side growth exposure; at 4.78% weight it is the largest long in the book. This is the most concentrated factor exposure by contributor share — a single illiquid energy name anchoring the anti-growth tilt is a meaningful idiosyncratic risk.