EGC CORE — FACTOR RISK BRIEFING

2026-03-31

| Prepared for Morning Review

FACTOR TILT SUMMARY

The book carries strong long tilts in LT Reversal (+0.787), Momentum (+0.651), and Liquidity (+0.475), reflecting a positioning style that favors large, liquid names with sustained prior-period outperformance. On the short side, the book is meaningfully negative on Growth (-0.240), Profitability (-0.227), Size (-0.224), Dividend Yield (-0.236), and Stock Crowding (-0.162), implying the shorts are concentrated in high-growth, lower-profitability names — consistent with fading crowded secular-growth trades (VST, NVDA, CRWV, META) against a long book skewed toward value-adjacent energy and cyclicals.

NOTABLE MOVES

• LT Reversal +0.154 (Δ1D): Largest single-session increase to an already dominant tilt (+0.787 net). Driven by VST and META on the short side deepening their negative LT Reversal exposure. Increases concentration risk in this factor.
• Momentum +0.252 (Δ1D): Extended an already large long tilt from ~+0.399 to +0.651. MU is the primary driver. The book is now carrying its heaviest Momentum exposure — flag if MU continues to run.
• Liquidity +0.181 (Δ1D): Pushed net to +0.475. Reinforces the large-cap liquid character of the long book. Not a risk concern directionally, but adds to factor crowding in the same names (MU, SNDK).
• ML Factor +0.212 (Δ1D): Net remains modest (+0.018), so the move was near-offsetting across long/short — monitor for directionality.
• Dividend Yield -0.139 (Δ1D): Net moved to -0.236, now a meaningful short tilt. Athabasca, XOM driving; consistent with energy longs being low-yield names while high-yield names are being shorted or underweighted.
• Leverage -0.132 (Δ1D): Net at -0.062, flipped further negative. VST and Athabasca are the primary movers in opposite directions — net effect is a modest increase in short-leverage bias.
• Stock Crowding -0.128 (Δ1D): Net at -0.162. The book is actively short crowded names and this tilt deepened materially today. Adds short-squeeze risk if crowded names rally.

CONCENTRATION RISK

LT Reversal (net +0.787, largest absolute exposure): Top-3 contributors — VST (+0.139), META (+0.102), MU (+0.068) — account for 17.0% of gross factor exposure. VST alone at -5.53% weight with LT Reversal z-score of -2.52 is the single dominant driver of this tilt. One name is carrying an outsized share of the book's largest factor position.

Momentum (net +0.651): Top-3 — MU (+0.124), VRT (-0.056), SNDK (+0.053) — represent 16.0% of gross exposure. MU at +5.20% weight with Momentum z-score of +2.38 is the dominant long-side contributor. MU also appears as a top-3 driver in Beta, Liquidity, LT Reversal, Earnings Quality, and Earnings Yield — MU is a multi-factor concentration point and the most systemically important single name in the book.

Liquidity (net +0.475): Top-3 — MU (+0.095), CRWV (-0.086), SNDK (+0.057) — represent 14.5% of gross exposure. MU and SNDK together anchor the long-side liquidity tilt; CRWV's short position works against it. Note CRWV appears as a top-3 driver in Growth, Residual Volatility, and Liquidity simultaneously — it is the most concentrated short-side multi-factor name.