Methodology

Recent buying or selling by corporate executives, directors, and major shareholders as reported in SEC Form 4 filings.

Why it matters: Insiders have deep knowledge of their company; unusual buying often precedes positive news, while heavy selling can signal concerns.

Tooltip copy: Executive/director trading patterns.

Percentile rank (0-100) of institutional holder quality based on Holder IQ scores.

Why it matters: Higher percentiles signal overlap with consistently skilled managers; sharp drops can flag crowding unwind risk.

Tooltip copy: Percentile rank of holder quality (0-100).

Direction of net changes by top-decile managers (accumulating, holding, or distributing).

Why it matters: Shows whether skilled managers are adding to or exiting a position.

Tooltip copy: Net adds/trims by top holders.

Weighted rate of smart-money exits based on net share reductions among top holders.

Why it matters: Rising exit pressure often precedes volatility or crowded unwind scenarios.

Tooltip copy: Higher means more smart money selling.

Z-score of disproportionate popularity using log-odds for over/under-ownership within a segment.

Why it matters: Positive values indicate segment crowding or conviction; negative values indicate avoidance.

Tooltip copy: Over/under-owned vs segment baseline.

Odds ratio of a filer segment holding the security versus the rest of the market.

Why it matters: Highlights when a specific cohort disproportionately favors a security.

Tooltip copy: Segment holding odds vs baseline.

Normalized crowding risk score (0-100) derived from ownership concentration and smart-money overlap.

Why it matters: Higher scores indicate crowded ownership and elevated unwind risk.

Tooltip copy: Crowding risk score (0-100).

Herfindahl-Hirschman Index of institutional ownership concentration (0-10,000 scale).

Why it matters: High concentration raises risk of forced selling and correlated exits.

Tooltip copy: Concentration index of top holders.

Quarterly holder turnover: (entries + exits) / (2 * average holders).

Why it matters: High churn suggests unstable ownership and higher price volatility.

Tooltip copy: Higher means faster holder turnover.

Quarter-over-quarter change in exposure among the largest filers.

Why it matters: Large whale flows can materially impact liquidity and price pressure.

Tooltip copy: Net whale buying or selling.

Stealth score capturing when position value changes faster than holder count.

Why it matters: Signals stealth accumulation or distribution even when holder counts look stable.

Tooltip copy: Hidden accumulation or distribution signal.

Change in factor exposures over time relative to prior snapshots or benchmarks.

Why it matters: Large drift means the portfolio is behaving differently than intended.

Tooltip copy: Exposure shifts vs prior period.

Degree of tilt away from neutral or benchmark exposures across the 18-factor model.

Why it matters: Imbalances drive unintended risk and can dominate performance.

Tooltip copy: Magnitude of factor tilts.

Sensitivity to overall market movements, measuring how much the portfolio moves with the broad market.

Why it matters: High beta amplifies gains in bull markets but increases losses during downturns. Understanding your market exposure is fundamental to risk management.

Tooltip copy: Market sensitivity (1.0 = market).

Company size measured by log market capitalization. Positive values indicate large-cap tilt, negative values indicate small-cap tilt.

Why it matters: Small caps historically outperform but with higher volatility. Size tilts drive meaningful return differences over time.

Tooltip copy: Large vs small cap exposure.

Captures non-linear size effects that affect the very smallest and largest companies differently.

Why it matters: Extreme size exposures (micro-caps or mega-caps) behave differently than mid-caps. This factor captures those edge effects.

Tooltip copy: Extreme size effects.

Value factor measuring book value relative to market price. Higher values indicate value stocks, lower values indicate growth stocks.

Why it matters: Value vs growth is one of the most persistent factor tilts. Value stocks often outperform long-term but can underperform for extended periods.

Tooltip copy: Value vs growth (book/price).

Earnings relative to price (inverse of P/E ratio). Higher values indicate cheaper stocks with more earnings per dollar invested.

Why it matters: High earnings yield stocks are often undervalued and may offer better risk-adjusted returns. Low yields signal growth expectations.

Tooltip copy: E/P ratio (inverse P/E).

Annual dividends relative to share price. Captures income orientation and often correlates with value and quality factors.

Why it matters: Dividend stocks provide income and often exhibit lower volatility. High dividend tilts can indicate defensive positioning.

Tooltip copy: Dividend income rate.

Historical and forecasted earnings growth rate. Captures exposure to companies with expanding earnings.

Why it matters: Growth stocks can deliver outsized returns but often trade at premium valuations, creating downside risk if growth disappoints.

Tooltip copy: Earnings growth rate.

Financial leverage measured by debt-to-equity ratio. Higher values indicate companies with more debt financing.

Why it matters: Leverage amplifies both gains and losses. High leverage portfolios face greater risk during economic stress.

Tooltip copy: Debt/equity ratio exposure.

60-month historical beta measuring correlation and volatility relative to the market benchmark.

Why it matters: Historical beta captures how a stock has moved with the market over time. It's a key input for estimating expected returns and portfolio risk.

Tooltip copy: 60-month historical beta vs market.

Captures non-linear beta effects where very high or very low beta stocks behave differently than expected.

Why it matters: Extreme beta stocks (very defensive or very aggressive) have unique risk characteristics not captured by linear beta.

Tooltip copy: Extreme beta effects.

Idiosyncratic (stock-specific) volatility not explained by market or factor movements.

Why it matters: High residual volatility means more stock-specific risk. These positions need more attention and may require larger position limits.

Tooltip copy: Stock-specific volatility.

Trading volume and ease of execution. Low liquidity stocks have wider spreads and higher market impact costs.

Why it matters: Illiquid positions are harder to exit during stress. High liquidity exposure typically indicates capacity for larger trades.

Tooltip copy: Trading ease (volume/spread).

Short-term price momentum measured over 3 weeks. Positive values indicate recent winners.

Why it matters: Short-term momentum often reverses (mean reversion), making high exposure risky. Useful for tactical timing.

Tooltip copy: Very short-term trend.

Intermediate-term price momentum (skipping the most recent month to avoid reversal effects).

Why it matters: Momentum is one of the strongest and most persistent factors. Winners tend to keep winning over 6-12 month horizons.

Tooltip copy: Medium-term price trend.

Very short-term return over the past 5 trading days. Captures immediate price action.

Why it matters: Very short-term returns often mean-revert. High exposure to recent winners may face near-term pullback risk.

Tooltip copy: One-week price change.

Percentage of shares sold short. High short interest indicates bearish sentiment from sophisticated investors.

Why it matters: Heavily shorted stocks can squeeze higher or validate bear cases. Understanding short exposure helps manage crowding risk.

Tooltip copy: % of shares sold short.

Percentage of shares owned by hedge funds and sophisticated institutional investors.

Why it matters: High hedge fund ownership creates crowding risk - when hedge funds exit together, selling pressure can be severe.

Tooltip copy: Hedge fund ownership %.

Percentage of shares owned by passive and index funds that track benchmarks.

Why it matters: High passive ownership provides stable demand but can reduce price discovery. Index inclusion/exclusion events create significant flows.

Tooltip copy: Index fund ownership %.

Short interest normalized by market capitalization. Identifies high short interest relative to company size.

Why it matters: Small companies with high short interest face greater squeeze risk. This ratio helps identify asymmetric setups.

Tooltip copy: Short interest vs company size.