Factors — US
Provisional US factor map, OOS since 2023-01-01 — compared against the Thai zoo verdicts.
Survivorship warning. verbatim warning: backfill uses TODAY'S index members — results optimistic, especially momentum/quality; fundamentals start 2023-07 (oos-only)
Verdict counts
provisional research, not tradeable
Core
3
Works
0
Marginal
1
None
61
US factor map
verdict vs. the same factor's Thai verdict — the cross-market read
| Factor | Theme | t (5D) | t (20D) | IC (20D) | US verdict | Thailand | |
|---|---|---|---|---|---|---|---|
| sect_rel_quality | SectorRel | -2.94 | -3.53 | -0.041 | NONE | invertedoos-only | NONE |
| pead | Earnings | 1.12 | 3.43 | 0.060 | NONE | oos-only | NONE |
| low_downside_vol | Low-Risk | -2.00 | -2.28 | -0.066 | CORE | inverted | WORKS |
| low_volatility | Low-Risk | -2.04 | -2.21 | -0.069 | CORE | inverted | WORKS |
| quality_profitability | Quality | -1.82 | -2.14 | -0.028 | NONE | invertedoos-only | NONE |
| low_beta | Low-Risk | -2.23 | -2.03 | -0.092 | CORE | inverted | MARGINAL |
| anti_lottery | Behavioral | -2.16 | -2.00 | -0.055 | MARGINAL | inverted | WORKS |
| ebit_profitability | QualityPlus | -1.87 | -1.99 | -0.031 | NONE | invertedoos-only | NONE |
| low_idio_vol | Low-Risk | -1.68 | -1.89 | -0.044 | NONE | inverted | CORE |
| growth_earnings | Growth | 2.44 | 1.86 | 0.033 | NONE | oos-only | MARGINAL |
| earnings_acceleration | Earnings | 0.74 | 1.84 | 0.016 | NONE | oos-only | NONE |
| solvency | Forensic | -1.82 | -1.77 | -0.032 | NONE | invertedoos-only | NONE |
| quality_low_leverage | Quality | -2.05 | -1.76 | -0.026 | NONE | invertedoos-only | WORKS |
| sect_rel_low_vol | SectorRel | -1.67 | -1.51 | -0.030 | NONE | inverted | WORKS |
| quality_margin | Quality | -0.08 | -1.34 | -0.008 | NONE | invertedoos-only | WORKS |
| dividend_yield | Income | -1.18 | -1.31 | -0.030 | NONE | inverted | CORE |
| close_strength_5d | ShortHorizon | 0.26 | 1.21 | 0.007 | NONE | NONE | |
| cash_profitability | QualityPlus | -1.04 | -1.19 | -0.017 | NONE | invertedoos-only | NONE |
| sect_rel_value_breakout | SectorRel | -1.00 | -1.18 | -0.000 | NONE | inverted | WORKS |
| trend_near_highs | Structure | -1.03 | -1.10 | -0.009 | NONE | inverted | NONE |
| low_skew | Behavioral | -1.58 | -0.99 | -0.016 | NONE | inverted | WORKS |
| intraday_fade | ShortHorizon | 1.10 | 0.87 | 0.001 | NONE | NONE | |
| momentum_2w | Momentum | -0.02 | -0.85 | 0.010 | NONE | NONE | |
| growth_revenue | Growth | 1.53 | 0.85 | 0.024 | NONE | oos-only | NONE |
| volume_streak | Volume | -0.18 | -0.85 | -0.001 | NONE | inverted | NONE |
| liquidity_shock | Volume | 0.42 | -0.85 | 0.004 | NONE | NONE | |
| volume_surge | Volume | 0.62 | -0.84 | 0.003 | NONE | MARGINAL | |
| idio_reversal_5d | ShortHorizon | 0.92 | -0.82 | -0.002 | NONE | inverted | NONE |
| value_breakout_5d | Volume | -1.01 | -0.80 | 0.000 | NONE | WORKS | |
| volume_breakout_5d | Volume | -0.67 | -0.77 | 0.000 | NONE | WORKS | |
| near_52w_high | Structure | -0.48 | -0.77 | -0.001 | NONE | inverted | MARGINAL |
| sect_rel_dividend | SectorRel | -0.99 | -0.76 | -0.010 | NONE | inverted | WORKS |
| sector_momentum_60d | SectorRotation | -0.30 | -0.76 | -0.008 | NONE | inverted | NONE |
| asset_turnover | QualityPlus | -0.72 | -0.72 | -0.009 | NONE | invertedoos-only | MARGINAL |
| no_profit_without_cash | Forensic | -2.16 | -0.72 | -0.008 | NONE | invertedoos-only | NONE |
| liquidity | Liquidity | -0.88 | -0.70 | -0.013 | NONE | inverted | CORE |
| reversal_1d | ShortHorizon | 0.85 | 0.70 | 0.001 | NONE | MARGINAL | |
| reversal_3d | ShortHorizon | 1.18 | 0.63 | 0.000 | NONE | NONE | |
| intraday_momentum_20d | ShortHorizon | 0.39 | 0.56 | 0.032 | NONE | NONE | |
| earnings_surprise_sue | Earnings | 1.54 | 0.56 | 0.009 | NONE | oos-only | WORKS |
| gap_fade | ShortHorizon | -0.19 | -0.53 | -0.001 | NONE | inverted | NONE |
| momentum_6m | Momentum | 0.60 | 0.52 | 0.017 | NONE | NONE | |
| short_term_reversal | Reversal | 0.88 | -0.52 | -0.005 | NONE | inverted | NONE |
| accumulation | Volume | 0.44 | 0.51 | 0.012 | NONE | BACKFIRES | |
| overnight_persistence | ShortHorizon | 0.71 | -0.46 | 0.006 | NONE | CORE | |
| sect_rel_book_value | SectorRel | 0.18 | 0.46 | 0.009 | NONE | oos-only | NONE |
| stable_leverage | Forensic | -1.32 | -0.45 | -0.011 | NONE | invertedoos-only | NONE |
| accumulation_days_5d | Volume | -1.45 | 0.44 | 0.002 | NONE | NONE | |
| sect_rel_momentum | SectorRel | 0.89 | 0.42 | 0.022 | NONE | NONE | |
| momentum_intermediate | Momentum | 1.21 | 0.40 | 0.027 | NONE | NONE | |
| cash_flow_yield | QualityPlus | -0.53 | -0.39 | -0.010 | NONE | invertedoos-only | CORE |
| value_earnings_yield | Value | 0.07 | 0.33 | -0.002 | NONE | invertedoos-only | WORKS |
| sector_momentum_20d | SectorRotation | -0.44 | -0.22 | 0.004 | NONE | NONE | |
| clean_accruals | Forensic | -0.34 | -0.21 | -0.002 | NONE | invertedoos-only | NONE |
| above_ma20 | Structure | -0.60 | -0.19 | 0.016 | NONE | NONE | |
| value_composite | Value | -0.01 | 0.19 | -0.003 | NONE | invertedoos-only | WORKS |
| low_dilution | Forensic | -0.69 | 0.17 | -0.001 | NONE | invertedoos-only | WORKS |
| size_tilt | Size | -0.30 | -0.17 | -0.004 | NONE | invertedoos-only | CORE |
| cash_conversion_quality | Forensic | -0.22 | 0.14 | 0.001 | NONE | oos-only | NONE |
| momentum_1m | Momentum | 0.29 | 0.13 | 0.023 | NONE | NONE | |
| value_book_yield | Value | 0.12 | 0.12 | 0.001 | NONE | oos-only | NONE |
| quality_value_combo | Quality+Value | -0.17 | 0.10 | -0.007 | NONE | invertedoos-only | WORKS |
| range_spike_fade | ShortHorizon | -0.94 | 0.10 | -0.003 | NONE | inverted | WORKS |
| sect_rel_value | SectorRel | -0.25 | 0.05 | -0.006 | NONE | invertedoos-only | CORE |
| oversold_rsi | Reversal | 0.51 | -0.00 | -0.013 | NONE | inverted | NONE |