InvestAgents
search
notificationsaccount_circleBacktest ID: #2940-ATT
Portfolio Attribution
Detailed decomposition of returns across Systematic Factors and Concentration risks for the trailing 36-month backtest.
Alpha Generation
+4.2%Annualized
Beta Exposure
0.82Defensive
trending_down-0.15 vs S&P 500
Factor Attribution
Attribution of total returns to specific market styles
Market Beta
62.4% Contribution
0.82
Momentum
12.1% Contribution
+0.4
Value (HML)
-4.2% Contribution
-0.15
Size (SMB)
8.5% Contribution
+0.22
lightbulb
Insight: Beta Compression
Portfolio returns are increasingly dominated by Market Beta rather than specific Alpha factors. Consider re-evaluating long momentum positions in high-volatility sectors.
Long/Short Bias
Gross Exp.
182%
Net Exp.
98%
Sector Exposure
Technology32.4%
Financials18.9%
Healthcare14.2%
Consumer Disc.11.5%
Concentration Metrics
28%
Top 5 Holdings
Risk limit: 35%
AAPL
Apple Inc.NVDA
NVIDIA CorpMSFT
Microsoft CorpAMZN
Amazon.comMETA
Meta PlatformshubMarket Correlation
Correlation to S&P 5000.94
The portfolio exhibits high systematic risk with strong market coupling over the last 90 trading days.
Exposure Heatmap
Visualizing geographic exposure across emerging markets vs developed economies.
NAM: 62%
EMEA: 18%
APAC: 20%
language