Factor attribution
Understanding factor exposure
Plain-language guide to the 19-factor model and how we score tilts.
Our Barra-inspired model has 19 factors: a market intercept plus 18 style factors (size and non-linear size, value, earnings and dividend yield, growth, leverage, historical and non-linear beta, residual volatility, liquidity, momentum and reversal, short interest, hedge-fund and passive ownership, and share issuance). Every plan, Free included, shows all 19.
Factor exposure describes the characteristics and systematic risk tilts of the covered holdings. It does not measure how much each factor contributed to your realized return; performance attribution is a separate analysis over a stated period.
Read exposures alongside coverage, excluded holdings and the source date. Drift compares exposures over time, so it needs more than a single observation.
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