Factor Exposure on Your Portfolio: Value, Momentum, Quality, Size

Why Factor Decomposition Exists

Two portfolios can hold completely different names and still behave nearly identically — because their *factor* exposures are the same. A concentrated book of high-free-cash-flow compounders and a different book of high-ROIC, low-leverage names are both expressing a "quality" factor tilt; they'll rally together in quality regimes and sell off together in junk rallies. That's why naïve correlation analysis at the ticker level underestimates true risk. The useful decomposition is not tickers, it's factors.

What the Factor Analysis Card Shows

The Portfolio Factor Analysis card decomposes the book's weighted exposure to six durable factors: value (book/price, earnings/price), momentum (12-1 month price), quality (ROIC, gross margin stability), size (market cap tilt), low-volatility, and profitability. Each exposure is normalized as a z-score against the Russell 3000, so +1 means the portfolio is one standard deviation more exposed than the index. A historical line shows how each exposure has drifted over the last 12 months as you traded. A contribution strip decomposes YTD return into factor vs stock-specific components.

Reading the Exposures

Three interpretation rules keep this honest. First, factor tilts are bets — if your book is +1.2 on momentum and -0.8 on value, you've made a momentum-over-value bet whether or not you chose that consciously. Second, factor contribution to return is often larger than stock-specific contribution; if you're +18% YTD and 15% of it is the momentum factor, your ticker selection added only 3%. That's useful to know before you tell yourself you're a great stock picker. Third, unintentional exposures (a "diversified value portfolio" that secretly tilts 1.1 on momentum because your value screen dragged in trending names) are the kinds that burn you in a factor reversal.

Where It Fits

Pair Factor Analysis with the Risk Metrics card for conventional vol/drawdown context and Regime Analysis to see whether your current factor tilts are well-suited to the current macro regime. When a factor contribution turns large and negative for 4+ weeks, it's usually time to examine whether your exposure is intentional or a byproduct of stale positions.

Open the Factor Analysis card → /app/portfolio