Factor roster

Also seen as: factors, reference factors, factor set

Which factors are in the roster?

All 14 factors are active, so any of them can appear in a comparison.

The factor series are built from market data supplied by multiple established data providers. Fincanva does not publish which instrument or series stands behind each factor. Like the special data series, factors are reference series rather than instruments a strategy can hold; the roster is a separate, fixed set kept for comparison.

One caveat belongs with the roster itself: Market (S&P 500) and Large Cap overlap heavily, because the S&P 500 is predominantly large-cap companies. Treat the two as closely related readings of the same thing rather than two independent ones.

What does a factor correlation tell me?

A factor correlation tells you how closely a strategy's period-to-period returns tracked that factor's, on a scale from −1 to +1 — the same scale a correlation matrix reports pair by pair. Read "vs Gold" as an example. A correlation of +0.7 with Gold means the strategy tended to rise in the periods gold rose and fall when it fell — worth knowing even if the strategy holds no gold, because it implies whatever it does hold responds to the same forces. A correlation near 0 means the strategy's moves and gold's were largely unrelated over the period. A correlation of −0.6 means it tended to move opposite to gold.

Three limits keep that reading honest. Correlation is about direction, not size: a +0.9 with the Market says the strategy moved with the market almost every period, but not by how much — that is what beta and adjusted beta measure. Correlation is not causation: a strategy can correlate with Gold because it holds miners, because it holds nothing but reacts to the same interest-rate news, or by coincidence over a short window. And a correlation is only as stable as the period it was measured over, which is why a rolling correlation says more than a single figure.

Why do the volatility factors read differently?

The three volatility factors — VIX, the VIX 1M-3M spread, and MOVE — are index levels rather than prices, so a comparison against them reads changes in the level rather than percentage returns. That is a reporting distinction with a practical consequence: a strategy whose returns correlate negatively with changes in VIX is one that tended to lose ground in the periods when market fear rose, which is the ordinary behavior of a long risk position. The other eleven factors are price-like series and are compared on returns in the normal way. It is also why the comparison table shows no beta against a volatility factor: a beta measured on a change in a level has no unit anybody can read, so those cells stay empty while the correlation beside them is still reported.

Does Fincanva show factor correlations?

Yes, for a Combined: its analysis includes a correlations page whose second table sets each strategy, and the Combined itself, against six of the fourteen factors — Market (S&P 500), 10y Treasury, Investment Grade Corporates, Gold, Real Estate (REIT) and VIX. The six are the ones that disagree with each other. The other eight are left out because over a portfolio they largely repeat one of the six: the size and style factors move closely with Market, the 3m T-Bill is cash-like and sits near zero against everything, and MOVE and the VIX 1M-3M Spread are second-order volatility gauges standing next to the VIX itself.

The roster is what such a comparison is read against, and it answers a question a strategy's own instrument list often answers badly — which factor does this strategy actually resemble? That table reports two readings of the same pair — the correlation, and the adjusted beta where one can be read — and it is scoped by the same period selector as the correlation matrix beside it, which is where the page's shape and the plan step that includes it are documented. Fincanva does not tell you which factor exposures to hold or avoid — see Is this financial advice?.

Backtests show what would have happened — not what will. Fincanva provides no financial advice — see Is this financial advice?.