17%
Price Momentum (20/60d)
Risk-adjusted trend strength across two lookbacks, volatility-normalised.
ASCEND-EQ reference
The Factor Stack, Published in Full
Eight weighted inputs decide whether an equity idea is published. The weights sum to 1.0 and are refit quarterly against out-of-sample sessions — never against the window being reported. Below is each factor with its weight, how it is measured, why it earns its place, and the conditions under which it is known to fail. We publish the failure modes because a model without documented weaknesses is a marketing document.
16%
Earnings Revision Breadth
Direction and dispersion of forward EPS revisions across covering analysts.
14%
Valuation vs Sector
Forward multiple against the sector median, growth-adjusted.
13%
Institutional Flow
Dark-pool prints, block accumulation and 13F drift.
- How it is measured
- Net dealer positioning and options open-interest skew across the front two expiries.
- Why it earns weight
- Hedging flow is mechanical, so it is the most predictable buyer or seller in the tape.
- Where it fails
- Expiry weeks, where gamma unwinds distort the reading before it can pay.
12%
Options Skew & Gamma
Put/call skew, dealer gamma positioning and term-structure slope.
11%
Macro Regime Sensitivity
Beta to real rates, dollar and credit spreads under the current regime.
- How it is measured
- Rate path, credit spreads and dollar impulse mapped to sector sensitivities.
- Why it earns weight
- Sector-level beta to the macro impulse explains a large share of dispersion.
- Where it fails
- Policy surprises, where the impulse re-prices faster than any daily model can react.
10%
Sector Breadth
Share of sector constituents confirming the same direction.
- How it is measured
- Share of sector constituents confirming the same directional impulse.
- Why it earns weight
- A move carried by one constituent reverts far more often than one carried by the group.
- Where it fails
- Highly concentrated sectors where a single megacap is the sector.
7%
Positioning & Sentiment
Short interest, retail crowding and news-sentiment residual.