Inputs
Methodology
Portfolio exposures are computed as the weighted average of factor scores. Let weights be wi and factor scores Fi. Then exposure is
Exposure = (Σ wi · Fi) / Σ wiIf the net weight sum is ~0 (e.g., long/short), the calculator switches to gross normalization using Σ|wi|. Tilts are the difference between portfolio exposure and benchmark exposure.
Results
Contribution by Holding (to Tilt)
| Ticker | Norm Wt | Value | Growth | Quality |
|---|---|---|---|---|
| AAPL | 0.2000 | -0.0800 | 0.1200 | 0.1600 |
| MSFT | 0.1778 | -0.0533 | 0.0889 | 0.1600 |
| GOOGL | 0.1333 | -0.0267 | 0.0533 | 0.0933 |
| JNJ | 0.0889 | 0.0267 | -0.0178 | 0.0533 |
| XOM | 0.0778 | 0.0467 | -0.0389 | 0.0311 |
| BRK.B | 0.1111 | 0.0444 | -0.0222 | 0.0556 |
| NVDA | 0.1333 | -0.0800 | 0.1200 | 0.0933 |
| PG | 0.0778 | 0.0156 | -0.0233 | 0.0467 |
Frequently Asked Questions
1) What is a factor tilt?
It is the difference between your portfolio’s factor exposure and a benchmark’s exposure. Positive tilt indicates overweight; negative tilt indicates underweight.
2) What scale should factor scores use?
Use a consistent scale across holdings (e.g., standardized z-scores or percentile ranks). The benchmark must be on the same scale to make tilts meaningful.
3) Do weights need to sum to 100%?
No. The tool can normalize weights to sum to one. For long/short portfolios where net weight is near zero, it switches to gross normalization.
4) Can I enter negative (short) positions?
Yes. Negative weights are supported and are incorporated into exposures and contributions.
5) What does winsorizing do?
Winsorizing caps extreme factor scores to a chosen range (here, [-5, +5]) to reduce the impact of outliers on portfolio averages and tilts.
6) How are contributions calculated?
Each holding’s contribution equals its normalized weight multiplied by the difference between its factor score and the benchmark exposure for that factor.
7) Can I use this with percent weights?
Yes. You can paste weights like “5%” or “0.05”. If normalization is enabled, the tool rescales them to sum to one before computing exposures.