Reading a factor table without fooling yourself
A factor table tells you where last month's return came from. It does not tell you where next month's will come from, and the desks that present it as if it did are selling you a story with decimals.
Three things to read: whether the attribution sums to the published return after costs, whether the biggest contributor is a factor you signed up for, and whether currency is disclosed as its own line. If any of the three is missing, ask before you deposit.
Our tables have all three because a depositor asked for the currency line in March. That is what the discussion under a vault is for.
Related vaults
Value, residual momentum and low-vol with an 8% vol target. Weekly rebalance.
Value and quality on TOPIX large caps with a currency hedge. Slow, boring, and meant to be.
Trading involves risk. Past performance is not indicative of future results. Vault NAV can rise or fall.