Get NZX governance insights in your inbox

Weekly digest of board changes, insider trades, and market signals. No spam. Unsubscribe anytime.

Insights/Alpha Factor Discovery

Alpha Factor Discovery

Qlib-inspired autonomous factor analysis. Systematic IC (Information Coefficient) testing across 36 fundamental, technical, and governance metrics against forward NZX returns.

Factor Model Factor Validation

Factors Tested

Strong Signals

Moderate Signals

128

Issuers Scored

Factor Pairs

Factor IC Leaderboard — Ranked by Predictive Power

Spearman Information Coefficient measures rank correlation between factor values and forward returns. |t-stat| > 2.0 indicates statistical significance at 95% confidence.

#	Factor	Category	Direction	IC (12M)	t-stat	Hit Rate	Q1-Q5 Spread	Signal
1	Debt/Equity	Leverage	Short	0.256	2.70	48%	-31.4%	Strong
2	GRS Score	Governance

Alpha Leaderboard — Top 20 Companies

Composite alpha score (0-100) combining all significant factors weighted by IC magnitude. 55% weight on 12M horizon, 30% on 3M, 15% on 1M.

#	Company	Sector	1M	3M	12M	Composite	Rating	Top Factors
1	FBUFletcher Building	Materials	99	99	99	99	Strong Alpha	GRS Score
2	SPGStride Property Limited	Real Estate	93	93	92	92

Factor Headwinds — Bottom 10 Companies

Companies with the weakest factor exposure across significant alpha signals.

Company	Sector	Composite	Rating	Headwind Factors
ENSEnprise Group Limited	Information Technology	13	Negative	Earnings Yield, GRS Score
WCOWasteCo Group Limited	Industrials	14	Negative	Profit Growth, Net Debt/EBITDA, Earnings Yield
CCCCooks Coffee Company Limited	Consumer Staples	15	Negative	Equity Ratio, Profit Growth, Earnings Yield

Methodology

Factor Discovery Pipeline

Define universe of 36 fundamental/technical/governance metrics
Compute Spearman IC (rank correlation) vs forward 1M/3M/12M returns
Calculate t-statistic for significance testing (|t| > 2.0 = 95% confidence)
Measure quintile spread (Q1 vs Q5 return differential)
Filter correlated factors via cross-sectional correlation matrix
Weight significant factors by |IC| for composite score

Composite Alpha Score

Each issuer scored 0-100 across significant factors
Percentile rank within NZX universe per factor
IC-magnitude weighting (stronger factors count more)
Horizon weighting: 12M (55%) + 3M (30%) + 1M (15%)
Ratings: Strong Alpha (75+), Moderate (60-74), Neutral (40-59)

API Access

Per-company: GET /api/v1/alpha-factors/{ticker}. Full leaderboard: GET /api/v1/alpha-factors/leaderboard.

Data sourced from publicly available NZX disclosures. Our datasets may not be complete. Automated analysis can produce errors. Past performance does not indicate future results. If you believe any data on this page is incorrect, please contact us at hello@nzxplorer.co.nz. For informational purposes only. Not investment advice.

Related Insights

Factor Model Explorer

Multi-factor model combining 6+ alpha signals

Signal Scorecards

Company-level composite signal dashboards

Alpha Library — Composite Signal Scores

Composite 0-100 alpha scores combining 5 proprietary signal dimensions (governance, insider, credibility, quality, dividend) validated on 10 years of NZX data. 16 validated factors, 7 proprietary signals scored per company.