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

118

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	Interest Cover	Leverage	Long	0.182	2.86	39%	+19.2%	Strong
2	Earnings Yield	Valuation

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	WHSThe Warehouse Group Limited	Consumer Discretionary	99	99	99	99	Strong Alpha	Earnings Yield
2	CHIChannel Infrastructure NZ Limited	Energy	98	98	98

Factor Headwinds — Bottom 10 Companies

Companies with the weakest factor exposure across significant alpha signals.

Company	Sector	Composite	Rating	Headwind Factors
SKOSerko Limited	Industrials	0	Negative	Interest Cover
ERDEROAD	Industrials	1	Negative	Earnings Yield, ROIC
RUARua Bioscience Limited	Healthcare	3	Negative	Earnings Yield
FSF

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.

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