FPUS1: FactorPulse US Equity Model 1
FPUS1 explains daily US stock returns with a market factor, 18 style factors (including 3 dynamics factors for positioning and flows) and 6 theme factors, estimated each day across about 2,000 US-listed stocks. Returns through Oct 28, 2026. See the methodology for definitions.
History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.
Market
The common move shared by all stocks in the estimation universe.
| Factor | Last day | 1 month | 1 year | 1-year path |
|---|---|---|---|---|
| Market | +0.36% | +2.07% | +20.13% |
Style
Characteristics such as size, value, momentum and volatility.
| Factor | Last day | 1 month | 1 year | 1-year path |
|---|---|---|---|---|
| International | +0.06% | -1.07% | -1.34% | |
| Beta | +1.09% | -7.20% | +2.58% | |
| Size | +0.03% | -0.01% | +2.92% | |
| Long-Term Momentum | +0.28% | -1.86% | +8.89% | |
| Residual Volatility | +0.35% | +0.51% | +0.66% | |
| Liquidity | +0.17% | -0.48% | -4.45% | |
| Growth | +0.10% | -0.12% | -2.79% | |
| Value | +0.22% | +0.14% | +5.59% | |
| Leverage | +0.26% | -0.77% | -5.16% | |
| Profitability | -0.08% | +0.63% | +0.75% | |
| Dividend Yield | -0.06% | -0.32% | +3.48% | |
| Medium-Term Momentum | -0.32% | -1.76% | +2.43% | |
| Short-Term Momentum | +0.06% | +2.38% | -4.45% | |
| One-Day Momentum | +0.07% | -0.15% | +2.34% | |
| Morning Activity | -0.05% | -0.53% | -0.87% |
Style: dynamics
Style factors built from positioning and flows: short interest, short-sale activity and hedge-fund ownership. These faster-moving signals matter most for trading rather than long-horizon risk.
| Factor | Last day | 1 month | 1 year | 1-year path |
|---|---|---|---|---|
| Short Interest | -0.10% | +0.39% | -1.38% | |
| Hedge-Fund Ownership | -0.06% | -0.51% | -2.79% | |
| Short-Sale Activity | -0.10% | -0.01% | -2.41% |
Theme
Sensitivity to macro and thematic drivers, listed in the model's order: each is measured net of market beta and the themes above it, but not of the style factors.
| Factor | Last day | 1 month | 1 year | 1-year path |
|---|---|---|---|---|
| Semiconductors | +0.59% | -3.16% | +4.01% | |
| Oil | +0.12% | +0.77% | +9.10% | |
| Treasury (Duration) | +0.17% | +0.72% | -8.08% | |
| Gold | +0.23% | -1.55% | -1.12% | |
| Bitcoin / Crypto | -0.11% | +0.12% | -9.33% | |
| China | +0.18% | -0.65% | -3.58% |
How much the model explains
Validation
A validation report (predicted versus realized risk) is in preparation and will separate point-in-time forecasts from simulated history.
Model facts
- Status: production · revision 2026-10-28
- Horizon: daily. Each day's risk forecast is made before the open from the prior close, and is compared with that day's realized move.
- Estimation universe: US-listed common stock and ADRs (CS/ADRC/ADR), close above $1, continuous price history over the trailing 60 business days, valid market cap
- Risk model: 25 factors (market + 18 style + 6 theme)
Revision log
- Jul 15, 2026 (history recomputed): Current 18-style-factor model adopted and its history back to 2 January 2020 recomputed with it. International now comes first, so every other factor is measured net of it; short interest is compared within US or international listings; short-sale volume is used only once it has been published.
- Jul 30, 2026 (history recomputed): Risk model added: factor covariance, stock-specific risk and volatility-regime scaling. Forecasts before this date were computed retroactively, back to 27 May 2020.
- Sep 10, 2026 (from this date): Beta: newly listed stocks receive a beta after 30 trading days, shrunk toward 1 until a full 90 days of history is available.
- Oct 05, 2026 (from this date): Value and profitability: a missing financial ratio no longer counts against a company. The remaining ratios are reweighted, and a company with none is scored neutral. Phased in over 20 trading days.
- Oct 13, 2026 (from this date): Trailing-twelve-month fundamentals are now built from reported quarterly statements. Price-to-sales is no longer used for banks and brokers, whose reported revenue is not comparable.
- Oct 28, 2026 (from this date): Model published as FPUS1, a named and versioned model.