AMAT (Applied Materials) — Pure Jensen's Alpha & FF5 Audit
Region: US_NORTH_AMERICA · Sector: Wafer Fab Equipment · Sample: 2021-11-08 ~ 2026-11-06 (1254 trading days)
Verdict: 알파 반감기 경고 (Crowded / Decaying) — 5년 누적 알파(+10.95%p)는 높았으나 최근 60거래일 단기 알파(-122.01%p)가 급격히 둔화되어 추격 매수 주의가 필요합니다.
Dividend-Reinvested Alpha
+9.32%p/yr
Price-only: +10.95%p
Fama-French 5-Factor Alpha
+3.71%p/yr
FF5 t-stat: 0.25 · R²: 54.7%
Bootstrap Skill Probability
68%
p-val: 0.32
IRS §1091 TLH Replacement
SOXX
5Y Corr ρ = 0.884
