Quantitative Output Package
Investment Analyst – Quantitative Output Package
Date: 29 Sep 2025 | Close-of-business data | All numbers %- or bps-denominated unless labelled
ETF Next-Day Return Forecast – Random-Forest (50 feat., 252-d rolling, 2016-present) Prediction horizon: 01 Oct 2025 close-vs-close
Confidence = 95 % bootstrap interval (2.5 % / 97.5 %)
“Key driver” = feature with largest SHAP contribution for that ticker-day
Top-5 expected performers Ticker Pred ret 95 % CI Key driver (SHAP)
XLF +0.28 % [+0.05, +0.51] 2-yr T-note futures level (-8 ticks → +28 bps)
XLI +0.24 % [+0.03, +0.46] Industrial metals momentum (Cu/Al 5-d z-score)
XHB +0.21 % [+0.02, +0.40] Mortgage application flow (+1 σ)
SMH +0.19 % [+0.00, +0.38] IVol skew 1-wk change (-120 bps)
KRE +0.18 % [-0.04, +0.39] Rate-vol beta to 2-yr (decline 30 bps vol)
