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Factor Definitions
FACTOR | DEFINITION |
|---|---|
Momentum | Twelve month momentum, skipping the most recent month |
R&D/EV no-financials | Five-Year R&D Spending, Decreasing Weights/ Enterprise Value; Financials excluded |
R&D/Sales no-financials | Five-Year R&D Spending, Decreasing Weights/ Sales; Financials excluded |
Rate_Beta | Sixty month regression beta to % change in 10 year treasury yield |
Reversal 1M | Last month's total return; low minus high |
ROA | Net Income/Total Assets |
ROE | Net Income/Total Equity |
ROIC | Net Operating Profit After Taxes/Invested Capital |
Sales/Employee | Sales/Employee |
Sales/Price | Sales/MarketCap |
Size | log market cap |
VALUE | Blends earning value, book value, sales value |
Factors are used in long-short portfolios based on factor score. Polarity is long the highest value, and short the lowest value, except for Reversal. Portfolios are rebalanced monthly.
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