ALPHA ANALYSER

Identify Stock Alpha and Analyse Factor Contributions for 4,000+ Stocks.

Enter a Ticker or ISIN

The Alpha Analyser shows the historical stock alpha and factor contributions to the stock performance. If you are interested in the current factor exposure of any stock, then please use our Stock Analyser, which can be access via a free trial of the OPTIMISER.

DESCRIPTION

The Alpha Analyser highlights the contribution of common factors, including the market, to the performance of a stock over the last 12 months. The residual between the stock return and the sum of all factor contributions can be considered stock alpha, which is either positive or negative. The factor contributions are based on factor betas derived from a one-year regression analysis. Please see the factor definitions below or our Factor Guide for further details on factor construction.

The market coverage includes 4,000+ stocks from the US, Europe, Japan, Australia, Hong Kong and Singapore.

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FACTOR DEFINITIONS

Factor Description Variables
Value Buy cheap and sell expensive stocks Combination of price-to-book and price-to-earnings ratios
Size Buy small and sell large stocks Current market capitalisation
Momentum Buy winners and sell losers Return over the past 12 months, excluding the most recent month
Low Volatility Buy less volatile and sell more volatile stocks Standard deviation over the past 12 months
Quality Buy high and sell low quality companies Combination of return-on-equity and debt-over-equity ratios
Growth Buy growing and sell declining companies Combination of 3-year sales per share and earnings per share growth rates
Dividend Yield Buy high yielding and sell low yielding stocks Current dividend yield

Ticker ISIN Stock Return Market Value Size Momentum Low Volatility Quality Growth Dividend Yield Alpha
Ticker ISIN 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
LNK AU000000LNK2 10.60 5.50 -0.50 -1.40 -2.00 -9.40 -1.10 0.00 12.70 7.26
ILU AU000000ILU1 52.40 8.65 -1.20 -1.30 0.27 15.30 -6.60 0.19 -3.00 40.20
GPT AU000000GPT8 -7.10 5.42 1.40 4.98 -0.40 -13.00 -0.80 -0.10 5.12 -8.70
JBH AU000000JBH7 4.25 8.09 -0.20 2.87 -6.80 10.70 8.64 0.13 -18.00 -0.20
AWC AU000000AWC3 68.00 7.49 -0.60 2.44 2.58 8.85 5.15 1.07 -2.70 43.80
GOZ AU000000GOZ8 9.27 3.65 0.50 2.57 1.31 -9.70 0.12 0.00 2.08 8.86
BPT AU000000BPT9 130.00 15.50 0.00 -2.70 -5.70 16.20 6.41 1.77 11.90 87.10
QUB AU000000QUB5 -12.00 5.29 0.87 0.48 -1.50 -0.60 -1.10 -0.20 -0.40 -14.00
ORA AU000000ORA8 21.10 5.26 -0.40 0.00 -1.50 -7.30 4.28 0.04 5.81 15.10
Ticker ISIN