EQUITY FACTOR PERFORMANCE

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GLOBAL FACTOR PERFORMANCE (LONG / SHORT)

FACTOR GUIDE

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

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