Price |
Closing Price |
N/A |
Size |
Consolidated Market Capitalization |
Size |
EBIT/TEV |
EBIT / Total Enterprise Value, where EBIT = Operating Income = Revenues - COGS - SGA and Total Enterprise Value = Current Market Capitalization + Preferred Stock (if available) + Debt (if available) + Minority Interest (if available) - Cash (if available) |
Value |
EBITDA/TEV |
EBITDA / Total Enterprise Value, where EBITDA = EBIT + Depreciation + Amortization and Total Enterprise Value = Current Market Capitalization + Preferred Stock (if available) + Debt (if available) + Minority Interest (if available) - Cash (if available) |
Value |
Book/Price |
Most recent measure of Common Equity / Size |
Value |
Earnings/Price |
Most recent 12-month Earnings Per Share / Price |
Value |
Cash Flow/Price |
(Net Income + Depreciation & Amortization + Deferred Taxes (if available)) / Size |
Value |
Sales/Price |
Most recent 12-month Sales / Size, also referred to as Revenue / Size. |
Value |
Dividend/Price |
Most recent 12-month dividends per share / Price |
Value |
Momentum (2-12) |
Total Return (in U.S. Dollar terms) over the prior 12 months, excluding last month. |
Momentum |
Momentum (1-6) |
Total Return (in U.S. Dollar terms) over the prior 6 months. |
Momentum |
Momentum (1) |
Total Return (in U.S. Dollar terms) over the prior 1 month. |
Momentum |
Return on Assets |
Return on Assets, which is the most recent measure of 12-month net income divided by total assets. |
Quality |
Return on Equity |
Return on Equity, which is the most recent measure of 12-month net income divided by firm equity. |
Quality |
Financial Strength Score |
Financial Strength Score is a 10 point check list of different financial strength measures. Learn more here: https://alphaarchitect.com/2015/05/05/value-investing-research-simple-methods-to-improve-the-piotroski-f-score/. We include a tiebreaker to make the variable continuous and not discrete (we use mom_2_12/1000 to create a continuous FS-Score Variable) |
Quality |
Asset Growth |
The growth rate in the most recent Total Assets relative to Total assets 12-months in the past. |
Quality |
Gross Profit |
(Sales - COGS) / lagged Total Assets, where laggest Total Assets are measured as if 12-months in the past. |
Quality |
Beta |
Measures beta using daily returns against the "local" index over a 252 day period |
Volatility |
Volatility |
Measures volatility using the standard deviation of the daily total return over the past 252 trading days, and multiplies this by the square root of 252. |
Volatility |
Repurchase Yield |
Total return over the past 12 months - (Current Market Capitalization / Market Capitalization 1 year ago). Measured at Month end. See http://www.kentdaniel.net/papers/published/jf_06.pdf. |
Value |
Shareholder Yield |
Dividend Yield + Repurchase Yield |
Value |
Debt Paydown Yield |
(Total Debt 12-months ago minus most recent Total debt) / Market Capitalization |
Value |
Shareholder Yield with Debt |
Dividend Yield + Repurchase Yield + Net Debt Paydown Yield |
Value |
Momentum (1-12) |
Total Return (in U.S. Dollar terms) over the prior 12 months. |
Momentum |