Value
Cheap against expensive on price to fundamentals: earnings, book, sales, cash flow.
FACTOR RESEARCH
Factor performance: equity curves of the classic factors.
Daily simulated equity curves of six academic equity factors on the 1,000 largest US stocks, on the 2,000 US stocks below the largest 1,000 and on the 3,000 largest US stocks, since 2000. Research illustration, not an investment product.
EQUITY CURVES
Six factors, three universes.
Pick a universe, a construction and a window. The chart and the scorecard below follow.
Large cap, long-only. Small cap, all cap, long-short and vol-matched views open on screens 768px and wider.
FACTOR SCORECARD
Returns by timeframe.
The same curves, summarized. Click a column to sort. Annualized beyond one year.
Total return of each simulated factor curve over the window, ending the latest data point. Columns beyond one year are annualized. Research illustration only. These are not investment products, and the content of this page does not constitute investment advice. Simulated and past performance is not indicative of future results.
NEWSLETTER
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Want this built on your own universe?
Factor models, ranking systems and backtests, worked through with you in Portfolio123, in quant coaching or a quant consulting engagement with an independent practice.
WHAT THESE FACTORS ARE
The six factors, briefly.
Momentum
Relative strength over the trailing twelve months, skipping the most recent one.
Quality
Quality minus junk: profitable, stable, well-financed businesses against the opposite.
Earnings Revisions
REV6: a six-month moving average of changes in analysts' earnings forecasts. Rising against falling.
Low Beta
Betting against beta: the lowest-beta names against the highest.
Short Interest
Lightly shorted names against the most heavily shorted, by shares sold short relative to shares outstanding.
See where the risk in your own holdings comes from, in the portfolio risk model
ABOUT THIS DATA
Common questions.
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What do these factor performance charts show?
Equity curves of six academic equity factors (value, momentum, quality, earnings revisions, low beta and short interest) on three US universes, the 1,000 largest US stocks, the 2,000 US stocks below the largest 1,000 and the 3,000 largest US stocks, shown long-only and long-short and indexed to 100. They are simulated research illustrations, not investment products. -
What does indexed to 100 mean?
Every curve starts at an index level of 100 at the beginning of the selected window. The chart shows how that index level evolves over time, so factors can be compared on the same scale. -
How often is the factor data updated?
Every weekday. The series come from Portfolio123 strategy simulations with daily resolution, with history back to the year 2000. -
Can I invest in these factor portfolios?
No. The curves are research and educational illustrations only. They are not tradeable, they are not investment products, and the content of this page does not constitute investment advice.
KEEP READING
The methodology behind the curves.
Questions about this research?
Discuss the research in a free 45-minute introductory consultation.
Request an introductory consultationOr write to: c.morales@quantsolvings.com