Factor investing: Difference between revisions
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\frac{\text{Net Income}} | \frac{\text{Net Income}} | ||
{\text{Average Shareholders' Equity}} | {\text{Average Shareholders' Equity}} | ||
</math> | |||
The specific measures used to define quality vary among factor methodologies. | The specific measures used to define quality vary among factor methodologies. | ||
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\times | \times | ||
\text{Shares Outstanding} | \text{Shares Outstanding} | ||
</math> | |||
The size factor is commonly associated with the historical observation that smaller companies have, under some methodologies and periods, exhibited different risk and return characteristics from larger companies. | The size factor is commonly associated with the historical observation that smaller companies have, under some methodologies and periods, exhibited different risk and return characteristics from larger companies. | ||
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(R_{i,t}-\bar{R}_i)^2 | (R_{i,t}-\bar{R}_i)^2 | ||
} | } | ||
</math> | |||
A low-volatility strategy generally ranks or selects securities according to their volatility and constructs a portfolio with relatively lower volatility characteristics. | A low-volatility strategy generally ranks or selects securities according to their volatility and constructs a portfolio with relatively lower volatility characteristics. | ||