Before we jump into this week's Factor Spotlight, I wanted to let you know that I will be at Learn2Quant New York on Friday, November 16, where I will be leading a session on "How to be Factor Aware" alongside Axioma's Melissa Brown. If you're in NYC this upcoming week, we hope you can attend.
Factor Spotlight: Earnings Yield & Profitability
August 09, 2018Hope your week is going well. Today, I wanted to highlight recent trends in the two key components of what is referred to as "Quality" - the Earnings Yield and Profitability factors.Our Factor Profile tool is currently indicating that Earnings Yield and Profitability are reaching simultaneous inflection points in our US model. As I'll show below, historically both of these factors have very...
Profitability is at an inflection point
April 26, 2018I wanted to highlight Quality as a factor that is hitting an inflection in both the US and Global markets. In our platform, Quality = Profitability, and is defined as a combination of return-on-equity, return-on-assets, cash flow to assets, cash flow to income, gross margin, and sales-to-assets.