The size factor represents the relationship between the size of a company and its future performance. Through their academic research, Fama & French (1992) found that in the long term, a portfolio of smaller size companies is consistently outperforming a portfolio of larger size ones. We can identify small size stocks by their market capitalization.
The value factor represents the relationship between the company’s relative valuation, and it’s future performance. Through their academic research, Fama & French (1992) found that in the long term, a portfolio of relatively cheap companies is consistently outperforming a portfolio of relatively expensive ones. We can identify the cheapness of a company by a lower price to book ratio.
The momentum factor represents the relationship between the stock's past and future performances. Through their academic research, Jagadeesh & Titman (1993) found that in the long term, a portfolio of previous winners is consistently outperforming a portfolio of past losers. We can identify winners by calculating their past 12 month's performance and omitting the last month.
The volatility factor represents the relationship between the stock’s volatility and, it’s future performance. Through their academic research, Haugen & Heins (1972) found that in the long term, a portfolio of low volatility stocks is better in terms of risk adjusted-return than a portfolio of high volatility ones. We can identify low volatile stocks by their 1-year volatility.
The profitability factor represents the relationship between the company’s profitability, and it’s future performance. Through his academic research, Robert Novy-Marx (2013) found that in the long term, a portfolio of companies with higher profitability is consistently outperforming a portfolio of companies with lower profitability. We can identify highly profitable companies by their gross profit to assets ratio.
The investment factor represents the relationship between the company’s assets growth, and it’s future performance. Through their academic research, Sheridan & Wei (2004) found that in the long term, a portfolio of companies with lower asset growth is consistently outperforming a portfolio of companies with higher assets growth. We can identify lower investment companies by their 1-year asset growth.
Select and combine different inputs to build your unique investment strategy.
- Build portfolios with up to 50 stocks in one click.
- Mix up to 6 factors to build your unique multifactor portfolio.
- Diversify portfolio holdings through different markets including, United-States, Canada, United-Kingdom and the GCC area.
- Over 25 advanced risk and performance metrics to unlock insights.
- Over 18 years of historical data from professional-grade data providers.
- Compare performance with selected benchmarks.
