Elements of Performance
How Are Factors Screened?
- Low Volatility: The inverse of volatility, a measure of the risk of an asset measured by the standard deviation of returns over a particular interval of time.
- Dividend Yield: A measure of a company’s dividend relative to its underlying price.
- Quality: A measure of balance sheet strength and earnings stability.
- Momentum: A measure of recent strength in stock price behavior (stocks that had positive excess returns in the recent past).
- Value: A measure of how inexpensive a stock is relative to its fundamentals.
- Low Size: A measure of the market capitalization of a company relative to companies in a given universe of stocks.