Bloomberg的Factor Scorecard. 结论是买盈利能力强的公司.(High ROE 和 ROIC ) BI's factor scorecard favors quality and size, and is less optimistic on momentum and volatility. Each factor is a sector-neutralized, monthly rebalanced, long/short portfolio of the first minus the fifth quintiles (Q1-Q5) using the Russell 1000 index. Momentum is defined as an average of 6- and 12-month returns, minus the last two weeks. Value uses ratios of price to both Ebitda and sales. Quality gives equal weight to high profitability (ROE and ROIC) and low leverage (debt-to-market cap). Volatility is the average of 6- and 12-month standard deviations. Size is market cap.
Factor valuations are the median price/Ebitda ratio for each quintile. We assess the value spread between Q1 and Q5. The Q1/Q5 vs. Universe field is the difference between valuations of these quintiles and the median of the Russell 1000.
Factor valuations are the median price/Ebitda ratio for each quintile. We assess the value spread between Q1 and Q5. The Q1/Q5 vs. Universe field is the difference between valuations of these quintiles and the median of the Russell 1000.