Momentum of return on equity - Year-on-year growth rate of net assets
factor.formula
Return on Equity Momentum (ROE MoM) =
Calculate the quarter-on-quarter change rate of the current rolling 12-month (TTM) return on equity and the rolling 12-month return on equity of the previous quarter. The denominator is normalized using the absolute value of the ROE of the previous quarter to avoid the abnormal situation that the denominator is zero or too small, while enhancing the stability of the results. * $ROE(TTM)_{t}$: The rolling 12-month return on equity at the end of the current quarter. * $ROE(TTM)_{t-1}$: The rolling 12-month return on equity at the end of the previous quarter.
Net Asset YoY Growth =
Calculate the year-on-year change rate of equity attributable to shareholders of the parent company in the current reporting period compared to the equity attributable to shareholders of the parent company in the same period last year. * $BV_{t}$: Equity attributable to shareholders of the parent company in the current reporting period. * $BV_{t-4}$: Equity attributable to shareholders of the parent company in the same period last year.
in:
factor.explanation
This factor is the quarter-on-quarter momentum of return on equity minus the year-on-year growth rate of net assets. It reflects the excess momentum of profitability relative to its own growth after excluding the impact of scale expansion. A positive value means that the growth of profitability is faster than the growth of net assets, indicating that the company's operating efficiency has improved or there are other value creation factors; a negative value means that the growth of profitability lags behind the growth of net assets, which may indicate a decline in the company's profitability or low efficiency in asset expansion. This factor is suitable for screening growth and value stocks, especially for judging the sustainability and quality of corporate profit growth.