Normalized Adjusted Operating Profit (TTM)
factor.formula
Normalized Adjusted Operating Profit (TTM):
Adjusted operating profit (TTM):
In the formula:
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Adjusted operating profit for period t (TTM) value, where TTM represents the cumulative value for the rolling 12 months.
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The average of the adjusted operating profit (TTM) over the past T periods. When calculating, use the AdjustedOperatingProfit_{TTM} data from period t-T to period t-1.
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The standard deviation of the adjusted operating profit (TTM) over the past T periods. The calculation uses the AdjustedOperatingProfit_{TTM} data from period t-T to period t-1.
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The number of look-back periods indicates the time span used to calculate the mean and standard deviation. The default value is T=6, which means looking back at data for 6 quarters.
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Rolling 12-month cumulative operating profit.
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The cumulative accounts receivable for the rolling 12 months reflects the company's potential to recognize revenue in the future.
factor.explanation
The standardized adjusted operating profit (TTM) factor can effectively eliminate the profitability differences between different companies due to factors such as scale differences and industry attributes by standardizing the adjusted operating profit, thereby more accurately comparing and evaluating the true profit growth levels between different companies. Specifically, we first calculate the adjusted operating profit (TTM), where prepayments are considered as a potential source of future income and are added back to the operating profit. Subsequently, we calculate the mean and standard deviation of the adjusted operating profit (TTM) for the past T periods and use them to standardize the current adjusted operating profit. The standardized processing of this factor makes the profit growth between different companies comparable and eliminates dimensional differences, which is convenient for subsequent factor combination and model construction. This factor can be regarded as an alternative growth factor, but due to its certain correlation with traditional profitability and growth factors, it is recommended to eliminate its correlation through regression or other methods when used in combination with other factors in a multi-factor model to improve the independence and effectiveness of the factor.