Normalized operating profit (TTM)
factor.formula
Normalized operating profit (TTM):
in:
- :
Trailing Twelve Months (TTM) operating profit at time t.
- :
The rolling 12-month operating profit average for the past T quarters (excluding time t).
- :
The standard deviation of the rolling 12-month operating profit for the past T quarters (excluding time t).
- :
The historical window period for looking back indicates the number of quarters to look back, and the default is 6 quarters.
factor.explanation
This factor measures the deviation of the current rolling 12-month operating profit from its mean of the past T quarters and is standardized by the standard deviation of the past T quarters. A positive value indicates that the current operating profit is higher than its historical average, while a negative value indicates that it is lower than the historical average. This factor can reflect the short-term fluctuations and growth trends of a company's operating profit and is used to measure the relative changes in the company's operating conditions. In a multi-factor model, this factor can be used in combination with other fundamental factors to improve the model's ability to explain stock returns.