Net profit attributable to shareholders accelerates
factor.formula
Net profit attributable to parent company month-on-month growth rate (TTM):
Growth rate of net profit attributable to parent company:
in:
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The total net profit attributable to the parent company for the current reporting period (such as the latest quarter or year) for the rolling 12 months
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The total net profit attributable to the parent company for the last 12 months (such as the last quarter or year)
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The net profit attributable to the parent company in the tth quarter or the reporting period
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It is the time sequence number of the quarter or reporting period (such as t = 1, 2, 3, ...), indicating different reporting periods
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The quadratic coefficient in the net profit attributable to the parent company time series fitted by the quadratic function represents the proxy variable of the acceleration of performance growth.
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The first-order coefficient in the time series of net profit attributable to the parent company fitted by the quadratic function represents the average speed of performance growth
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The constant term in the net profit attributable to the parent company time series fitted by quadratic function
factor.explanation
The factor first calculates the quarter-on-quarter growth rate of the rolling 12-month (TTM) net profit attributable to the parent company to measure the company's latest performance growth momentum. Then, by fitting a quadratic function to the single-quarter net profit attributable to the parent company data for N consecutive quarters (usually 4-8 quarters), the quadratic term coefficient ($\alpha$) is extracted as a measure of the acceleration of performance growth. This coefficient reflects the changing trend of the performance growth rate: a positive value indicates accelerated performance growth, and a negative value indicates a slowdown in growth. In order to improve the robustness of the factor, all market stocks are divided into several groups (usually 3-5 groups) according to the performance growth rate. In each group, the performance growth acceleration is standardized and scored. Finally, the performance growth score and the acceleration score are weighted and summed to obtain a comprehensive score, which is the net profit attributable to the parent company momentum acceleration factor value of the stock. This factor is designed to capture companies with accelerated performance growth because they may have higher earnings elasticity and excess return potential. In practical applications, information such as performance forecasts and flash reports can be combined to improve the timeliness and accuracy of the factor.