Net asset adjusted ROE month-on-month growth momentum
factor.formula
Momentum of ROE, QoQ =
Measures the month-on-month change in the company's rolling TTM ROE. ROE (TTM) represents the rolling 12-month return on equity; the subscript 't' represents the current period, and 't-1' represents the previous period (previous quarter). The denominator takes the absolute value of the previous period's ROE to avoid the impact of a denominator of 0 or a negative number and make the rate of change more comparable.
Year-over-Year Growth of Net Assets =
Measures the year-on-year change in equity attributable to the parent company (book value, BV) in the company's most recent reporting period. The subscript 't' represents the most recent reporting period, and 't-4' represents the reporting period of the same period last year. This indicator reflects the growth rate of the company's net assets.
in:
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Rolling 12-month return on equity. Calculated as: net profit in the last 12 months / average shareholders' equity in the last 12 months.
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The equity attributable to the parent company's shareholders, also known as book value, usually comes from the company's financial statements.
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Time mark, the subscript 't' represents the current period, 't-1' represents the previous period (previous quarter), and 't-4' represents the reporting period of the same period of the previous year
factor.explanation
This factor captures the true momentum of a company's endogenous growth by measuring the relative strength of the month-on-month growth of ROE relative to the year-on-year growth of net assets. If the month-on-month growth of ROE is significantly higher than the year-on-year growth of net assets, it indicates that the improvement in the company's profitability is not entirely dependent on scale expansion, but more from improved operating efficiency and improved earnings quality. This factor can help investors identify companies with more sustainable growth potential. This factor is suitable for growth investment strategies and can be used in combination with other fundamental factors to improve the effectiveness of stock selection.