Quality growth momentum
factor.formula
Year-on-year growth rate of quality factor:
Calculate the percentage increase in the quality factor of the current latest reporting period relative to the same period last year (n reporting periods ago). This indicator measures the relative change in company quality.
Year-on-year increase in quality factor:
Calculate the absolute increase in the quality factor of the current latest reporting period relative to the same period last year (n reporting periods ago). This indicator measures the absolute change in company quality.
The meaning of symbols in the formula:
- :
Represents the quality factor value of the current latest reporting period, for example, the quality factor value of the most recent quarter or the most recent year. The specific time frequency used depends on the purpose of the backtest or application.
- :
Represents the quality factor value of the same period last year (n reporting periods ago). For quarterly data, n=4 means the same quarter last year; for annual data, n=1 means the same period last year.
factor.explanation
This factor captures the momentum of quality growth by calculating the year-on-year change in the company's quality factor. Compared with directly using a static quality factor, considering its changes can better reflect the potential excess returns brought about by the dynamic improvement of the company's fundamentals. Investors can build an investment portfolio by screening stocks with high quality growth momentum in order to obtain returns that outperform the market. It should be noted that the specific definition and calculation method of the quality factor will affect the final factor value and backtesting results. It is recommended to analyze and adjust it in combination with the specific definition of the quality factor and the market environment.