Bloomberg US Equity Fundamental Factor Model
The model employs a multiple factor modeling approach, which allows a responsive yet stable assessment of major risk factors affecting US Equity assets and portfolios.
Refers to performance attribution based on active weights relative to a benchmark. There are different variations, but the effects usually include allocation, security selection, currency, and potentially others.
Is another dimension of value, but distinct enough to be a standalone factor measured by the most recently announced net dividend (annualized) divided by the current market price.
Gauges how consistent earnings, cash flows, and sales have been in recent years.
Aims to capture the difference between high and low growers by using historical fundamental and forward-looking analyst data.
Is a composite metric to gauge a firm’s level of leverage.
Separates stocks that have outperformed over the past year and those that have underperformed.
The payout ratio shows the proportion of earnings paid out as dividends to shareholders, typically expressed as a percentage of the company's earnings. The payout ratio can also be expressed as dividends paid out as a proportion of cash flow.
Studies firms' profit margins to differentiate between money makers andmoney losers.
Risk-based, or factor, performance attribution
Decomposes excess return to active risk factor exposures.
S&P High Yield Dividend Index
The Index is designed to measure the performance of the top 80 high dividend-yielding companies within the S&P 500 Index
S&P High Yield Dividend Aristocrats index
The Index screens for companies that have consistently increased their dividend for at least 20 consecutive years, and weights the stocks by yield
Is a composite metric distinguishing between large and small stocks.
Is a turnover based measure. Bloomberg focuses on turnover whichis trading volume normalized by shares outstanding. This indirectly controls for the Size effect.
Is a composite metricthat differentiates “rich” and “cheap” stocks.
Differentiates more volatile stocks and less volatile ones by quantifying “volatile”from several different angles.