Barra China Equity Model (CNE5)
Descriptor Details
July 2012
The ten style factors of CNE5 compri a total of 21 descriptors. This document defines the descriptors and their weights in the style factors. The descriptors are listed under the style factors to which they belong.
Style:
Beta Definition: 1.00 BETA
Components: BETA Computed as the slope coefficient in a time-ries regression of excess stock return, r t −r ft , against the cap-weighted excess return of the
estimation univer R t , Beta (β) r t −r ft =α+βR t +e t (1)
The regression coefficients are estimated over the trailing 252 trading days of returns with a half-life of 63 trading days.
Style:
Momentum
Definition: 1.00 RSTR Components: RSTR Computed as the sum of excess log returns over the trailing T = 504 trading days with a lag of L = 21 trading days, Relative strength
RSTR =∑w t �ln (1+r t )−ln�1+r ft ��T+L t=L , (2)
where, r t is the stock return on day t , r ft is the risk-free return, and w t is
an exponential weight with a half-life of 126 trading days.
Style:
Size Definition: 1.00 LNCAP
Components: LNCAP Computed by the logarithm of the total market capitalization of the firm.
shojoNatural log of market cap
日语翻译考试Style:
Earnings Yield Definition: 0.68 · EPIBS + 0.11 · ETOP + 0.21 · CETOP Components: EPIBS
Earnings-to-price ratio forecasted by analysts. Analyst Predicted Earnings-to-Price ETOP Computed by dividing the trailing 12-month earnings by the current market capitalization. Trailing earnings are defined as the last reported fiscal-year earnings plus the difference between current interim figure and the comparative interim figure from the previous year.
hargreaves
Trailing earnings-to-price ratio CETOP Computed by dividing the trailing 12-month cash earnings divided by current price. Cash earnings-to-price ratio Style:rearview
Residual Volatility Definition: 0.74· DASTD + 0.16 · CMRA + 0.10 · HSIGMA
Components: DASTD Computed as the volatility of daily excess returns over the past 252 trading days with a half-life of 42 trading days.
Daily standard deviation CMRA
This descriptor differentiates stocks that have experienced wide swings over the last 12 months from tho that have traded within a narrow range. Let Z (T ) be the cumulative excess log return over the past T months, with each month defined as the previous 21 trading days, Cumulative range
shinoZ (T )=∑�ln (1+r τ)−ln�1+r fτ��T τ=1, (3)
where, r τ is the stock return for month τ (compounded over 21 days) and r fτ is the risk-free return. The cumulative range is given by,
CMRA =ln (1+Z max )−ln (1+Z min ) , (4) where, Z max =max {Z (T )} ,
Z min =min {Z (T )} T = 1,...,12 HSIGMA Computed as the volatility of residual returns in Equation 1, Historical sigma (σ) σ=std (e t ). (5) The volatility is estimated over the trailing 252 trading days of returns with a half-life of 63 trading days. Note : The Residual Volatility factor is orthogonalized to Beta to reduce collinearity.
Definition: 0.47 · SGRO + 0.24 · EGRO +0.18 · EGIBS + 0.11 · EGIBS_s
Components: SGRO Annual reported sales per share are regresd against time over the past five fiscal years. The slope coefficient is then divided by the average annual sales per share to obtain the sales growth. Sales growth (trailing five years) EGRO Annual reported earnings per share are regresd against time over the past five fiscal years. The slope coefficient is then divided by the average annual earnings per share to obtain the earnings growth. Earnings growth (trailing five years) EGIBS Long-term earnings growth forecasted by analysts.
Long-term Predicted Earnings Growth
翻译文学EGIBS_s Short-term earnings growth forecasted by analysts. Short-term Predicted Earnings Growth Style:
Book-to-Price Definition: 1.00 · BTOP
Components: BTOP Last reported book value of common equity divided by current market capitalization. Book-to-Price
Style:
Leverage Definition: 0.38 · MLEV + 0.35 · DTOA + 0.27 · BLEV Components: MLEV Computed as, Market leverage MLEV =ME+PE+LD ME , (6) where, ME is the market value of common equity on the last trading day, PE is the most recent book value of preferred equity, and LD is the most recent book value of long-term debt. DTOA Computed as, Debt-to-asts DTOA =TD TA , (7) where, TD is the book value of total debt (long-term debt and current liabilities) and TA is most recent book value of total asts. BLEV Computed as Book leverage BLEV =BE+PE+LD BE ,
(8) where, BE is the most recent book value of common equity, PE is the most recent book value of preferred equity, and LD is the most recent book value of long-term debt.
Definition: 0.35 · STOM + 0.35 · STOQ + 0.30 · STOA Components: STOM Computed as the log of the sum of daily turnover during the previous 21 trading days, Share turnover, one month STOM =ln �∑V t S t
21t=1�, (9) where, is V t the trading volume on day t and S t is the number of shares outstanding. STOQ Let STOM τ be the share turnover for month τ, with each month consisting of 21 trading days. The quarterly share turnover is defined by, Average share turnover, trailing 3 months STOQ =ln �1T ∑exp (STOM τ)T τ=1�, (10) where, T = 3 months. STOA Let STOM τ be the share turnover for month τ, with each month consisting of 21 trading days. The annual share turnover is defined by, Average share turnove
r, trailing 12 months STOA =ln �1T ∑exp (STOM τ)T τ=1�, (11) where, T = 12 months. Style: Non-linear Size Definition: 1.00 · NLSIZE
Components: NLSIZE First, the standardized Size exposure (i.e., log of market cap) is cubed. The resulting factor is then orthogonalized to the Size factor on a regression-weighted basis. Finally, the factor is winsorized and standardized. Cube of Size
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