Barra China Equity Model (CNE5)
Descriptor Details
September 2013
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 Beta (β) 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 , 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:
乡贡进士
Momentum Definition:
1.00 RSTR Components:
RSTR Relative strength Computed as the sum of excess log returns over the trailing T = 504 trading days with a lag of L = 21 trading days, 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 Natural log of market cap Computed by the logarithm of the total market capitalization of the firm.
Style:
Earnings Yield Definition: 0.68 · EPIBS + 0.11 · ETOP + 0.21 · CETOP
Components: EPIBS Analyst Predicted Earnings-to-Price Earnings-to-price ratio forecasted by analysts.
ETOP Trailing earnings-to-price ratio 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. CETOP Cash earnings-to-price ratio Computed by dividing the trailing 12-month cash earnings divided by current price.
Style:
Residual Volatility Definition:
0.74· DASTD + 0.16 · CMRA + 0.10 · HSIGMA Components: DASTD Daily standard deviation Computed as the volatility of daily excess returns over the past 252 trading days with a half-life of 42 trading days.
CMRA Cumulative range This descriptor differentiates stocks that have experienced wide swings ov
er 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, Z (T )=∑�ln (1+r τ)−ln�1+r fτ��T
税目有哪些
琢的多音字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 =
Z max − Z min , (4)
where, Z max =max {Z (T )} , Z min =min {Z (T )} T = 1,...,12
HSIGMA Historical sigma (σ)
Computed as the volatility of residual returns in Equation 1, 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 Volatilit
y factor is orthogonalized to Beta to reduce
collinearity.
Definition: 0.47 · SGRO + 0.24 · EGRO +0.18 · EGIBS + 0.11 · EGIBS_s
Components: SGRO Sales growth (trailing five years)
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.
EGRO Earnings growth (trailing five years)
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.
语言文字工作总结
EGIBS Long-term Predicted Earnings Growth
Long-term earnings growth forecasted by analysts.
EGIBS_s Short-term Predicted Earnings Growth
Short-term earnings growth forecasted by analysts.
Style: Book-to-Price
中班垃圾分类教案Definition: 1.00 · BTOP
Components: BTOP Book-to-Price
Last reported book value of common equity divided by current market
capitalization.
Style: Leverage
Definition: 0.38 · MLEV + 0.35 · DTOA + 0.27 · BLEV
Components: MLEV Market leverage
Computed as,
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 Debt-to-asts
Computed as,
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 Book leverage
Computed as
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 Share turnover, one month Computed as the log of the sum of daily turnover during the previous 21 trading days, 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 Average share turnover, trailing 3 months 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, STOQ =ln �1T ∑exp (STOM τ)T τ=1�, (10) where, T = 3 months.
STOA Average share turnover, trailing 12 months 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, STOA =ln �1T ∑exp (STOM τ)T τ=1�, (11) where, T = 12 months. Style:
Non-linear Size Definition:
1.00 · NLSIZE Components:
NLSIZE Cube of Size 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.
lobal Client Service Assistance Available 24 Hours a Day
mericas Notice and Disclaimer
•This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the “Information”) is the property of MSCI Inc. or its subsidiaries (collectively, “MSCI”), or MSCI’s licensors, direct or indirect suppliers or any third party involved in making or compiling any Information (collectively, with MSCI, the “Information Providers”) and is provided for informational purpos only. The Information may not be reproduced or redisminated in whole or in part without prior written permission from MSCI.
•The Information may not be ud to create derivative works or to verify or correct other data or information. For example (but without limitation), the Information may not be ud to create indices, databas, risk models, analytics, software, or in connection with the issuing, offering, sponsoring, managing or marketing of any curities, portfolios, financial products or other investment vehicles utilizing or bad on, linked to, tracking or otherwi derived from the Information or any other MSCI data, information, products or rvices.
•The ur of the Information assumes the entire risk of any u it may make or permit to be made of the Information. NONE OF THE INFORMATION PROVIDERS MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PE四个太阳
监理实习日志
RMITTED BY APPLICABLE LAW, EACH INFORMATION PROVIDER EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE INFORMATION.
•Without limiting any of the foregoing and to the maximum extent permitted by applicable law, in no event shall any Information Provider have any liability regarding any of the Information for any direct, indirect, special, punitive, conquential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited, including without limitation (as applicable), any liability for death or personal injury to the extent that such injury results from the negligence or willful default of itlf, its rvants, agents or sub-contractors.
•Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results. •None of the Information constitutes an offer to ll (or a solicitation of an offer to buy), any curity, financial product or other investment vehicle or any
trading strategy.
•You cannot invest in an index. MSCI does not issue, sponsor, endor, market, offer, review or otherwi express any opinion regarding any investment or financial product that may be bad on or linked to the performance of any MSCI index.
•MSCI’s indirect wholly-owned subsidiary Institutional Shareholder Services, Inc. (“ISS”) is a Registered Investment Advir under the Investment Advirs Act of 1940. Except with respect to any applicable products or rvices from ISS (including applicable products or rvices from MSCI ESG Rearch, which are provided by ISS), neither MSCI nor any of its products or rvices recommends, endors, approves or otherwi express any opinion regarding any issuer, curities, financial products or instruments or trading strategies and neither MSCI nor any of its products or rvices is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such.
•The MSCI ESG Indices u ratings and other data, analysis and information from MSCI ESG Rearch. MSCI ESG Rearch is produced by ISS or its subsidiaries. Issuers mentioned or included in any MSCI ESG Rearch materials may be a client of MSCI, ISS, or another MSCI subsi
diary, or the parent of, or affiliated with, a client of MSCI, ISS, or another MSCI subsidiary, including ISS Corporate Services, Inc., which provides tools and rvices to issuers. MSCI ESG Rearch materials, including materials utilized in any MSCI ESG Indices or other products, have not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body.
•Any u of or access to products, rvices or information of MSCI requires a licen from MSCI. MSCI, Barra, RiskMetrics, IPD, ISS, FEA, InvestorForce, and other MSCI brands and product names are the trademarks, rvice marks, or registered trademarks of MSCI or its subsidiaries in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property of MSCI and Standard & Poor’s. “Global Industry Classification Standard (GICS)” is a rvice mark of MSCI and Standard & Poor’s.
ericas anta
ton cago ntreal nterrey w York
Francisco Paulo mford onto 1.888.588.4567 (toll free) + 1.404.551.3212
+ 1.617.532.0920
+ 1.312.675.0545
+ 1.514.847.7506
+ 52.81.1253.4020
+ 1.212.804.3901
+ 1.415.836.8800
+ 55.11.3706.1360
+1.203.325.5630
+ 1.416.628.1007
rope, Middle East & Africa
e Town nkfurt neva don an
is + 27.21.673.0100
+ 49.69.133.859.00 + 41.22.817.9777
+ 44.20.7618.2222
+ 39.02.5849.0415 0800.91.59.17 (toll free)
ia Pacific
na North na South ng Kong ul gapore ney
yo 10800.852.1032 (toll free) 10800.152.1032 (toll free) + 852.2844.9333 00798.8521.3392 (toll free) 800.852.3749 (toll free)
+ 61.2.9033.9333
+ 81.3.5226.8222
bout MSCI
CI Inc. is a leading provider of investment decision support tools to investors globally, including ast managers, banks, hedge funds and pension funds. MSCI products rvices include indices, portfolio
risk and performance analytics, and governance tools.
company’s flagship product offerings are: the MSCI indices with clo to USD 7 trillion estimated to be benchmarked to them on a worldwide basis1; Barra multi-ast s factor models, portfolio risk and performance analytics; RiskMetrics multi-ast class market and credit risk analytics; IPD real estate information, indices and lytics; MSCI ESG (environmental, social and governance) Rearch screening, analysis and ratings; ISS governance rearch and outsourced proxy voting and reporting vices; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk rearch, legal/regulatory risk essment, and due-diligence. MSCI is headquartered in New York, with rearch and commercial offices around the world.
of September 30, 2012, as published by eVestment, Lipper and Bloomberg on January 31, 2013
Apr 2013
>属兔的
