Descriptive statistics of factors
| Factors | Mean | SD | Min. | Max. | Skewness | Kurtosis | |
|---|---|---|---|---|---|---|---|
| Momentum factors | Momentum 1-month | 0.017 | 0.223 | −1.000 | 9.368 | 7.924 | 173.089 |
| Momentum 3-month | 0.056 | 0.522 | −1.000 | 33.717 | 15.707 | 547.630 | |
| Momentum 6-month | 0.113 | 0.963 | −1.000 | 63.828 | 21.558 | 922.480 | |
| Momentum 9-month | 0.168 | 1.544 | −1.000 | 117.500 | 29.319 | 1513.085 | |
| Momentum 12-month | 0.222 | 2.112 | −1.000 | 139.000 | 27.044 | 1144.394 | |
| Value factors | Earnings/Price | −0.058 | 0.969 | −47.136 | 44.916 | −10.203 | 833.265 |
| Book/Market | 0.769 | 7.122 | −555.267 | 87.523 | −37.218 | 2135.139 | |
| EBIT/EV | 0.039 | 0.937 | −59.388 | 48.017 | −15.088 | 1836.146 | |
| EBITDA/EV | 0.106 | 3.334 | −81.820 | 511.570 | 135.358 | 20923.280 | |
| FCF/EV | −0.034 | 3.625 | −336.788 | 118.389 | −57.283 | 5287.391 | |
| Gross profits/EV | 0.309 | 21.810 | −441.178 | 3258.031 | 145.699 | 21825.637 | |
| Quality factors | ROE | 0.186 | 32.539 | −3568.206 | 3250.842 | −3.378 | 9705.057 |
| ROA | 0.036 | 31.790 | −1391.151 | 3612.443 | 67.079 | 8552.381 | |
| ROC | 0.036 | 2.149 | −98.474 | 179.211 | 31.947 | 3001.708 | |
| Gross profits/TA | 0.130 | 2.880 | −341.652 | 9.833 | −98.085 | 10389.037 | |
| Earnings quality | 0.009 | 31.664 | −1302.114 | 3623.816 | 70.280 | 8793.741 | |
| Factors | Mean | Min. | Max. | Skewness | Kurtosis | ||
|---|---|---|---|---|---|---|---|
| Momentum factors | Momentum 1-month | 0.017 | 0.223 | −1.000 | 9.368 | 7.924 | 173.089 |
| Momentum 3-month | 0.056 | 0.522 | −1.000 | 33.717 | 15.707 | 547.630 | |
| Momentum 6-month | 0.113 | 0.963 | −1.000 | 63.828 | 21.558 | 922.480 | |
| Momentum 9-month | 0.168 | 1.544 | −1.000 | 117.500 | 29.319 | 1513.085 | |
| Momentum 12-month | 0.222 | 2.112 | −1.000 | 139.000 | 27.044 | 1144.394 | |
| Value factors | Earnings/Price | −0.058 | 0.969 | −47.136 | 44.916 | −10.203 | 833.265 |
| Book/Market | 0.769 | 7.122 | −555.267 | 87.523 | −37.218 | 2135.139 | |
| EBIT/EV | 0.039 | 0.937 | −59.388 | 48.017 | −15.088 | 1836.146 | |
| EBITDA/EV | 0.106 | 3.334 | −81.820 | 511.570 | 135.358 | 20923.280 | |
| FCF/EV | −0.034 | 3.625 | −336.788 | 118.389 | −57.283 | 5287.391 | |
| Gross profits/EV | 0.309 | 21.810 | −441.178 | 3258.031 | 145.699 | 21825.637 | |
| Quality factors | 0.186 | 32.539 | −3568.206 | 3250.842 | −3.378 | 9705.057 | |
| 0.036 | 31.790 | −1391.151 | 3612.443 | 67.079 | 8552.381 | ||
| 0.036 | 2.149 | −98.474 | 179.211 | 31.947 | 3001.708 | ||
| Gross profits/TA | 0.130 | 2.880 | −341.652 | 9.833 | −98.085 | 10389.037 | |
| Earnings quality | 0.009 | 31.664 | −1302.114 | 3623.816 | 70.280 | 8793.741 | |
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