Univariate and Multivariate Factor Screens on the US
Equity Market
May 1987 through January 2003
January 2003 through March 2004
Joe Kippels
April 27, 2004
Executive Summary:
Univariate and Multivariate factor screens were used to evaluate previous U.S. equity
performance. The screens reset on a monthly basis and each stock within the universe
was placed in one of ten tiers based on its ranking within the screen. The returns were
based on fundamental and technical data with returns being measured on both an equal
weighted and value weighted basis. The FACTSET data system was used to perform the
screens and the returns referred to in this paper are those given through the FACTSET
system.
Data:
The FACTSET system used connects through to the COMPUSTAT Database. The same
dates that were run in a previous study by Kevin Stoll and Campbell Harvey were used in
this study. These dates are from May 1987 through January 2003. Some data sets were
not available dating back to May 1987 and when this was the case all available data was
used. Time periods are marked on the results. Additional runs of the data were generated
for the full year 2003 through March 2004.
The minimum market value used for the companies in the screens was $500 million kept
constant throughout the screen. The only exception to this rule was the screen based on
the market capitalization of the companies in the screen. In this screen the minimum
market capitalization of the company was $15 million in order to take into account micro
cap companies.
The number of eligible companies for the screen increases as time goes by. In 1987
slightly over 500 companies were included in the screen per month while there were
close to 2000 companies in 2003. This is partly due to the eligible market cap staying
constant through time at $500 million.
Univariate Factors Used:
Earnings Yield - Monthly
Stocks were tiered based on the earnings yield as of month-end for the dates requested.
This is calculated as Latest Twelve Months EPS divided by Price, multiplied by 100.
The data was lagged by 90 days to account for the amount of time it takes individual
companies to disclose earnings to the market.
Return on Average Total Equity
This returns the annual return on average total equity as of the fiscal year-end for the
dates requested. This is calculated as Net Income Before Extraordinary Items divided by
the one-year average of Total Stockholders Equity, multiplied by 100. The data was
lagged by 90 days to account for the amount of time it takes individual companies to
disclose earnings to the market.
Earnings Momentum - 1 Year Annual Growth
This is calculated as the Current Earnings Per Share divided by Last Year's Earnings Per
Share minus one multiplied by one hundred. The data was lagged by 90 days to account
for the amount of time it takes individual companies to disclose earnings to the market.
Price Momentum 3-Year Price Change
This measurement calculates the actual percentage change that has taken place over three
years.
Price Momentum 1-Year Price Change
This calculates the actual percentage change that has taken place over one year.
Price Momentum – Monthly Percent Change
This returns the month over month change in price as of month-end for the dates
requested. This is calculated by taking the month over month percent change.
Price Momentum – One Year Minus One Month Price Momentum
This ranks stocks based on their one year percentage gain, minus their one month
percentage gains. Stocks in the first tier of this category are those whose positive
difference between their previous year’s percentage gain and their previous month’s
percentage gain is the greatest.
Market Value - Monthly
The tiers are based on the market value as of the month-end. This is calculated as Price
multiplied by Common Shares Outstanding. For this specific screen the minimum
Market Capitalization was lowered from $500 million to $15 million to be able to capture
the returns of small and micro cap companies.
Total Debt as a Percent of Total Equity
The tiers are based on the quarterly total debt as a percent of total equity as of the fiscal
quarter-end. This is calculated as the sum of Total Long-Term Debt and Total ShortTerm Debt, divided by Total Stockholder's Equity.
Price to Book Value
This returns the price to book ratio as of the month-end. This is calculated as Price
divided by Book Value per Share. The stocks are tiered in reverse order, to give values
based on book to price, where those stocks with higher book values relative their prices
are ranking in the first tiers.
Price to Cash Flow
This is based on the latest twelve months of the quarterly price to cash flow ratio for the
fiscal quarter for the dates requested. This is calculated as Price divided by latest twelve
months of Net Cash Flow from Operations per Share. The lower the price to cash flow
ratio, the closer to the first tier the stock will be.
Dividend Yield
This is the dividend yield as of the month-end for the date(s) requested. This is
calculated as the Annualized Dividend Rate divided by Price, multiplied by 100.
Reinvestment Rate - LTM
Stocks are tiered based on the latest twelve months of the quarterly reinvestment rate as
of the fiscal quarter-end for the date(s) requested. This is calculated as the sum of the
latest four quarters of net income minus the sum of the latest four quarters calculation of
common and preferred dividends. The result is divided by stockholders equity.
Multi-Factor Model:
A final screen was performed using 4 factors to determine the tiers. The factors used
were: Earnings Yield, Return on Equity, 1 Year minus 1 Month Price Momentum, and
Cash Flow Yield. Scoring was as follows:
For Earnings Yield, stocks in the first three tiers were given scores of 3, 2, and 1
respectively and stocks in the last decile were given a score of -2.
For ROE, stocks in the first two tiers were given scores of 2 and 1, and stocks in the last
tier received a score of -3.
For 1 Year minus 1 Month Price Momentum, stocks in the first two tiers received a score
of 4 and 3, and stocks in the last two tiers received scores of -1 and -3.
For Cash Flow Yield stocks in the first three tiers received scores of 4, 4, and 3
respectively, and stocks in the last tier received a score of -4.
Overview of Findings:
The strongest correlations between univariate factor specific variables and equity
performance were found in Cash Flow to Price, Reinvestment Rate, Price Momentum,
Return on Equity, and the Earnings Yield. In a portfolio consisting of a long position in
the top 10% of stocks relative to the specific variable and a short position in the bottom
10% of stocks relative to the specific variables, monthly alphas relative to the S&P 500 of
1.7, 1.46, 1.14, and .92 were found from the initial dates tested from May 1987 through
January 2003.
Alphas and Betas are calculated through FACTSET. The alpha value of each fractile’s
constituent is the intercept of the regression line drawn for the S&P500 returns versus
those of the fractile. The Beta Value for each fractile’s constituents is the slope of the
regression line of the S&P500 returns versus those of the model.
Long - Short Portfolios
Long 1
Long 1,2
Portfolios - Equal Weighted
-1-
-2-
-3-
-4-
-5-
-6-
-7-
-8-
-9-
-10-
Short 10
Short 9,10
Earnings Yield
May 1987 - Jan 2003 90 day lag
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.17
14.98%
0.54
1.01
12.82%
0.46
0.97
12.28%
0.38
0.91
11.48%
0.27
0.87
10.95%
0.21
0.75
9.38%
0.05
0.71
8.86%
-0.02
0.58
7.19%
-0.2
0.51
6.29%
-0.3
0.45
5.54%
-0.38
9.44%
7.98%
Return on Equity
May 1987 - Jan 2003 90 day lag
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.16%
14.85%
0.26
1.03%
13.04%
0.1
0.96%
12.15%
0.12
0.97%
12.25%
0.08
0.81%
10.22%
-0.08
0.87%
10.99%
0
0.78%
9.73%
0.02
0.63%
7.85%
-0.38
0.51%
6.27%
-0.44
0.35%
4.25%
-0.76
10.60%
8.69%
Earning Momentum
May 1987 - Jan 2003 90 day lag
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.85
10.69%
0.09
0.93
11.75%
0.15
1
12.68%
0.26
1.08
13.76%
0.4
0.99
12.55%
0.35
0.91
11.48%
0.3
0.9
11.35%
0.34
0.77
9.64%
0.18
0.84
10.56%
0.18
0.78
9.77%
0.09
0.92%
1.05%
3 Year Price Momentum
Jan 1988 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.5
13.29%
-0.09
0.58
11.26%
0.02
0.66
11.66%
0.09
0.77
12.68%
0.27
0.85
12.51%
0.34
0.88
13.19%
0.39
0.74
11.19%
0.23
0.87
13.15%
0.37
0.73
11.59%
0.17
0.75
15.85%
0.25
-2.55%
-1.44%
1 Year Price Momentum
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.75
21.06%
0.64
0.74
14.80%
0.48
0.62
12.43%
0.27
0.67
11.92%
0.29
0.59
11.49%
0.23
0.59
10.56%
0.11
0.53
8.87%
0.02
0.57
7.64%
-0.15
0.41
0.16
8.01% 0.07717
-0.24
-0.41
13.35%
10.07%
1 Year minus 1 Month Price Momentum
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.85
22.30%
0.75
0.83
16.06%
0.56
0.69
12.80%
0.29
0.68
12.60%
0.31
0.68
11.32%
0.23
0.68
10.15%
0.11
0.52
9.16%
-0.02
0.43
8.66%
-0.08
0.37
7.87%
-0.22
-0.24
4.04%
-0.7
18.26%
13.22%
0.38
4.66%
-0.24
0.38
4.66%
-0.26
0.69
8.60%
0.06
0.84
10.56%
0.21
0.9
11.35%
0.29
1.03
13.08%
0.38
0.97
12.28%
0.28
0.96
12.15%
0.25
1
12.68%
0.21
0.87
10.95%
0.02
-6.30%
-7.16%
Market Cap (Small Cap to Large Cap), Minimum $15 Million
May 1987 - Jan 2003
Monthly Geometric Average Return
1.68
1.28
1.16
Average Annual Return
22.13% 16.49% 14.84%
Monthly Alpha
1.16
0.72
0.57
0.97
12.28%
0.35
1.01
12.82%
0.36
0.95
12.01%
0.29
0.9
11.35%
0.2
0.75
9.38%
0.04
0.85
10.69%
0.12
0.75
9.38%
0.02
12.75%
9.27%
1 Month Price Momentum
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
Debt to Equity
Jan 1993 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.94
11.88%
0.31
0.79
9.90%
0.26
0.69
8.60%
0.18
0.77
9.64%
0.23
0.74
9.25%
0.13
0.72
8.99%
0.08
0.67
8.34%
0.01
0.72
8.99%
0.06
0.39
4.78%
-0.36
0.95
12.01%
0.15
-0.13%
2.49%
Book to Price Ratio
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.12
14.30%
0.31
1.08
13.76%
0.26
0.97
12.28%
0.18
0.78
9.77%
0.23
0.57
7.06%
0.13
0.7
8.73%
0.08
0.53
6.55%
0.01
0.65
8.08%
0.06
0.75
9.38%
-0.36
0.8
10.03%
0.15
4.27%
4.32%
Cash Flow Yield
Jan 1994 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.26
0.00%
0.74
1.03
13.08%
0.6
1.02
12.95%
0.57
0.82
10.30%
0.36
1.07
13.62%
0.56
0.93
11.75%
0.41
0.74
9.25%
0.15
0.86
10.82%
0.22
0.5
6.17%
-0.23
-0.21
-2.49%
-0.96
2.49%
4.70%
Dividend Yield
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.88
11.09%
0.04
0.74
9.25%
-0.09
0.72
8.99%
-0.1
0.6
7.44%
-0.21
0.46
5.66%
-0.27
0.69
8.60%
0.01
0.9
11.35%
0.25
0.94
11.88%
0.34
0.94
11.88%
0.41
0.9
11.35%
0.58
-0.26%
-1.45%
Reinvestment Rate
Jan 1994 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.17
14.98%
0.47
1.24
15.94%
0.6
0.99
12.55%
0.38
0.88
11.09%
0.31
0.96
12.15%
0.4
0.77
9.64%
0.23
0.62
7.70%
0.08
0.64
7.96%
0.12
0.05
0.60%
-0.52
-0.34
-4.00%
-0.99
18.98%
17.16%
Multi-Factor Model
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.52
20.85%
0.83
1.29
17.18%
0.64
1.1
14.80%
0.46
1.03
13.96%
0.36
1.07
14.24%
0.39
0.96
12.67%
0.28
0.63
9.08%
-0.04
0.46
6.99%
-0.2
0.21
4.00%
-0.54
-0.23
1.88%
-1.1
18.97%
16.08%
Portfolios - Value Weighted
-1-
-2-
-3-
-4-
-5-
Long - Short Portfolios
-6-
-7-
-8-
-9-
-10-
Long 1
Short 10
Long 1,2
Short 9,10
Earnings Yield
May 1987 - Jan 2003 90 day lag
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.03
14.30%
0.37
0.96
12.92%
0.35
0.86
11.62%
0.24
0.86
11.76%
0.2
0.7
10.03%
0.02
0.69
9.29%
0
0.65
9.74%
-0.07
0.47
8.53%
-0.33
0.37
8.24%
-0.4
0.18
7.25%
-0.62
7.06%
5.87%
Return on Equity
May 1987 - Jan 2003 90 day lag
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.03
15.32%
0.26
0.89
13.11%
0.1
0.83
11.40%
0.12
0.84
11.75%
0.08
0.58
8.37%
-0.08
0.66
8.95%
0
0.70
10.13%
0.02
0.28
5.46%
-0.38
0.23
5.16%
-0.44
(0.01)
5.37%
-0.76
9.95%
8.95%
Earning Momentum
May 1987 - Jan 2003 90 day lag
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.51
8.72%
-0.27
1.15
17.15%
0.35
0.88
12.47%
0.11
0.87
12.73%
0.11
0.72
10.67%
0.01
0.95
13.15%
0.24
0.83
11.06%
0.22
0.61
8.65%
0.03
0.73
11.13%
0.03
0.42
7.17%
-0.28
1.55%
3.79%
3 Year Price Momentum
Jan 1988 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.29
13.11%
-0.32
0.57
8.87%
-0.34
0.37
9.56%
-0.12
0.46
8.90%
-0.11
0.79
12.59%
0.28
0.92
14.47%
0.41
0.6
8.66%
0.03
0.65
12.24%
0.26
0.72
11.89%
0.17
0.63
15.27%
0.29
-2.16%
-2.59%
1 Year Price Momentum
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.76
21.95%
0.64
0.73
10.87%
0.48
0.62
12.30%
0.28
0.68
12.09%
0.28
0.6
8.44%
0.24
0.59
7.64%
0.12
0.52
9.28%
0.01
0.55
7.00%
-0.15
0.42
0.15
6.17% 0.05383
-0.23
-0.42
16.57%
10.63%
1 Year minus 1 Month Price Momentum
May 1987 - Jan 2003
Monthly Geometric Average Return
0.87
Average Annual Return
22.21%
Monthly Alpha
0.73
0.55
12.38%
0.17
0.66
12.17%
0.13
0.74
11.79%
0.27
0.46
10.37%
0.09
0.5
8.04%
-0.12
0.27
8.35%
-0.13
0.36
7.36%
-0.16
-0.04
3.51%
-0.55
-0.31
2.26%
-0.68
19.95%
14.40%
0.25
8.60%
-0.26
0.25
7.21%
-0.24
0.33
9.31%
-0.1
0.35
10.10%
0.08
0.49
10.98%
0.06
0.61
10.93%
0.09
0.33
10.21%
-0.01
0.62
12.44%
0.08
0.53
9.39%
-0.16
0.57%
-1.63%
Market Cap (Small Cap to Large Cap), Minimum $15 Million
May 1987 - Jan 2003
Monthly Geometric Average Return
1.66
1.28
1.14
Average Annual Return
16.58% 13.99% 12.58%
Monthly Alpha
1.14
0.72
0.55
0.95
13.05%
0.33
0.99
10.94%
0.35
0.95
11.42%
0.29
0.91
10.79%
0.21
0.74
9.06%
0.03
0.85
8.21%
0.11
0.66
10.53%
-0.07
6.06%
5.92%
Debt to Equity
Jan 1993 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.81
12.84%
0.08
0.52
11.27%
-0.12
0.54
11.33%
0.01
0.65
11.11%
0.09
0.62
9.86%
-0.02
0.64
10.16%
0.04
0.53
8.00%
-0.09
0.78
6.24%
0.06
0.29
6.13%
-0.49
1.11
10.20%
0.21
2.64%
3.89%
Book to Price Ratio
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.82
16.58%
0.1
0.81
13.99%
0.15
0.84
12.58%
0.22
0.7
13.05%
0.04
0.59
10.94%
-0.09
0.56
11.42%
-0.13
0.72
10.79%
-0.04
0.74
9.06%
0.02
0.69
8.21%
-0.08
0.66
10.53%
-0.1
6.06%
5.92%
Cash Flow Yield
Jan 1994 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.09
13.79%
0.54
1.41
15.83%
0.9
1.1
12.88%
0.58
0.69
8.57%
0.14
0.98
11.76%
0.4
0.68
8.65%
0.11
0.7
8.76%
0.05
0.81
11.11%
0.17
0.83
11.86%
0.11
-0.53
-1.41%
-1.32
15.20%
9.59%
Dividend Yield
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.92
16.01%
0.11
0.64
11.72%
-0.15
0.63
9.61%
-0.2
0.61
11.08%
-0.22
0.37
7.42%
-0.44
0.45
7.95%
-0.3
0.78
11.56%
0.11
0.74
9.99%
0.12
0.93
12.19%
0.34
0.94
12.47%
0.57
3.53%
1.53%
Reinvestment Rate
Jan 1994 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.13
16.46%
0.38
1.03
14.01%
0.32
1.02
12.56%
0.42
0.82
10.14%
0.18
0.74
9.64%
0.15
0.58
7.68%
-0.06
0.28
4.22%
-0.34
0.4
6.52%
-0.25
-0.23
-0.79%
-0.91
-0.56
1.71%
-1.23
14.75%
14.78%
Multi-Factor Model
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
1.45
20.34%
0.76
1.06
14.39%
0.4
0.75
10.91%
0.08
0.88
12.36%
0.21
0.94
13.10%
0.23
0.75
10.28%
0.04
0.66
9.75%
-0.03
0.41
6.24%
-0.27
-0.02
2.12%
-0.76
-0.49
-2.07%
-1.31
22.41%
17.35%
1 Month Price Momentum
May 1987 - Jan 2003
Monthly Geometric Average Return
Average Annual Return
Monthly Alpha
0.07
9.95%
-0.11
Equal Weight Portfolios
TIERS
-1-
-2-
-3-
-4-
-5-
-6-
-7-
-8-
-9-
-10-
Earning Yield 90 Day Lag
May 1987 - Jan 2003 90 day lag
Alpha
Beta
0.54
0.86
0.46
0.74
0.38
0.77
0.27
0.84
0.21
0.89
0.05
0.92
-0.02
0.99
-0.2
1.14
-0.3
1.28
-0.38
1.35
ROE 90 Day Lag
May 1987 - Jan 2003 90 day lag
Alpha
Beta
0.36
1.1
0.26
1.03
0.26
0.94
0.28
0.92
0.16
0.86
0.24
0.83
0.13
0.85
-0.02
0.87
-0.21
1.03
-0.44
1.39
Earnings Momentum 90 Day Lag
May 1987 - Jan 2003 90 day lag
Alpha
Beta
0.09
1.08
0.15
1.09
0.26
1.01
0.4
0.9
0.35
0.83
0.3
0.8
0.34
0.73
0.18
0.77
0.18
0.88
0.09
0.93
3 Year Price Momentum
Jan 1988 - Jan 2003
Alpha
Beta
-0.09
1.24
0.02 0.09
1 0.93
0.27
0.83
0.34
0.77
0.39
0.74
0.23
0.74
0.37
0.77
0.17
0.85
0.25
1.15
1 Year Price Momentum
May 1987 - Jan 2003
Alpha
Beta
0.64
1.11
0.48 0.27
0.89 0.85
0.29
0.83
0.23
0.8
0.11
0.8
0.02 -0.15 -0.24 -0.41
0.82 0.91 1.06 1.37
1 Year minus 1 Month Price Momentum
May 1987 - Jan 2003
Alpha
Beta
0.75
1.12
0.56 0.29
0.9 0.9
0.31
0.82
0.23
0.81
0.11 -0.02 -0.08 -0.22
0.82 0.85 0.91 1.04
-0.7
1.26
1 Month Price Momentum
May 1987 - Jan 2003
Alpha
Beta
-0.24
1.01
-0.26
0.89
0.06
0.83
0.21
0.84
0.29
0.79
0.38
0.85
0.28
0.91
0.25
0.94
0.21
1.12
0.02
1.35
Market Cap, Minimum $15 Million
May 1987 - Jan 2003
Alpha
Beta
1.16
0.81
0.72
0.84
0.57
0.86
0.35
0.88
0.36
0.92
0.29
0.92
0.2
0.97
0.04
0.96
0.12
0.99
0.02
0.95
Debt to Equity Ratio
Jan 1993 - Jan 2003
Alpha
Beta
0.31
0.9
0.26
0.75
0.18
0.72
0.23
0.76
0.13
0.87
0.08
0.93
0.01
0.97
0.06
1.1
-0.36
1.38
0.15
1.44
Book to Price Ratio
May 1987 - Jan 2003
Alpha
Beta
0.41
1
0.47
0.82
0.36
0.8
0.13
0.86
-0.12
0.92
-0.03
0.97
-0.22
1.03
-0.1
1.05
0.01
1.1
0.07
1.21
Cash Flow Yield, 1 Quarter Lag
Jan 1994 - Jan 2003
Alpha
Beta
0.74
0.81
0.6
0.66
0.57
0.68
0.36
0.68
0.56
0.76
0.41
0.78
0.15
0.87
0.22
0.98
-0.23
1.2
-0.96
1.52
Dividend Yield
May 1987 - Jan 2003
Alpha
Beta
0.04
1.28
-0.09
1.26
-0.1
1.22
-0.21
1.18
-0.27
1
0.01
0.89
0.25
0.86
0.34
0.8
0.41
0.69
0.58
0.42
Reinvestment Rate
Jan 1994 - Jan 2003
Alpha
Beta
0.47
1.12
0.6
0.99
0.38
0.93
0.31
0.86
0.4
0.83
0.23
0.8
0.08
0.8
0.12
0.77
-0.52
0.9
-0.99
1.44
Multi-Factor Model
May 1987 - Jan 2003
Alpha
Beta
0.83
0.94
0.64
0.88
0.46
0.86
0.36
0.87
0.39
0.9
0.28
0.9
-0.04
0.9
-0.2
0.88
-0.54
1.04
-1.1
1.39
Value Weight Portfolios
TIERS
-1-
-2-
-3-
-4-
-5-
-6-
-7-
-8-
-9-
-10-
Earning Yield 90 Day Lag
May 1987 - Jan 2003 90 day lag
Alpha
Beta
0.37
0.89
0.35
0.8
0.24
0.82
0.2
0.87
0.02
0.9
0
0.91
-0.07
0.95
-0.33
1.1
-0.4
1.18
-0.62
1.22
ROE 90 Day Lag
May 1987 - Jan 2003 90 day lag
Alpha
Beta
0.26
1.02
0.1
1.05
0.12
0.93
0.08
1
-0.08
0.86
0
0.88
0.02
0.9
-0.38
0.92
-0.44
0.98
-0.76
1.25
Earnings Momentum 90 Day Lag
May 1987 - Jan 2003 90 day lag
Alpha
Beta
-0.27
1.09
0.35
1.11
0.11
1.04
0.11
1.02
0.01
0.94
0.24
0.92
0.22
0.79
0.03
0.75
0.03
0.92
-0.28
0.94
3 Year Price Momentum
Jan 1988 - Jan 2003
Alpha
Beta
-0.32
1.26
-0.34 -0.12
1.07 0.94
-0.11
0.85
0.28
0.79
0.41
0.8
0.03
0.75
0.26
0.78
0.17
0.85
0.29
1.05
1 Year Price Momentum
May 1987 - Jan 2003
Alpha
Beta
0.64
1.11
0.48
0.89
0.28
0.85
0.28
0.83
0.24
0.8
0.12
0.8
0.01
0.82
-0.15
0.91
-0.23
1.06
-0.42
1.37
1 Year minus 1 Month Price Momentum
May 1987 - Jan 2003
Alpha
Beta
0.73
1.07
0.17
0.93
0.13
0.95
0.27
0.81
0.09
0.85
-0.12
0.84
-0.13
0.9
-0.16
0.91
-0.55
0.98
-0.68
1.1
1 Month Price Momentum
May 1987 - Jan 2003
Alpha
Beta
-0.11
0.99
-0.26 -0.24
0.99 0.91
-0.1
0.9
0.08
0.86
0.06
0.91
0.09
0.94
-0.01
0.95
0.08
1.07
-0.16
1.22
Market Cap, Minimum $15 Million
May 1987 - Jan 2003
Alpha
Beta
1.14
0.82
0.72
0.83
0.55
0.86
0.33
0.89
0.35
0.91
0.29
0.92
0.21
0.97
0.03
0.97
0.11
0.99
-0.07
0.95
Debt to Equity Ratio
Jan 1993 - Jan 2003
Alpha
Beta
0.08
1.06
-0.12
0.9
0.01
0.75
0.09
0.79
-0.02
0.89
0.04
0.86
-0.09
0.86
0.06
1.13
-0.49
1.46
0.21
1.57
Book to Price Ratio
May 1987 - Jan 2003
Alpha
Beta
0.1
1
0.15
0.89
0.22
0.82
0.04
0.87
-0.09
0.9
-0.13
0.91
-0.04
1.01
0.02
0.96
-0.08
1.04
-0.1
1.06
Cash Flow Yield, 1 Quarter Lag
Jan 1994 - Jan 2003
Alpha
Beta
0.54
0.84
0.9
0.76
0.58
0.78
0.14
0.8
0.4
0.85
0.11
0.83
0.05
0.96
0.17
0.94
0.11
1.14
-1.32
1.4
Dividend Yield
May 1987 - Jan 2003
Alpha
Beta
0.11
1.25
-0.15
1.2
-0.2
1.25
-0.22
1.23
-0.44
1.11
-0.3
0.99
0.11
0.88
0.12
0.81
0.34
0.77
0.57
0.49
Reinvestment Rate
Jan 1994 - Jan 2003
Alpha
Beta
0.38
1.16
0.32
1.06
0.42
0.88
0.18
0.95
0.15
0.87
-0.06
0.96
-0.34
0.92
-0.25
0.99
-0.91
1.09
-1.23
1.38
Multi-Factor Model
May 1987 - Jan 2003
Alpha
Beta
0.76
0.97
0.4
0.92
0.08
0.88
0.21
0.87
0.23
0.93
0.04
0.93
-0.03
0.92
-0.27
0.9
-0.76
1.02
-1.31
1.23
EARNINGS YIELD
Results indicate that there is a positive correlation to earnings yield and positive stock
returns. An equally weighted market neutral portfolio consisting of long positions in the
10% of stocks with the earnings yield and short positions in the 10% of stocks with the
lowest earnings yield would have given the returns depicted in the graph below.
Earnings Yield, 90 Day Lag
100%
50%
Equal Weight
0%
19
87
19
89
19
91
19
93
19
95
19
97
19
99
20
01
Value Weight
-50%
-100%
Earnings Yield 2003-2004 results
These results have not held constant from January 2003 through March of 2004. Over
the 15 months in an equally weighted portfolio stocks in the top 10% of earnings yield
have gained a geometric average of 3.95% per month while those in the bottom 10% have
gained a geometric average of 5.06%. A similar portfolio during this period would have
yielded the following monthly returns:
Earnings Yield, 90 Day Lag
10.00%
5.00%
0.00%
c
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
-5.00%
-10.00%
-15.00%
-20.00%
Equal Weight
Value Weighted
Earnings Yield 90 Day Lag Equal Weight
Model:
JK_CM_EARNINGYIELD_L90_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
-121682
1.17
0.71
4.85
2.83
0.16
58.42
54.24
65.28
17.59
17.04
34.84
31.98
3993.46
0.3
2.51
0.37
2.9
0.54
2.61
0.86
19.14
0.66
16.71
7.23
9178.67
11.47
7.88
-221702
1.01
0.83
4.15
2.41
0.15
52.63
44.07
66.67
35.11
34.68
70.12
68.33
4347.21
0.11
2.66
0.19
2.69
0.46
2.6
0.74
19.25
0.66
8.52
6
15
8.56
1.51
-321742
0.97
0.72
4.13
2.15
0.14
51.58
44.92
62.5
42.35
41.99
84.74
80.97
5239.01
0.07
2.4
0.15
2.4
0.38
2.45
0.77
22.44
0.73
7.2
5.07
12.61
7.34
1.35
Earnings Yield 90 Day Lag Equal Weight
1987
-1.690%
1988
30.108%
1989
35.365%
1990
-7.758%
1991
61.203%
1992
18.613%
1993
19.487%
1994
-0.754%
1995
37.305%
1996
24.302%
1997
35.905%
1998
-9.156%
1999
14.365%
2000
14.877%
2001
11.233%
2002
-4.006%
2003
-3.932%
Arithmetic Mean
16.204%
Average Monthly Alpha
0.54
-1.558%
17.202%
22.996%
-6.272%
53.661%
17.914%
14.805%
-5.208%
37.131%
25.299%
35.458%
0.486%
-3.021%
21.380%
15.061%
-4.260%
-4.512%
13.915%
0.46
-0.865%
19.975%
24.298%
-8.733%
46.152%
14.768%
12.100%
-0.834%
32.139%
23.337%
31.822%
4.086%
1.616%
13.624%
11.399%
-2.906%
-5.319%
12.745%
0.38
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
FractileSummary
of Cos 230192
Return
0.84
Return
0.53
Return
4.86
Risk
2.08
Ratio
0.09
Bench
51.05
Bench
48.31
Bench
55.56
Cos
2.76
Cos
2.06
Turnover
4.87
Turnover
0.61
Mcap 6026.90
vsUniv
0.00
vsUniv
0.00
vsBench
0.06
vsBench
2.09
Alpha
0.12
(Alpha)
0.78
Beta
0.96
(Beta)
28.91
(Beta)
0.82
Avg
0.38
Low
-393825.41
High 9178.67
Med
5.10
Std
20.22
Equal Wgt. Returns
JKUSMRKT_500Mil
SP50
0.77
0.41
Custom Ret Formula:
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Earnings Yield
Factor2:
-421771
0.91
0.69
4.41
2.12
0.11
51.05
44.92
61.11
45.45
45.12
91
86.83
6037.13
0.03
1.98
0.11
2.24
0.27
1.77
0.84
24.92
0.77
6.21
4.28
10.53
6.29
1.25
-521814
0.87
0.62
4.57
2.09
0.1
54.21
51.69
58.33
46.29
45.95
92.65
85.8
6898.63
0.01
1.74
0.09
2.15
0.21
1.36
0.89
26.66
0.79
5.33
3.53
9.1
5.47
1.18
-621848
0.75
0.59
4.66
1.93
0.07
45.26
40.68
52.78
44.63
44.28
89.32
79.36
7797.53
-0.11
1.53
-0.03
1.96
0.05
0.38
0.92
30.13
0.83
4.51
2.35
8.04
4.78
1.19
-721832
0.71
0.57
5.15
2.47
0.06
47.37
45.76
50
40.16
39.77
80.3
67.36
8949.27
-0.12
1.33
-0.06
2.47
-0.02
-0.09
0.99
25.1
0.77
3.65
1.17
7.28
4.04
1.28
-821786
0.58
0.27
6.45
3.8
0.03
49.47
54.24
41.67
31.02
30.59
61.94
50.05
8483.69
-0.2
2.54
-0.16
3.85
-0.2
-0.73
1.14
18.81
0.65
2.59
-1.06
6.44
3.16
1.45
-921754
0.51
0.11
7.77
5.11
0.01
53.68
61.86
40.28
21.36
20.84
42.44
33.61
6256.21
-0.22
4.04
-0.19
5.26
-0.3
-0.81
1.28
15.72
0.57
0.65
-8.99
5.71
1.75
2.01
-1021722
0.45
-0.33
8.28
5.51
0.01
48.95
60.17
30.56
13.12
12.53
25.82
23.15
3726.42
-0.26
4.54
-0.23
5.73
-0.38
-0.94
1.35
15.38
0.56
-89.22
-393825.4
3.97
-3.12
200.12
-2.234% -1.413% -0.994% -1.839% -1.795% -0.911% -2.845%
21.880% 26.472% 21.499%
9.740%
7.316% 12.550% 18.497%
29.383% 28.777% 22.485% 31.165% 31.845% 23.897% 28.550%
-5.136% -4.650% -3.447%
0.482% -6.927% -7.905% -18.709%
36.671% 29.664% 28.920% 39.453% 35.308% 45.339% 30.846%
11.698% 13.519%
9.603% 10.793% 15.378% 15.388%
9.395%
18.373% 15.214% 15.599% 14.383% 20.187% 27.471% 35.997%
2.280% -0.750%
2.558%
3.252%
1.611%
2.788%
6.370%
29.603% 28.296% 25.689% 23.730% 23.959% 25.383% 30.909%
20.600% 21.585% 20.769% 15.707% 23.503% 17.895%
7.614%
32.176% 29.771% 20.580% 25.742% 15.468%
8.111% 16.134%
2.694%
1.339% 11.262%
8.428% 11.587%
9.268% 19.450%
1.263%
4.473% 13.811% 24.706% 39.787% 73.631% 97.258%
15.029% 15.117% -1.264% -4.255% -22.467% -25.985% -31.352%
9.102%
9.572% -4.219% -3.446% -13.209% -25.967% -24.756%
-5.082% -12.793% -11.836% -21.213% -22.793% -37.820% -39.789%
-5.351% -4.829% -3.548% -4.855% -3.657% -3.007% -3.948%
12.526% 11.727%
9.851% 10.116%
9.123%
9.419% 10.566%
0.27
0.21
0.05
(0.02)
(0.20)
(0.30)
(0.38)
Earnings Yield 90 Day Lag Value Weight
Model:
JK_CM_EARNINGYIELD_L90_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.69
Return
0.50
Return
4.53
Risk
1.12
Ratio
0.06
Bench
47.89
Bench
42.37
Bench
56.94
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
-0.09
vsBench
1.14
Alpha
-0.04
(Alpha)
-0.54
Beta
0.96
(Beta)
53.65
(Beta)
0.94
Avg
0.50
Low -393825.41
High
9178.67
Med
5.10
Std
20.37
-121670
1.03
0.74
4.8
2.54
0.13
53.16
49.15
59.72
17.7
17.15
35.05
31.77
4025.17
0.32
2.61
0.24
2.59
0.37
2
0.89
21.95
0.72
16.67
7.19
9178.67
11.46
7.94
Earnings Yield 90 Day Lag Value Weight
1987
-1.959%
1988
32.132%
1989
26.485%
1990
-11.766%
1991
45.534%
1992
9.413%
1993
22.544%
1994
-3.224%
1995
33.206%
1996
21.814%
1997
37.461%
1998
13.604%
1999
19.199%
2000
13.260%
2001
-4.183%
2002
-5.627%
2003
-4.710%
Arithmetic Mean
14.305%
Average Monthly Alpha
0.37
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-221692
0.96
0.73
4.24
2.16
0.13
53.68
46.61
65.28
35.15
34.73
70.21
68.52
4362.81
0.22
2.61
0.15
2.35
0.35
2.25
0.8
23.21
0.74
8.51
5.99
14.99
8.55
1.49
-321725
0.86
0.68
4.29
2.07
0.11
50.53
45.76
58.33
42.49
42.14
85.03
81.19
5262.75
0.14
2.39
0.06
2.23
0.24
1.6
0.82
24.9
0.77
7.2
5.07
12.32
7.34
1.33
Custom Ret Formula:
Model Run Date:
Mon Apr 19 15:42:59 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Return on Average Total Equity
Factor2:
-421764
0.86
0.52
4.39
1.85
0.1
51.05
41.53
66.67
45.53
45.19
91.14
85.79
6042.37
0.15
2.1
0.07
1.94
0.2
1.51
0.87
29.55
0.82
6.21
4.28
10.51
6.3
1.24
-521803
0.7
0.43
4.47
1.75
0.07
46.84
44.92
50
46.16
45.81
92.39
84.22
6850.05
-0.01
2.06
-0.09
1.81
0.02
0.12
0.9
32.25
0.85
5.34
3.54
9.01
5.47
1.17
-621845
0.69
0.51
4.48
1.66
0.06
47.37
38.98
61.11
44.52
44.18
89.1
78.78
7798.98
-0.02
1.94
-0.1
1.71
0
0
0.91
34.36
0.86
4.53
2.36
8.03
4.78
1.18
-721822
0.65
0.49
4.76
1.87
0.05
43.16
37.29
52.78
40.14
39.76
80.27
66.96
8928.57
-0.05
1.75
-0.13
1.88
-0.07
-0.54
0.95
32.13
0.85
3.67
1.19
7.26
4.05
1.28
-821785
0.47
0.13
5.68
2.64
0.01
48.42
50
45.83
30.98
30.55
61.86
49.55
8471.75
-0.18
2.09
-0.28
2.68
-0.33
-1.7
1.1
26.04
0.78
2.6
-1.06
6.44
3.16
1.44
-921746
0.37
-0.06
7.22
4.8
-0.01
46.32
47.46
44.44
21.33
20.82
42.4
33.03
6270.4
-0.25
4.15
-0.36
4.86
-0.4
-1.14
1.18
15.42
0.56
0.69
-8.78
5.74
1.76
1.99
-1021710
0.18
-0.5
7.22
4.56
-0.03
45.79
51.69
36.11
13.22
12.64
26.03
22.76
3764.51
-0.43
4.09
-0.54
4.67
-0.62
-1.87
1.22
16.86
0.6
-87.4
-393825.4
3.98
-3.13
201.96
-0.928% -1.321% -1.811% -1.632% -0.344% -1.244% -1.952%
0.414% -1.365%
13.627% 15.875% 14.995% 19.734% 18.846%
4.757%
7.829% 17.038% 23.029%
28.996% 31.830% 20.010% 37.366% 21.830% 32.197% 33.217% 12.920% 20.825%
-5.837% -5.607% 10.019% -2.402% -3.758%
5.484%
0.325% -9.683% -17.651%
38.781% 27.528% 29.005% 22.719% 25.403% 37.187% 37.369% 46.253% 15.806%
11.625% 11.925% 10.763%
4.455%
0.844% -2.240%
2.657%
2.855% 14.119%
15.857%
9.816% 13.147%
8.970%
7.890%
3.706%
9.435% 29.276% 34.057%
-5.848% -0.019%
5.886% -4.618%
0.108%
6.499% 11.127%
6.255%
9.259%
41.401% 36.283% 37.878% 32.203% 33.879% 26.927% 25.607% 15.169% 11.482%
27.573% 22.590% 23.702% 31.382% 22.023% 18.192% 21.160% 18.230% -1.818%
42.795% 29.634% 29.063% 31.684% 32.189% 27.862% 25.164%
6.463% 20.743%
10.305% 16.757%
9.254% 12.909% 29.315% 27.315% 23.321% 39.606% 26.330%
-0.349%
6.389% 12.822%
2.972% 10.117% 39.775% 37.263% 72.345% 91.866%
14.636% 13.647% 11.614%
8.340% -8.052% -22.325% -34.355% -31.909% -35.840%
0.680%
1.657% -2.936% -9.027% -13.632% -11.652% -23.365% -46.786% -37.376%
-8.223% -14.120% -16.877% -19.208% -14.259% -21.509% -27.980% -36.411% -47.509%
-5.399% -5.277% -6.604% -5.295% -4.484% -5.390% -1.799% -1.980% -2.776%
12.923% 11.623% 11.761% 10.032%
9.289%
9.738%
8.531%
8.238%
7.246%
0.35
0.24
0.20
0.02
(0.07)
(0.33)
(0.40)
(0.62)
RETURN ON EQUITY
Results indicate that there is a positive correlation to Return on Equity and positive stock
returns. An equally weighted market neutral portfolio consisting of long positions in the
10% of stocks with the greatest Return on Equity and short positions in the 10% of stocks
with the worst Return on Equity would have given the returns depicted in the graph
below.
ROE 90 Day Lag
100%
50%
Equal Weight
Value Weight
01
20
99
19
97
19
95
19
93
19
89
91
19
19
-50%
19
87
0%
-100%
2003-2004 results
These results have not held constant from January 2003 through March of 2004. Over
the 15 months, stocks in the top 10% of year over year earnings momentum have gained
a geometric average of 2.93% per month in an equally weighted portfolio while those in
the bottom 10% have gained a geometric average of 4.41%. A similar portfolio during
this period would have yielded the following returns:
ROE, 90 Day Lag
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%
-14.00%
Equal Weight
Value Weighted
ROE 90 Day Lag Equal Weight
Model:
JK_ROE_L90_8703
Start Date: 4/31/1987
End Date: 1/31/2003
Rebalance Frequency:
1 - Month
Return Frequency:
1 - Month
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Return Type:
Universe[FRM]:
Benchmark:
Bench Val:
RFRate:
Summary
230192
0.84
0.53
4.86
2.08
0.09
51.05
48.31
55.56
2.76
2.06
4.87
0.61
6026.90
0.00
0.00
0.06
2.09
0.12
0.78
0.96
28.91
0.82
11.81
-41876.32
13999.95
14.13
9.96
ROE 90 Day Lag Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
Equal Wgt. Returns
JKUSMRKT_500Mil
SP50
0.77
0.41
Custom Ret Formula:
Model Run Date:
Fri Mar 26 12:11:37 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Return on Average Total Equity
Factor2:
-121156
1.16
0.88
5.65
2.55
0.13
54.74
59.32
47.22
6.34
5.73
12.22
7.07
10762.1
0.35
1.79
0.42
2.59
0.36
1.95
1.1
27.14
0.8
60.62
24.16
13999.95
35.72
17.05
-221180
1.03
0.8
5.22
2.2
0.12
56.32
57.63
54.17
9.18
8.61
17.98
13.59
9333.86
0.2
1.5
0.27
2.21
0.26
1.63
1.03
29.48
0.82
25.07
19.33
32
24.98
1.48
-321221
0.96
0.74
4.8
2.14
0.12
52.11
51.69
52.78
10.43
9.9
20.55
17.33
6878.56
0.11
1.71
0.18
2.16
0.26
1.65
0.94
27.52
0.8
20.22
15.72
23.94
20.23
1.1
-421248
0.97
0.78
4.69
2.07
0.12
52.63
49.15
58.33
11.43
10.93
22.61
20.82
5828.95
0.11
1.55
0.18
2.11
0.28
1.83
0.92
27.83
0.8
17.25
13.01
20.25
17.34
1.11
-2.375%
18.983%
34.057%
-0.332%
77.679%
12.653%
16.897%
4.714%
37.653%
25.457%
23.899%
17.066%
31.617%
-3.590%
1.595%
-10.365%
-3.687%
16.584%
0.26
-1.875%
19.920%
36.155%
-2.983%
46.338%
16.357%
6.499%
3.550%
33.657%
22.756%
26.655%
11.075%
24.988%
2.303%
4.559%
-7.615%
-4.457%
13.993%
0.10
-1.119%
17.827%
22.497%
-4.805%
36.447%
18.386%
12.539%
-2.282%
31.996%
26.261%
27.617%
3.373%
16.054%
13.221%
7.212%
-8.660%
-2.659%
12.583%
0.12
-1.599%
20.035%
26.776%
-5.950%
46.688%
13.610%
18.958%
-2.076%
29.544%
21.762%
28.181%
2.459%
11.462%
17.721%
6.228%
-7.956%
-4.027%
13.048%
0.08
-521291
0.81
0.58
4.52
2.18
0.09
51.58
47.46
58.33
12.39
11.9
24.55
21.63
5484.5
-0.05
1.67
0.02
2.27
0.16
1.03
0.86
24.85
0.77
14.88
10.41
18.04
15.05
1.18
-621335
0.87
0.6
4.31
2.04
0.11
50
41.53
63.89
13.04
12.56
25.88
23.76
4648.67
0
1.7
0.07
2.18
0.24
1.63
0.83
25.6
0.78
12.64
7.3
16.09
13.22
1.34
-1.116% -0.705%
16.837%
8.352%
25.573% 23.519%
-9.552% -5.615%
38.583% 38.559%
7.243% 18.158%
12.417% 20.245%
-4.028% -1.221%
30.526% 27.862%
19.481% 22.380%
35.171% 32.277%
-0.073%
4.249%
5.576%
9.639%
12.214%
9.920%
10.496%
4.534%
-9.788% -12.346%
-3.556% -5.731%
10.941% 11.416%
(0.08)
-
-721312
0.78
0.5
4.4
2.04
0.08
50
40.68
65.28
13.06
12.59
25.93
24.04
4567.98
-0.09
1.68
-0.02
2.15
0.13
0.89
0.85
26.2
0.79
10.38
4.06
14.45
11.46
1.74
-821263
0.63
0.42
4.56
2.2
0.05
48.42
43.22
56.94
13.11
12.61
25.99
22.69
5163.36
-0.23
1.3
-0.16
2.27
-0.02
-0.15
0.87
24.99
0.77
7.46
-2.05
12.49
9.09
2.46
-921236
0.51
0.01
5.99
3.68
0.02
42.63
41.53
44.44
12.04
11.5
23.76
18.96
5907.77
-0.29
2.32
-0.25
3.68
-0.21
-0.78
1.03
17.59
0.62
1.88
-28.73
10.27
5.24
4.61
-1021203
0.35
-0.41
9.14
6.54
-0.01
47.89
56.78
33.33
10.91
10.34
21.44
16.72
3845.6
-0.34
5.62
-0.32
6.79
-0.44
-0.92
1.39
13.38
0.49
-78.93
-41876.32
6.95
-6.38
95.89
-1.877% -1.711% -1.177% -2.327%
23.556% 20.771% 23.416% 17.818%
27.548% 28.939% 22.905% 24.352%
-6.801% -3.107% -16.672% -13.209%
41.277% 28.091% 25.698% 31.068%
11.669% 12.444% 17.880%
9.044%
17.577% 27.486% 27.144% 30.763%
-2.615% -1.050% 12.055%
7.232%
27.244% 31.107% 23.316% 25.713%
16.294% 14.370% 25.396% 11.235%
26.623% 16.589% 17.651% 17.725%
7.065% -0.359% -2.578% 18.638%
4.498% 14.498% 29.361% 124.056%
4.914% -6.118% -14.153% -42.849%
0.629% -3.991% -8.905% -35.580%
-9.983% -18.904% -36.331% -40.963%
-4.259% -4.985% -5.485% -3.747%
10.786%
9.063%
8.207% 10.528%
0.02
(0.38)
(0.44)
(0.76)
ROE 90 Day Lag Value Weight
JK_ROE_L90_8703
4/31/1987
1/31/2003
1 - Month
1 - Month
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Return Type:
Universe[FRM]:
Benchmark:
Bench Val:
RFRate:
Summary
230192
0.69
0.50
4.54
1.13
0.06
47.37
41.53
56.94
2.76
2.06
4.87
0.61
6026.90
0.00
0.00
-0.09
1.14
-0.04
-0.52
0.96
53.45
0.94
11.81
-41876.32
13999.95
14.13
9.96
ROE 90 Day Lag Value Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
Weighted
JKUSMRKT_500Mil
SP50
0.77
0.41
-121156
1.03
0.66
5.05
1.91
0.12
58.42
59.32
56.94
6.34
5.73
12.22
7.07
10762.1
0.34
2.03
0.26
1.91
0.26
1.89
1.02
33.6
0.86
60.62
24.16
13999.95
35.72
17.05
-221180
0.89
0.89
5.1
1.73
0.09
53.68
54.24
52.78
9.18
8.61
17.98
13.59
9333.86
0.2
1.91
0.13
1.74
0.1
0.81
1.05
38.01
0.88
25.07
19.33
32
24.98
1.48
Custom Ret Formula:
Model Run Date:
Fri Mar 26 12:11:37 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Return on Average Total Equity
Factor2:
-321221
0.83
0.61
4.52
1.55
0.09
47.37
48.31
45.83
10.43
9.9
20.55
17.33
6878.56
0.12
1.78
0.05
1.58
0.12
1.1
0.93
37.61
0.88
20.22
15.72
23.94
20.23
1.1
-421248
0.84
0.69
4.87
1.64
0.09
48.95
48.31
50
11.43
10.93
22.61
20.82
5828.95
0.15
1.7
0.07
1.64
0.08
0.68
1
38.41
0.89
17.25
13.01
20.25
17.34
1.11
-521291
0.58
0.34
4.31
1.71
0.04
43.68
39.83
50
12.39
11.9
24.55
21.63
5484.5
-0.14
1.75
-0.22
1.83
-0.08
-0.66
0.86
31.64
0.84
14.88
10.41
18.04
15.05
1.18
-621335
0.66
0.39
4.57
2.15
0.06
48.42
42.37
58.33
13.04
12.56
25.88
23.76
4648.67
-0.04
1.86
-0.13
2.22
0
0.01
0.88
25.64
0.78
12.64
7.3
16.09
13.22
1.34
-721312
0.7
0.44
4.6
2.01
0.06
51.58
44.07
63.89
13.06
12.59
25.93
24.04
4567.98
0
1.71
-0.09
2.05
0.02
0.13
0.9
28.3
0.81
10.38
4.06
14.45
11.46
1.74
-821263
0.28
-0.07
5.13
2.95
-0.02
38.42
33.9
45.83
13.11
12.61
25.99
22.69
5163.36
-0.41
2.36
-0.5
2.98
-0.38
-1.77
0.92
19.48
0.67
7.46
-2.05
12.49
9.09
2.46
-1.506% -1.991% -1.171% -1.714% -1.588% -0.343% -1.639% -0.367%
17.245% 15.875% 15.830% 16.748% 11.684%
8.100% 19.758% 24.503%
35.043% 35.434% 21.972% 30.378% 19.881% 30.715% 26.759% 26.400%
12.802%
2.313% -9.576% -2.828% -6.677% -7.116%
3.932% -11.643%
65.729% 40.339% 33.955% 36.943% 21.775% 23.717% 29.405% 17.776%
-4.285%
7.964% 16.318% 12.175%
6.091%
9.348%
6.400% -3.233%
0.174% -8.760% 15.404% 16.962%
6.592% 18.337% 19.780% 27.910%
4.864% -3.655% -2.110% -3.758%
0.762% -1.415% -1.645%
0.620%
45.960% 35.760% 34.056% 27.836% 34.919% 27.119% 29.320% 32.727%
34.271% 23.791% 23.778% 25.307% 20.187% 22.058% 17.330% 16.156%
34.418% 42.146% 28.791% 27.948% 34.803% 31.489% 23.079% 19.801%
46.274% 32.054% 22.684% 28.425% 12.278%
5.750% 13.178%
3.300%
24.257% 40.537% 18.915% 19.532% 16.771% 23.580% 35.988% 25.711%
-15.136% -8.562%
5.944% -2.392% -0.753% -13.595% -18.228% -19.461%
-15.650% -12.430% -5.233% -14.376% -18.824% -1.978% -13.604% -36.169%
-19.623% -12.711% -20.834% -12.848% -11.411% -17.748% -14.965% -26.642%
-4.337% -5.306% -4.996% -4.666% -4.232% -5.918% -2.610% -4.602%
15.324% 13.106% 11.396% 11.745%
8.368%
8.947% 10.132%
5.458%
0.26
0.10
0.12
0.08
(0.08)
0.02
(0.38)
-921236
0.23
-0.46
5.96
3.93
-0.03
38.95
37.29
41.67
12.04
11.5
23.76
18.96
5907.77
-0.43
3.09
-0.54
3.93
-0.44
-1.55
0.98
15.66
0.57
1.88
-28.73
10.27
5.24
4.61
-1021203
-0.01
-0.41
8.15
5.79
-0.05
43.68
50.85
31.94
10.91
10.34
21.44
16.72
3845.6
-0.6
5.27
-0.71
5.91
-0.76
-1.79
1.25
13.56
0.49
-78.93
-41876.32
6.95
-6.38
95.89
-0.116% -1.121%
19.206% 16.510%
5.152% 29.336%
-10.226% -9.244%
15.532% 17.872%
10.559%
2.849%
31.764% 34.210%
15.324%
7.428%
17.697% 11.317%
17.813%
1.865%
6.702% 11.300%
4.125% 22.795%
54.555% 84.551%
-30.796% -48.343%
-28.756% -40.761%
-35.877% -47.516%
-4.863% -1.686%
5.164%
5.374%
(0.44)
(0.76)
EANINGS MOMENTUM
Results indicate that there is virtually no correlation to earnings momentum and positive
stock returns. An equally weighted market neutral portfolio consisting of long positions
in the 10% of stocks with the greatest year over year percent increases in earnings and
short positions in the 10% of stocks with the worst year over year percent increases in
earnings would have given the returns depicted in the graph below.
Earnings Momentum, 90 Day Lag
40%
20%
Equal Weight
0%
19
87
19
89
19
91
19
93
19
95
19
97
19
99
20
01
Value Weight
-20%
-40%
2003-2004 results
Over the 15 months from January 2003 through March of 2004, stocks in the top 10% of
year over year earnings momentum have gained a geometric average of 2.95% per month
in an equally weighted portfolio while those in the bottom 10% have gained a geometric
average of 3.00%. A portfolio during this period would have yielded the following
returns:
Earnings Momentum, 90 Day Lag
4.00%
2.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
Equal Weight
Value Weighted
Earnings Momentum 90 Day Lag Equal Weight
Model:
JK_WS_EARNINGMOMENTUM_L90_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Summary
230192
0.84
0.53
4.86
2.08
0.09
51.05
48.31
55.56
2.76
2.06
4.87
0.61
6026.90
0.00
0.00
0.06
2.09
0.12
0.78
0.96
28.91
0.82
57.28
-100.00
42300.00
15.06
28.20
-116079
0.85
0.53
5.9
3.19
0.08
49.47
56.78
37.5
11.25
10.75
22.31
19.26
5567.56
0.05
2.19
0.11
3.21
0.09
0.37
1.08
21.37
0.71
597.75
46.05
42300
167.53
253.59
Equal Wgt. Returns
JKUSMRKT_500Mil
SP50
0.77
0.41
-216096
0.93
0.76
5.76
2.85
0.09
54.21
61.86
41.67
13.37
12.87
26.54
21.86
6258.53
0.13
1.97
0.19
2.89
0.15
0.71
1.09
24.04
0.75
65.81
24.27
163.71
58.16
17.49
Custom Ret Formula:
Model Run Date:
Fri Mar 26 17:13:25 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Earnings Momentum
Factor2:
-316132
1
0.74
5.17
2.33
0.12
57.37
61.86
50
14.21
13.73
28.24
23.18
6772.45
0.17
1.69
0.24
2.33
0.26
1.52
1.01
27.16
0.8
36.66
16.25
71.39
35.21
8.89
-416165
1.08
0.86
4.64
2.1
0.14
54.21
52.54
56.94
14.69
14.19
29.17
25.89
6551.69
0.21
1.8
0.29
2.14
0.4
2.6
0.9
27.09
0.8
24.16
8.33
40
24.06
5.92
-516193
0.99
0.89
4.33
2.06
0.13
50
42.37
62.5
14.12
13.64
28.07
23.83
8320.11
0.1
2.22
0.18
2.2
0.35
2.36
0.83
25.38
0.77
16.41
0.88
26.67
17.76
4.57
-616241
0.91
0.82
4.18
1.99
0.12
50
44.07
59.72
13.46
12.98
26.75
23.5
8271.6
0.02
2.29
0.1
2.19
0.3
2.06
0.8
25.35
0.77
9.99
-11.58
20.1
11.78
4.83
-2.627% -1.502%
15.316% 13.480%
25.409% 32.769%
-2.723%
1.447%
58.584% 49.173%
16.215%
9.833%
20.920% 13.896%
0.155%
2.024%
37.596% 33.050%
26.506% 20.107%
21.444% 30.386%
7.567% 13.156%
19.436% 12.413%
-0.906% 14.410%
-6.459%
0.929%
-5.020% -12.503%
-3.770% -3.766%
13.391% 13.488%
0.35
0.11
-1.625%
17.762%
33.968%
0.844%
41.909%
16.001%
9.545%
-1.959%
32.460%
32.946%
36.334%
10.718%
4.736%
23.645%
2.910%
-6.852%
-6.049%
14.547%
0.11
-1.589%
16.048%
26.629%
-3.285%
45.042%
13.870%
10.989%
-1.374%
25.692%
26.715%
33.871%
10.428%
3.151%
16.286%
10.014%
-5.478%
-2.799%
13.189%
0.01
-1.241%
15.239%
31.996%
-6.653%
44.411%
16.046%
11.809%
-4.964%
28.820%
22.921%
29.143%
1.592%
3.137%
16.739%
13.539%
-9.552%
-4.740%
12.249%
0.24
-716215
0.9
0.62
3.86
1.9
0.13
46.84
34.75
66.67
13.04
12.57
25.94
24.97
6397.25
0
2.29
0.08
2.26
0.34
2.43
0.73
24.3
0.76
2.79
-25.16
16.22
5.57
6.13
-816183
0.77
0.52
4.04
1.96
0.09
42.11
32.2
58.33
12.68
12.19
25.16
23.84
6207.06
-0.12
2.09
-0.04
2.23
0.18
1.27
0.77
24.68
0.76
-6.92
-41.56
9.96
-2.46
8.14
-916148
0.84
0.49
4.57
2.13
0.1
48.42
38.98
63.89
12.55
12.07
24.93
22.95
5807.48
-0.02
1.68
0.05
2.2
0.18
1.16
0.88
26
0.78
-23.57
-61.84
0.98
-16.79
10.03
-1016112
0.78
0.45
4.99
2.56
0.07
49.47
47.46
52.78
10.7
10.2
21.19
19.85
5764.32
-0.07
1.79
0
2.57
0.09
0.47
0.93
22.97
0.74
-60.35
-100
-17.89
-51.45
8.27
Earnings Momentum 90 Day Lag Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.950%
15.439%
21.406%
-11.991%
56.283%
27.655%
25.669%
13.302%
26.931%
17.974%
34.541%
1.734%
24.530%
-21.634%
0.228%
-12.211%
-4.386%
12.560%
(0.27)
-1.057% -1.580% -2.484% -2.172%
13.764% 19.686% 25.158% 18.289%
23.372% 29.698% 21.994% 20.874%
-4.218% -8.823% -11.344% -13.355%
28.706% 35.508% 43.235% 35.283%
12.320% 16.107% 14.626% 27.992%
11.491%
5.421% 12.561% 19.551%
-1.464% -5.331% -2.179%
0.975%
31.768% 32.453% 34.374% 27.367%
17.742% 16.769% 15.686% 16.002%
32.436% 25.020% 20.588% 10.765%
7.163%
3.381%
1.772%
6.354%
9.089%
9.708% 25.832% 18.795%
19.208% 11.632% 12.828% 13.360%
7.472%
7.663%
9.653%
6.872%
-2.888% -10.600% -12.603% -16.942%
-5.847% -6.325% -5.023% -3.910%
11.709% 10.611% 12.040% 10.947%
0.22
0.03
0.03
(0.28)
Earnings Momentum 90 Day Lag Value Weight
Model:
JK_WS_EARNINGMOMENTUM_L90_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Summary
230192
0.69
0.50
4.54
1.13
0.06
47.37
41.53
56.94
2.76
2.06
4.87
0.61
6026.90
0.00
0.00
-0.09
1.14
-0.04
-0.52
0.96
53.45
0.94
57.28
-100.00
42300.00
15.06
28.20
-116079
0.51
0.12
5.7
2.78
0.02
46.84
52.54
37.5
11.25
10.75
22.31
19.26
5567.56
-0.15
2.68
-0.24
2.8
-0.27
-1.34
1.09
24.61
0.76
597.75
46.05
42300
167.53
253.59
Weighted
JKUSMRKT_500Mil
SP50
0.77
0.41
-216096
1.15
1.23
5.7
2.59
0.13
57.37
62.71
48.61
13.37
12.87
26.54
21.86
6258.53
0.49
2.51
0.41
2.63
0.35
1.84
1.11
26.9
0.79
65.81
24.27
163.71
58.16
17.49
-316132
0.88
0.53
5.34
2.4
0.09
52.11
55.08
47.22
14.21
13.73
28.24
23.18
6772.45
0.2
2.23
0.12
2.41
0.11
0.64
1.04
27.24
0.8
36.66
16.25
71.39
35.21
8.89
Custom Ret Formula:
Model Run Date:
Fri Mar 26 17:13:25 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Earnings Momentum
Factor2:
-416165
0.87
0.66
5.18
2.27
0.09
56.84
60.17
51.39
14.69
14.19
29.17
25.89
6551.69
0.18
2.32
0.1
2.27
0.11
0.68
1.02
28.16
0.81
24.16
8.33
40
24.06
5.92
-516193
0.72
0.48
4.65
1.78
0.07
49.47
43.22
59.72
14.12
13.64
28.07
23.83
8320.11
0.02
2.02
-0.06
1.8
0.01
0.09
0.94
33.07
0.85
16.41
0.88
26.67
17.76
4.57
-616241
0.95
0.71
4.52
1.58
0.12
55.79
52.54
61.11
13.46
12.98
26.75
23.5
8271.6
0.23
2
0.16
1.62
0.24
2.09
0.92
36.84
0.88
9.99
-11.58
20.1
11.78
4.83
-716215
0.83
0.6
4.02
1.72
0.11
50
39.83
66.67
13.04
12.57
25.94
24.97
6397.25
0.09
2.14
0.02
1.97
0.22
1.75
0.79
28.86
0.82
2.79
-25.16
16.22
5.57
6.13
-816183
0.61
0.44
3.91
1.83
0.05
43.68
34.75
58.33
12.68
12.19
25.16
23.84
6207.06
-0.14
2.4
-0.21
2.15
0.03
0.21
0.75
25.87
0.78
-6.92
-41.56
9.96
-2.46
8.14
-916148
0.73
0.39
4.6
1.81
0.07
45.26
38.98
55.56
12.55
12.07
24.93
22.95
5807.48
0.03
1.82
-0.05
1.84
0.03
0.23
0.92
32.15
0.85
-23.57
-61.84
0.98
-16.79
10.03
-1016112
0.42
0.19
4.88
2.27
0
43.16
38.98
50
10.7
10.2
21.19
19.85
5764.32
-0.28
2.47
-0.36
2.28
-0.28
-1.69
0.94
26.12
0.78
-60.35
-100
-17.89
-51.45
8.27
Earnings Momentum 90 Day Lag Value Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.273% -2.790% -0.897% -0.997% -1.921% -1.273%
6.703% 14.786% 14.292% 16.258% 14.035% 15.555%
28.053% 34.945% 34.540% 42.786% 23.206% 38.839%
-17.840% 11.400% 14.564%
3.449% -0.032% -6.770%
29.751% 60.990% 49.513% 40.699% 40.737% 35.665%
13.544% 11.144%
1.303%
5.549%
3.595% 13.386%
15.566% 16.091% -4.432% -6.621%
2.518%
7.886%
6.907% -0.777%
1.101%
3.517% -0.052%
1.721%
36.635% 28.119% 27.147% 38.557% 31.382% 35.421%
14.808% 27.082% 27.103% 31.677% 28.161% 25.960%
33.282% 25.012% 38.854% 46.315% 32.671% 37.726%
26.050% 40.917% 20.015% 29.746% 33.860% 31.522%
32.090% 62.324% 37.118% 24.278% 17.083% 19.137%
-35.804% -8.382% -12.490% -13.067% -8.127% -3.279%
-22.570% -19.062% -16.957% -18.433% -18.260% -6.135%
-14.882% -5.480% -14.134% -20.722% -12.902% -18.453%
-2.782% -4.720% -4.696% -6.643% -4.593% -3.435%
8.720% 17.153% 12.467% 12.726% 10.668% 13.145%
(0.27)
0.35
0.11
0.11
0.01
0.24
-1.212% -1.467% -2.455% -2.369%
12.854% 16.151% 22.752% 14.249%
16.449% 27.339% 24.148% 24.119%
-4.338% -1.341% -11.100%
0.030%
26.148% 24.076% 41.473% 19.326%
17.097% 16.700% 13.436% 33.656%
11.364%
3.807%
7.858% 22.681%
-2.846% -1.692%
2.906%
2.917%
37.445% 33.001% 38.036% 29.003%
19.525%
9.877% 16.384% 15.625%
30.462% 28.406% 21.560%
4.317%
17.197% 18.116% 19.016%
8.934%
21.356%
7.709% 39.140%
8.978%
4.794% -0.724% -6.154% -9.585%
-4.887% -7.869% -10.561% -18.548%
-7.635% -20.320% -21.008% -27.820%
-5.822% -4.773% -6.174% -3.685%
11.056%
8.647% 11.133%
7.166%
0.22
0.03
0.03
(0.28)
THREE YEAR PRICE MOMENTUM:
Results indicate that there is a slight negative correlation to 3 year movements in the
price of a stock and positive stock returns. An equally weighted market neutral portfolio
consisting of long positions in the 10% of stocks with the greatest percentage gains over a
3 year history and short positions in the 10% of stocks with the worst 3 year percent gains
in price would have given the returns depicted in the graph below.
3 Year Price Momentum
80%
60%
40%
20%
Equal Weight
0%
20
02
20
00
19
98
19
96
19
94
19
92
19
88
19
90
Value Weight
-20%
-40%
-60%
-80%
2003-2004 results
The negative correlations persisted from January 2003 through March of 2004. Over the
15 months stocks in the top 10% of percentage gainers in terms of price have gained a
geometric average of 3.17% per month in an equally weighted portfolio while those in
the bottom 10% have gained a geometric average of 5.27%. A similar portfolio during
this period would have yielded the following monthly returns:
3 Year Price Momentum
10.00%
5.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
0.00%
-5.00%
-10.00%
-15.00%
-20.00%
Equal Weight
Value Weighted
3 Year Price Momentum Equal Weight
Model:
JK_P_3YR_PRICEMOMENTUM_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Low
High
Med
Std
Summary
227192
0.53
4.86
2.04
0.08
50.00
48.31
52.78
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
0.04
2.05
0.10
0.64
0.96
29.54
0.82
0.00
-99.00
15545.28
35.29
36.28
-118594
0.5
7.62
5.08
0.06
57.92
65.79
44.93
16.81
15.64
32.15
27.29
7342.62
-0.01
4.41
0
5.57
-0.09
-0.24
1.24
15.04
0.56
0.01
56.03
15545.28
274.45
226.88
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-218612
0.58
5.55
3.11
0.08
52.46
57.89
43.48
35.96
35.05
70.95
62.07
8248.65
-0.06
2.29
-0.03
3.52
0.02
0.1
1
19.92
0.69
0
27.66
522.22
126.81
52.33
-318648
0.66
4.47
1.34
0.12
53.01
51.75
55.07
47.8
47.04
94.95
86.98
8584.24
-0.05
1.37
0
2.06
0.09
0.9
0.93
42.83
0.91
-0.01
13.71
251.95
86.13
33.18
Custom Ret Formula:
Model Run Date:
Thu Apr 15 12:50:14 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
3 Year Price Change
Factor2:
-418687
0.77
4.03
1.28
0.15
57.38
53.51
63.77
54.29
53.64
108.13
102.74
8264.26
0.03
1.79
0.09
2.01
0.27
2.86
0.83
40.1
0.9
0
3.47
166.71
61.7
25.73
-518721
0.85
3.81
1.45
0.17
51.37
42.98
65.22
57.63
57.03
114.91
110.14
7511.52
0.02
1.94
0.08
2.17
0.34
3.13
0.77
32.57
0.85
0
-4.5
126.68
42.1
21.39
-618756
0.88
3.68
1.45
0.18
49.73
39.47
66.67
58.13
57.52
115.9
113.68
6504.03
0.04
2.13
0.1
2.2
0.39
3.58
0.74
31.37
0.84
-0.01
-13.2
97.16
28.94
18.45
-718740
0.74
3.79
1.68
0.13
45.9
35.96
62.32
56.03
55.41
111.66
113.29
5505.21
-0.12
2.26
-0.05
2.35
0.23
1.86
0.74
27.25
0.8
0.01
-28.74
73.65
16.41
16.59
-818702
0.87
3.99
1.9
0.16
48.63
37.72
66.67
51.48
50.79
102.43
104.13
4916.84
0.04
2.32
0.1
2.49
0.37
2.6
0.77
24.88
0.77
0.01
-47.4
50
4.65
15.49
-918669
0.73
4.5
2.24
0.11
48.63
42.98
57.97
41.86
41.05
82.97
83.19
4632.44
-0.08
2.54
-0.02
2.72
0.17
1.01
0.85
23.43
0.75
0.01
-69
29.56
-8.95
15
-1018629
0.75
6.5
3.8
0.12
53.01
57.89
44.93
20.03
18.91
38.69
37.69
3798
0.26
3.8
0.31
4.29
0.25
0.87
1.15
18.71
0.66
0.01
-99
5.8
-30.43
14.34
3 Year Price Momentum Equal Weight
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
8.830% 22.204% 16.147%
24.010% 31.184% 32.406%
-1.487% -7.067% -9.201%
77.438% 39.086% 37.013%
10.518%
5.646% 15.447%
24.963% 11.623% 11.317%
0.079% -4.070% -1.171%
35.316% 35.152% 32.522%
22.096% 22.224% 21.594%
18.561% 31.979% 34.645%
12.124%
5.946% 11.406%
66.089% 20.457% 13.944%
-27.756% -5.470% -3.719%
-29.422% -11.284% -8.001%
-25.323% -14.436% -15.209%
-3.325% -2.939% -2.627%
13.294% 11.265% 11.657%
(0.09)
0.02
0.09
13.521% 14.843%
33.657% 29.198%
2.726% -1.776%
33.574% 31.604%
16.038% 14.662%
11.635% 13.788%
-5.312%
2.750%
22.040% 27.439%
24.539% 22.018%
36.692% 28.179%
5.962%
4.156%
2.432%
7.590%
15.728%
8.717%
1.926% 13.297%
-8.705% -12.168%
-3.593% -4.084%
12.679% 12.513%
0.27
0.34
12.057% 18.647% 28.654% 19.823% 32.064%
29.567% 23.216% 27.861% 25.892% 12.728%
-4.305% -7.481% -7.239% -14.471% -17.167%
34.398% 33.505% 32.661% 27.965% 46.174%
16.786% 12.422% 11.345% 18.634% 11.521%
21.116% 12.231% 19.323% 18.972% 37.934%
-0.273%
1.401%
3.698%
2.445% 11.354%
28.803% 23.551% 30.574% 31.016% 27.679%
23.209% 19.373% 16.750% 13.157% 16.760%
32.628% 28.791% 21.256% 20.564% 13.119%
5.075%
1.487%
7.237%
0.080%
7.110%
6.214%
1.304%
2.555% 11.130% 34.609%
19.364% 14.562% 23.896% 20.886% 14.256%
-0.445% 12.994% 14.652% 13.106% 33.455%
-7.847% -11.198% -16.140% -17.886% -26.404%
-5.348% -5.757% -6.689% -5.899% -1.662%
13.187% 11.191% 13.150% 11.588% 15.846%
0.39
0.23
0.37
0.17
0.25
3 Year Price Momentum Value Weight
Model:
JK_P_3YR_PRICEMOMENTUM_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Low
High
Med
Std
Summary
227192
0.50
4.53
1.12
0.06
47.89
42.37
56.94
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
-0.09
1.14
-0.04
-0.54
0.96
53.65
0.94
0.00
-99.00
15545.28
35.29
36.28
-118594
0.29
7.27
4.41
0.04
50.27
56.14
40.58
16.81
15.64
32.15
27.29
7342.62
-0.06
4.53
-0.19
5
-0.32
-0.98
1.26
17.6
0.63
0.01
56.03
15545.28
274.45
226.88
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-218612
0.57
5.25
1.91
0.04
47.54
49.12
44.93
35.96
35.05
70.95
62.07
8248.65
-0.2
2.29
-0.3
2.61
-0.34
-2.37
1.07
34.39
0.87
0
27.66
522.22
126.81
52.33
-318648
0.37
4.38
0.86
0.07
47.54
43.86
53.62
47.8
47.04
94.95
86.98
8584.24
-0.1
1.75
-0.2
1.79
-0.12
-1.84
0.94
66.83
0.96
-0.01
13.71
251.95
86.13
33.18
Custom Ret Formula:
Model Run Date:
Mon Apr 19 15:59:32 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
3 Year Price Change
Factor2:
-418687
0.46
4.12
1.32
0.06
44.81
36.84
57.97
54.29
53.64
108.13
102.74
8264.26
-0.18
2.2
-0.27
2.03
-0.11
-1.08
0.85
39.9
0.9
0
3.47
166.71
61.7
25.73
-518721
0.79
3.9
1.45
0.15
48.63
42.11
59.42
57.63
57.03
114.91
110.14
7511.52
0.15
2.39
0.05
2.14
0.28
2.64
0.79
33.64
0.86
0
-4.5
126.68
42.1
21.39
-618756
0.92
3.85
1.17
0.19
51.37
43.86
63.77
58.13
57.52
115.9
113.68
6504.03
0.29
2.15
0.19
1.96
0.41
4.72
0.8
42.38
0.91
-0.01
-13.2
97.16
28.94
18.45
-718740
0.6
3.93
1.91
0.08
44.81
33.33
63.77
56.03
55.41
111.66
113.29
5505.2
-0.16
2.77
-0.25
2.52
0.03
0.22
0.75
24.14
0.76
0.01
-28.74
73.65
16.41
16.59
-818702
0.65
4.08
1.95
0.14
49.18
40.35
63.77
51.48
50.79
102.43
104.13
4916.84
0.11
2.67
0.01
2.52
0.26
1.81
0.78
24.74
0.77
0.01
-47.4
50
4.65
15.49
-918669
0.72
4.55
2.34
0.11
48.09
41.23
59.42
41.86
41.05
82.97
83.19
4632.44
0.08
2.99
-0.01
2.8
0.17
1
0.85
22.41
0.74
0.01
-69
29.56
-8.95
15
-1018629
0.63
6.13
3.8
0.12
53.01
52.63
53.62
20.03
18.91
38.69
37.69
3798
0.35
4.22
0.25
4.18
0.29
1.03
1.05
17.06
0.62
0.01
-99
5.8
-30.43
14.34
3 Year Price Momentum Value Weight
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
18.171% 20.697% 12.750% 14.931% 16.885%
1.866% 16.227% 31.449% 16.928% 38.232%
8.171% 29.723% 28.708% 34.789% 35.163% 39.220% 22.668% 27.405% 33.937%
0.211%
-6.882% -2.734% -6.272%
2.657%
2.134% -1.149% -2.995% -7.165% -12.064% -8.301%
77.897% 42.601% 32.137% 20.545% 24.811% 30.451% 17.665% 21.329% 19.319% 23.446%
2.130% -5.036%
8.943%
3.488% 13.172%
9.855% 12.157%
7.210% 11.398%
2.241%
8.343%
1.602%
4.695% -7.920% 14.570% 17.694% 10.231% 29.082% 26.889% 41.360%
0.335% -4.434%
1.004% -3.586%
2.426%
1.949%
2.115%
6.951%
4.337% 24.015%
32.408% 32.442% 27.182% 17.165% 35.314% 35.171% 29.751% 35.803% 37.294% 30.178%
34.032% 21.458% 28.922% 27.291% 25.585% 18.882% 17.075% 12.654%
8.332%
8.839%
23.618% 35.556% 34.977% 38.595% 27.462% 27.586% 29.603% 20.976% 25.179%
8.175%
56.331% 20.013% 24.102% 27.764% 17.561% 18.587% 11.201%
7.155% -2.591% 12.222%
69.707% 27.151% 10.347% 15.680% 10.143% 31.815%
2.115% 16.387% 12.111% 45.403%
-37.754% -26.163% -13.469% -6.273%
3.476% 22.212% -3.490% 18.299% 24.802% 19.853%
-47.621% -28.636% -15.549% -21.163% -1.920% -5.083% -1.181% -5.748%
9.924% 25.325%
-26.480% -19.509% -22.303% -16.398% -21.604% -13.250% -19.308% -20.713% -21.088% -25.719%
-2.694% -2.745% -3.157% -5.237% -3.804% -4.309% -5.330% -5.297% -4.440% -1.210%
13.107%
8.874%
9.564%
8.895% 12.586% 14.469%
8.657% 12.236% 11.892% 15.267%
(0.32)
(0.34)
(0.12)
(0.11)
0.28
0.41
0.03
0.26
0.17
0.29
ONE YEAR PRICE MOMENTUM:
Results indicate that there is a slight positive correlation to the one year price movement
in a stock and positive stock returns. An equally weighted market neutral portfolio
consisting of long positions in the 10% of stocks with the greatest percentage gains over
the past year and short positions in the 10% of stocks with the worst one year percent
increases (or greatest decreases) in price would have given the returns depicted in the
graph below.
1 Year Price Momentum
120%
100%
80%
60%
Equal Weight
40%
Value Weight
20%
20
01
19
99
19
97
19
95
19
93
19
91
19
87
-40%
19
89
0%
-20%
2003-2004 results
The slight positive correlation reversed itself in 2003 and through March of 2004. Over
the 15 months stocks in the top 10% of percentage gainers in terms of price have gained a
geometric average of 3.41% per month in an equally weighted portfolio while those in
the bottom 10% have gained a geometric average of 4.80%. A similar portfolio during
this period would have yielded the following returns:
1 Year Price Momentum
10.00%
5.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
0.00%
-5.00%
-10.00%
-15.00%
-20.00%
-25.00%
Equal Weight
Value Weighted
1 Year Price Momentum Equal Weight
Model:
JK_P_1YR_PRICEMOMENTUM_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Low
High
Med
Std
Summary
226757
0.53
4.86
2.04
0.08
50.00
48.31
52.78
2.76
2.06
4.88
0.76
6036.71
0.00
0.00
0.04
2.05
0.10
0.65
0.96
29.57
0.82
0.02
-98.55
4757.14
10.99
19.81
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-121046
0.75
8.28
6.52
0.1
60.53
66.95
50
28.25
27.68
56.17
56.58
5029.85
0.53
5.45
0.53
6.54
0.64
1.34
1.11
10.72
0.38
0
6.49
4757.14
85.35
113.97
-221061
0.74
5.63
3.88
0.12
51.58
49.15
55.56
55.33
54.98
110.75
104.28
7120.43
0.29
2.87
0.32
3.91
0.48
1.71
0.89
14.44
0.53
0
-3.1
394.64
47.71
32.92
-321100
0.62
4.59
2.4
0.11
54.21
50
61.11
66.01
65.72
132.23
126.72
7536.95
0.07
1.75
0.11
2.49
0.27
1.55
0.85
22.32
0.73
0.01
-8.8
174.74
32.46
18.9
-2.339%
13.907%
32.757%
-13.770%
74.487%
21.813%
38.255%
1.923%
44.184%
17.778%
13.103%
25.779%
138.585%
-18.981%
-12.118%
-14.861%
-2.409%
21.064%
0.64
-1.713%
15.583%
23.041%
2.600%
44.141%
13.682%
26.226%
-0.230%
28.742%
15.933%
33.723%
15.699%
36.306%
9.103%
-1.233%
-5.920%
-4.009%
14.804%
0.48
-1.766%
14.705%
33.561%
-0.424%
35.385%
7.560%
16.784%
6.672%
33.254%
23.074%
30.093%
1.555%
24.215%
-5.432%
1.328%
-6.651%
-2.543%
12.433%
0.27
Custom Ret Formula:
Model Run Date:
Mon Apr 26 12:45:23 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
1 Year Price Change
Factor2:
-421141
0.67
4.25
1.92
0.12
54.21
49.15
62.5
70.67
70.42
141.63
137.9
7289.01
0.06
1.72
0.11
2.07
0.29
2.05
0.83
27.17
0.8
0
-12.5
81.37
23.07
13.83
-521178
0.59
4.13
1.91
0.11
48.42
37.29
66.67
72.05
71.81
144.4
145.2
6843.61
-0.02
1.86
0.04
2.12
0.23
1.68
0.8
26.34
0.79
-0.01
-15.88
52.41
14.21
12.14
-621216
0.59
4.14
1.88
0.08
47.89
34.75
69.44
72.52
72.3
145.38
146.31
6485.4
-0.14
1.96
-0.08
2.08
0.11
0.81
0.8
26.89
0.79
0
-20.38
40.95
7.88
11.34
-721197
0.53
4.28
2.06
0.05
47.37
37.29
63.89
71.21
70.95
142.7
144.18
6216.59
-0.22
2.02
-0.17
2.22
0.02
0.12
0.82
24.94
0.77
0
-27.56
29.91
1.94
11.19
-821156
0.57
4.83
2.4
0.03
44.21
37.29
55.56
67.3
67.04
134.88
136.64
5802.87
-0.31
2.12
-0.25
2.43
-0.15
-0.83
0.91
23.98
0.75
0
-42.27
20.05
-4.12
11.69
-921120
0.41
5.88
3.33
0.02
43.16
40.68
47.22
58.44
58.1
116.99
114.23
5521.62
-0.29
2.94
-0.24
3.34
-0.24
-0.98
1.06
20
0.68
0.01
-62.12
11.76
-12.44
13.13
-1021083
0.16
8.41
5.58
0
47.89
54.24
37.5
30.27
29.7
60.2
62.42
4054.7
-0.29
5.39
-0.25
5.84
-0.41
-1
1.37
15.45
0.56
0.02
-98.55
1.27
-26.9
15.46
-2.788% -1.703% -0.953% -1.605%
23.289% 18.637% 20.129% 24.942%
29.298% 26.864% 24.042% 23.240%
-7.859% -7.081% -10.119% -10.203%
31.523% 28.892% 33.382% 38.529%
15.195% 17.040% 14.001%
7.765%
7.945% 15.179% 10.767% 18.454%
-3.478% -1.099% -3.152% -1.420%
29.032% 27.055% 24.823% 26.362%
18.640% 13.283% 15.850% 14.585%
30.554% 24.884% 25.565% 22.681%
5.449%
1.034% -1.079% -1.614%
-0.234%
1.910% -0.399%
2.189%
8.375%
2.495% 11.604% 15.404%
5.627%
1.997% -1.745% -6.254%
-6.479% -13.775% -26.011% -30.504%
-4.522% -4.838% -6.843% -6.321%
10.563%
8.869%
7.639%
8.013%
0.11
0.02
(0.15)
(0.24)
-0.350%
37.873%
10.082%
-16.451%
41.926%
8.942%
19.868%
5.451%
28.803%
31.767%
11.079%
-3.025%
27.700%
-10.208%
-10.141%
-48.834%
-3.298%
7.717%
(0.41)
1 Year Price Momentum Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.258% -1.922%
11.299%
8.965%
33.618% 29.990%
-1.363% -4.040%
34.947% 32.347%
13.075% 18.263%
19.833% 16.875%
0.116%
3.041%
22.317% 25.363%
23.340% 21.974%
31.925% 26.407%
7.355%
9.313%
5.339%
4.294%
9.020%
7.641%
0.183% 11.927%
-3.877% -11.346%
-3.153% -3.703%
11.925% 11.494%
0.29
0.23
1 Year Price Momentum Value Weight
Model:
JK_P_1YR_PRICEMOMENTUM_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Low
High
Med
Std
Summary
227192
0.53
4.86
2.04
0.08
50.00
48.31
52.78
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
0.04
2.05
0.10
0.64
0.96
29.54
0.82
0.02
-98.55
4757.14
11.07
19.80
-121085
0.76
8.28
6.53
0.1
60.53
66.95
50
28.24
27.67
56.14
56.59
5029.11
0.53
5.46
0.53
6.55
0.64
1.33
1.11
10.7
0.38
0
6.5
4757.14
85.35
113.95
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-221105
0.73
5.64
3.89
0.12
51.58
49.15
55.56
55.21
54.86
110.52
104.1
7110.78
0.29
2.87
0.31
3.92
0.48
1.7
0.89
14.41
0.52
0
-3.1
387.97
47.71
32.88
-321145
0.62
4.57
2.38
0.11
55.79
53.39
59.72
66.05
65.76
132.31
127.14
7512.42
0.07
1.74
0.12
2.48
0.28
1.6
0.85
22.45
0.73
0.01
-8.75
173.24
32.42
18.88
Custom Ret Formula:
Model Run Date:
Mon Apr 19 16:04:39 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
1 Year Price Change
Factor2:
-421183
0.68
4.25
1.92
0.12
53.68
48.31
62.5
70.74
70.48
141.76
138.04
7280.73
0.05
1.73
0.1
2.08
0.28
1.98
0.83
27.03
0.8
0
-12.38
81.3
22.99
13.82
-521220
0.6
4.13
1.89
0.11
48.95
37.29
68.06
72.04
71.81
144.4
144.9
6839.98
-0.02
1.84
0.04
2.1
0.24
1.71
0.8
26.66
0.79
0
-15.79
52.41
14.25
12.12
-621256
0.59
4.13
1.88
0.08
47.89
34.75
69.44
72.39
72.15
145.1
146.05
6471.85
-0.14
1.95
-0.08
2.09
0.12
0.85
0.8
26.79
0.79
0
-20.28
40.95
7.85
11.33
-721242
0.52
4.28
2.06
0.05
47.89
38.14
63.89
71.15
70.89
142.58
143.82
6221.96
-0.23
2.02
-0.17
2.23
0.01
0.1
0.82
24.88
0.77
0
-27.55
29.91
1.94
11.17
-821198
0.55
4.82
2.39
0.03
44.74
38.14
55.56
67.28
67.02
134.83
136.83
5782.44
-0.31
2.11
-0.25
2.43
-0.15
-0.85
0.91
23.99
0.75
0
-42.27
20.09
-4.11
11.67
-921161
0.42
5.89
3.33
0.02
43.16
40.68
47.22
58.38
58.04
116.88
114.09
5508.48
-0.29
2.94
-0.24
3.34
-0.23
-0.97
1.06
20.01
0.68
0.01
-62.13
11.36
-12.42
13.13
-1021121
0.15
8.4
5.57
0
48.42
55.08
37.5
30.2
29.64
60.07
62.38
4042.7
-0.3
5.39
-0.26
5.83
-0.42
-1.03
1.37
15.46
0.56
0.01
-98.55
1.64
-27.16
15.48
1 Year Price Momentum Value Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-2.097% -1.762% -1.150%
0.023% -1.671% -3.123% -0.797% -0.718% -0.880%
0.217%
14.682% 19.739% 21.728%
8.852%
2.063% 15.699% 14.800% 16.609% 30.585% 43.816%
31.256% 20.780% 35.524% 33.740% 30.119% 28.948% 29.160% 22.981% 16.504%
5.238%
-2.094%
6.847%
3.612%
2.442% -4.953% -8.426% -11.233% -13.697% -15.728% -7.287%
72.450% 44.172% 31.398% 29.342% 25.931% 30.111% 18.256% 25.984% 29.485% 32.753%
16.015% -0.112%
0.951%
5.107% 15.683%
3.220%
9.785% 12.559% -6.253%
1.988%
29.513% 20.195% 14.751% 17.112%
8.223%
8.110% 21.467%
9.551% 13.141%
9.083%
-0.148%
1.748%
9.799%
5.508%
9.084% -7.650%
4.601% -0.360% -3.638%
6.276%
34.219% 25.467% 35.410% 29.659% 30.287% 29.633% 27.288% 30.083% 24.400% 27.347%
20.434% 10.805% 34.053% 32.497% 17.892% 21.187% 11.909% 20.004%
7.851% 23.315%
29.507% 31.334% 29.115% 37.463% 32.163% 30.771% 28.816% 29.606% 19.032% -1.635%
65.400% 31.479% 18.290% 14.599% 16.379% 14.639% 24.286% 10.901%
9.179%
5.650%
126.160% 35.060% 34.616% 22.508%
9.817% -1.055% 15.532% 10.344% 25.194% 18.716%
-34.837% -28.615% -27.377% -13.545% -16.052%
2.171% -8.856% -8.330% 15.969% -11.558%
-12.898% -17.842% -16.782% -7.334% -8.311% -13.729% -3.933% -13.708% -30.128% -20.063%
-13.127% -9.897% -11.119% -7.964% -18.149% -15.755% -18.250% -27.530% -25.739% -39.795%
-1.290% -4.595% -3.662% -4.478% -4.947% -4.876% -5.079% -5.257% -4.123% -2.543%
21.950% 10.871% 12.303% 12.090%
8.445%
7.640%
9.280%
7.001%
6.168%
5.383%
0.64
0.48
0.28
0.28
0.24
0.12
0.01
(0.15)
(0.23)
(0.42)
ONE MONTH PRICE MOMENTUM:
Results indicate that there is very little correlation to 1 month movement in the price of a
stock and positive stock returns. An equally weighted market neutral portfolio consisting
of long positions in the 10% of stocks with the greatest month over month percent
increases in price and short positions in the 10% of stocks with the worst month over
month percent increases in price would have given the returns depicted in the graph
below.
1 Month Price Momentum
Equal Weight
01
20
99
19
97
19
95
19
93
19
91
19
19
19
89
Value Weight
87
100%
80%
60%
40%
20%
0%
-20%
-40%
-60%
2003-2004 results
The correlations have been slightly negative from January 2003 through March of 2004.
Over the 15 months stocks in the top 10% of percentage gainers in terms of price have
gained a geometric average of 3.47% in an equally weighted portfolio per month while
those in the bottom 10% have gained a geometric average of 4.17%. A similar portfolio
during this period would have yielded the following returns:
1 Month Price Momentum
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%
Equal Weight
Value Weighted
1 Month Price Momentum Equal Weight
Model:
JK_F_PRICEMOMENTUM_1mnt_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Low Fractiles = High percent price changes
Equal Wgt. Returns
JKUSMRKT_500Mil
SP50
0.77
0.41
Custom Ret Formula:
Model Run Date:
Mon Mar 29 11:00:49 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
1 Month Price Change
Factor2:
Fractile
Summary
-1-
-2-
-3-
-4-
-5-
-6-
-7-
-8-
-9-
-10-
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
0.84
0.53
4.86
2.08
0.09
51.05
48.31
55.56
2.76
2.06
4.87
0.61
6026.90
0.00
0.00
0.06
2.09
0.12
0.78
0.96
28.91
0.82
1.64
-81.48
937.36
1.13
4.93
0.38
-0.17
7.19
5.51
0
44.74
48.31
38.89
87.04
86.92
174.64
192.32
4333.81
-0.41
4.42
-0.38
5.51
-0.24
-0.6
1.01
11.5
0.41
25.48
-6.9
937.36
16.49
13.41
0.38
0.03
5.18
3.18
-0.01
41.05
37.29
47.22
90.05
89.99
180.76
191.47
6115.74
-0.46
2.2
-0.41
3.21
-0.26
-1.14
0.89
17.66
0.62
11.87
-12.62
56.69
9.66
6.55
0.69
0.45
4.42
2.25
0.06
50
43.22
61.11
89.93
89.86
180.52
186.2
6907.08
-0.18
1.72
-0.11
2.38
0.06
0.39
0.83
23.21
0.74
7.37
-16.74
29.74
6.34
5.07
0.84
0.5
4.48
2.27
0.1
51.05
43.22
63.89
89.56
89.49
179.77
186.47
6647.5
-0.03
1.82
0.04
2.38
0.21
1.26
0.84
23.33
0.74
4.37
-20.94
15.54
3.95
4.46
0.9
0.65
4.13
1.97
0.12
52.11
42.37
68.06
88.99
88.92
178.63
183.45
6690.74
0.01
1.59
0.09
2.19
0.29
2.03
0.79
25.25
0.77
2.01
-23.01
12.16
1.95
4.22
1.03
0.75
4.3
1.86
0.14
53.68
49.15
61.11
88.78
88.7
178.18
181.22
6691.46
0.16
1.53
0.23
1.99
0.38
2.82
0.85
28.57
0.81
-0.15
-25.33
10.23
0.42
4.17
0.97
0.71
4.61
1.94
0.12
56.32
54.24
59.72
88.86
88.77
178.32
183.31
6647.35
0.11
1.57
0.19
1.98
0.28
2.01
0.91
29.66
0.82
-2.37
-27.54
8.16
-1.56
4.32
0.96
0.75
4.86
2.21
0.11
53.68
50
59.72
89.77
89.69
180.18
187.43
6482.95
0.11
1.67
0.18
2.23
0.25
1.58
0.94
26.81
0.79
-4.95
-30.18
5.71
-3.45
4.71
1
0.7
6.12
3.32
0.1
54.74
57.63
50
89.69
89.63
180.05
189.86
5818.88
0.2
2.55
0.26
3.37
0.21
0.88
1.12
21.21
0.71
-8.54
-34.03
3.65
-6.02
5.55
0.87
0.5
8.11
5.22
0.06
56.32
62.71
45.83
84.91
84.86
170.51
188.78
4274.73
0.15
4.52
0.19
5.46
0.02
0.06
1.35
16.32
0.59
-17.41
-81.48
1.1
-11.14
8.07
1 Month Price Momentum Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-2.455% -2.246% -1.759% -2.214% -1.598% -0.893% -1.244%
-0.866%
7.871%
8.806% 16.390% 16.595% 26.149% 24.736%
25.091% 20.220% 32.399% 32.545% 29.990% 29.905% 28.716%
-4.515% -1.767% -1.241% -5.657% -5.935% -11.042% -8.243%
48.349% 26.720% 37.700% 31.409% 35.909% 48.303% 39.080%
12.847% 14.261% 12.314% 34.146% 12.214% 15.340% 12.219%
25.049% 18.447% 18.838% 13.030% 14.603% 17.130% 19.428%
0.258% -6.071%
2.395% -4.920% -0.569% -2.157%
2.389%
25.184% 28.206% 19.032% 26.725% 33.550% 28.317% 32.780%
7.397% 12.770% 19.379% 20.181% 15.274% 21.364% 20.311%
6.303% 18.272% 23.953% 25.049% 30.602% 26.126% 29.981%
-4.767% -5.018%
3.088%
6.104%
5.848% 13.872%
8.403%
99.224% 33.554% 27.061% 19.145% 10.682% 11.301% 12.165%
-16.729% -6.358%
2.840%
9.218% 18.658%
9.802%
8.597%
-25.940% -14.655% -8.270% -2.776%
1.876%
5.324%
2.288%
-40.240% -24.473% -20.809% -12.930% -10.772% -7.887% -11.138%
-4.133% -4.495% -4.108% -2.909% -4.613% -4.898% -5.415%
8.827%
6.779% 10.095% 11.914% 11.901% 13.297% 12.650%
(0.24)
(0.26)
0.06
0.21
0.29
0.38
0.28
-1.006% -1.199% -1.492%
25.250% 26.351% 36.701%
23.955% 27.738% 20.454%
-9.795% -7.564% -13.950%
40.606% 41.543% 48.605%
13.470% 11.702% 11.771%
17.947% 22.585% 25.132%
6.665%
5.001%
3.025%
37.781% 32.704% 21.994%
21.676% 28.359% 28.685%
27.846% 31.994% 29.660%
14.550%
9.554%
9.118%
11.453% 21.318% 20.668%
0.508% -14.885% -23.882%
5.991%
5.686%
9.364%
3.463% -9.738% -24.198%
-4.499% -4.305% -1.616%
13.874% 13.344% 11.767%
0.25
0.21
0.02
1 Month Price Momentum Value Weighted
Model:
JK_CM_PRICEMOMENTUM_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
229851
Return
0.50
Return
4.54
Risk
1.13
Ratio
0.06
Bench
47.37
Bench
41.53
Bench
56.94
Cos
2.76
Cos
2.06
Turnover
4.87
Turnover
0.61
Mcap
6032.34
vsUniv
0.00
vsUniv
0.00
vsBench
-0.09
vsBench
1.14
Alpha
-0.04
(Alpha)
-0.52
Beta
0.96
(Beta)
53.45
(Beta)
0.94
Calc
-0.03
Low
-91.60
High 102399.96
Med
1.09
Std
7.36
-122801
0.07
6.87
5.15
0.02
45.26
44.07
47.22
88.25
88.15
177.05
195.32
4357.83
-0.14
4.58
-0.25
5.15
-0.11
-0.29
0.99
12.13
0.44
-0.02
-7.17
102399.96
16.4
55.91
Weighted
JKUSMRKT_500Mil
SP50
0.77
0.41
-222817
0.25
5.42
2.93
0.01
41.58
41.53
41.67
90.7
90.64
182.04
191.74
6134.45
-0.22
2.55
-0.31
2.93
-0.26
-1.22
0.99
21.38
0.71
0.01
-13.33
59.92
9.3
6.58
-322863
0.25
4.65
2.1
0.01
43.68
35.59
56.94
90.53
90.47
181.71
187.25
6806.9
-0.26
1.84
-0.34
2.14
-0.24
-1.56
0.91
27.18
0.8
-0.01
-17.31
31.23
5.98
5.07
Custom Ret Formula:
Model Run Date:
Mon Apr 19 16:08:44 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
1 Month Price Change
Factor2:
-422901
0.33
4.44
1.66
0.04
46.32
41.53
54.17
89.68
89.61
179.98
185.95
6624.11
-0.12
1.62
-0.2
1.72
-0.1
-0.83
0.9
34.1
0.86
-0.01
-21.16
15.22
3.63
4.47
-522928
0.35
4.38
1.86
0.08
47.89
40.68
59.72
88.97
88.9
178.55
181.32
6807.75
0.02
1.84
-0.06
1.97
0.08
0.56
0.86
29.13
0.82
0
-23.14
11.9
1.95
4.22
-622970
0.49
4.5
1.67
0.08
49.47
43.22
59.72
88.79
88.71
178.16
181.81
6716.43
0.05
1.62
-0.03
1.72
0.06
0.51
0.91
34.19
0.86
0
-25.47
9.46
0.31
4.17
-722948
0.61
4.68
1.85
0.08
53.16
54.24
51.39
89.11
89.02
178.8
183.46
6598.82
0.1
1.76
0.02
1.87
0.09
0.68
0.94
31.93
0.84
0
-27.73
7.41
-1.28
4.31
-822913
0.33
4.77
1.94
0.06
47.89
46.61
50
90.08
90
180.76
187.7
6391.61
0.01
1.77
-0.07
1.95
-0.01
-0.05
0.95
30.83
0.83
0
-30.41
5.23
-3.43
4.69
-922886
0.62
5.7
2.9
0.08
51.58
53.39
48.61
90.39
90.34
181.43
190.95
5703.56
0.19
2.67
0.11
2.91
0.08
0.4
1.07
23.27
0.74
0
-34.48
2.9
-6.13
5.51
-1022835
0.53
7.12
4.41
0.03
52.11
56.78
44.44
86.1
86.07
172.89
190.91
4236.98
0.03
4.2
-0.07
4.52
-0.16
-0.48
1.22
17.35
0.62
0.01
-91.6
0.68
-11.28
7.87
1 Month Price Momentum Value Weighted
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-0.440% -2.700% -0.758% -1.708% -1.266% -1.844% -0.249% -1.049% -1.721% -0.858%
3.247%
5.685%
6.484% 11.569%
6.872% 32.358% 20.734% 19.347% 29.099% 30.155%
21.660% 19.051% 32.931% 33.823% 27.995% 22.246% 31.940% 22.091% 24.456% 21.844%
2.584%
6.025% -3.454% -5.261% -0.834% -4.130% -5.457% -13.571% -7.270% -6.969%
45.981% 24.566% 29.755% 25.894% 27.663% 34.779% 26.479% 39.211% 30.627% 34.427%
16.355%
6.911%
9.197%
7.287%
3.608%
5.620%
8.113%
0.860%
4.990%
7.802%
27.918% 12.341% 10.687% 15.135% 18.433% 13.895% 13.859% 12.787% 10.022% 15.132%
0.198% -4.309%
3.941% -1.200% -1.271%
7.048%
6.511%
1.555%
4.807%
4.708%
18.550% 39.808% 20.336% 31.782% 30.531% 27.986% 32.063% 39.147% 33.113% 23.308%
23.442% 15.390% 14.076% 20.732% 15.355% 21.213% 26.531% 22.301% 28.049% 26.036%
1.711% 26.657% 20.169% 35.909% 33.549% 31.496% 34.245% 25.616% 35.186% 30.774%
14.543% 23.316% 11.456% 25.669% 21.938% 26.922% 24.100% 26.742% 27.660%
9.066%
90.845% 50.270% 43.492% 26.850% 10.329% 17.282% 22.530% 23.985% 31.260% 17.078%
-24.433% -14.238% -17.190% -24.043% 11.628% -9.949% -16.713% -17.825% -24.620% -28.656%
-25.911% -21.903% -30.107% -19.209% -10.993% -18.987% -19.502% -5.635%
6.907% -4.261%
-41.708% -34.737% -24.906% -21.508% -17.150% -15.366% -13.386% -16.506% -19.221% -16.254%
-5.335% -5.883% -3.582% -3.518% -4.718% -3.856% -6.058% -5.552% -1.880% -3.763%
9.953%
8.603%
7.207%
9.306% 10.098% 10.983% 10.926% 10.206% 12.439%
9.386%
(0.11)
(0.26)
(0.24)
(0.10)
0.08
0.06
0.09
(0.01)
0.08
(0.16)
ONE YEAR MINUS ONE MONTH PRICE MOMENTUM:
Results indicate that there is an extremely high correlation to the difference between a
stock’s previous year’s gain and its previous month’s gain and positive stock returns. A
portfolio consisting of long positions in the 10% of stocks with the greatest positive
differences between the previous year and the previous month and short positions in the
10% of stocks with the lowest year minus month percent differences would have given
the returns depicted in the graph below.
1 Year Minus 1 Month Price Momentum
120%
100%
80%
60%
Equal Weight
40%
Value Weight
20%
20
01
19
99
19
97
19
95
19
93
19
91
19
87
-20%
19
89
0%
2003-2004 results
The positive returns have not held constant from January 2003 through March of 2004.
An equally weighted portfolio would have returned a geometric average of 3.38% in the
top tier and 4.54% in the bottom tier over the last 15 months.
1 Year minus 1 Month Price Momentum
10.00%
5.00%
Ja
n03
M
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p03
No
v03
Ja
n04
M
ar
-0
4
0.00%
-5.00%
-10.00%
-15.00%
-20.00%
Equal Weight
Value Weight
1 Year minus 1 Month Price Momentum Equal Weight
Low Fractiles = High percent price changes
Model:
JK_P_1YR-1mnth_PRICEMOMENTUM_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Custom Ret Formula:
Model Run Date:
Mon Apr 19 18:40:57 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
1 Year % Price Change - 1 Month % Price Change
Factor2:
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Low
High
Med
Std
Std
Summary
227192
0.53
4.86
2.04
0.08
50.00
48.31
52.78
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
0.04
2.05
0.10
0.64
0.96
29.54
0.82
0.03
-2327.56
4590.14
9.91
19.00
-121080
0.85
8.28
6.48
0.12
61.58
67.8
51.39
26.62
26.03
52.87
53.64
5026.88
0.66
5.41
0.66
6.5
0.75
1.58
1.12
10.91
0.39
0
7.94
4590.14
80.37
108.97
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-221101
0.83
5.55
3.72
0.14
54.21
52.54
56.94
54.04
53.68
108.16
99.32
7150.18
0.38
2.69
0.41
3.75
0.56
2.08
0.9
15.16
0.55
0
-1.18
338.38
45.19
31.09
-321141
0.69
4.79
2.4
0.12
54.74
55.93
52.78
65.28
65
130.79
127.3
7364.18
0.13
1.66
0.17
2.44
0.29
1.63
0.9
23.65
0.75
0.01
-5.88
146.31
30.84
17.74
-421177
0.68
4.25
1.96
0.13
55.79
49.15
66.67
69.74
69.51
139.81
135.64
7400.63
0.08
1.65
0.14
2.13
0.31
2.19
0.82
26.32
0.79
0.01
-11.23
69.42
21.36
13.24
-521216
0.68
4.14
1.83
0.11
51.58
40.68
69.44
72.48
72.28
145.34
145.69
6677.86
-0.02
1.86
0.04
2.03
0.23
1.7
0.81
27.83
0.8
0.01
-15.32
50.45
13.43
11.71
-1.468%
25.193%
32.520%
-3.955%
44.143%
10.543%
23.675%
2.736%
33.498%
19.940%
32.557%
13.118%
44.871%
2.165%
1.772%
-4.757%
-3.530%
16.060%
0.56
-1.516%
16.084%
28.961%
-0.319%
35.413%
11.181%
21.388%
1.117%
29.184%
26.891%
33.022%
7.457%
18.070%
-1.624%
2.144%
-8.074%
-1.815%
12.798%
0.29
-1.864%
15.566%
32.462%
-5.427%
37.672%
11.480%
18.746%
2.500%
24.431%
20.128%
31.728%
10.575%
9.198%
6.544%
4.615%
-0.845%
-3.355%
12.597%
0.31
-1.704%
13.895%
24.810%
-1.539%
28.555%
18.659%
17.605%
-0.991%
28.673%
22.253%
29.017%
7.985%
1.980%
4.421%
8.756%
-6.421%
-3.471%
11.322%
0.23
-621254
0.68
4.22
1.94
0.08
47.89
36.44
66.67
73.35
73.14
147.08
145.8
6675.74
-0.13
1.98
-0.07
2.11
0.11
0.78
0.82
26.53
0.79
0
-20.4
38.77
6.81
11.05
-721239
0.52
4.43
2.13
0.05
45.26
36.44
59.72
72.57
72.38
145.55
146.01
6211.25
-0.24
2.09
-0.18
2.24
-0.02
-0.14
0.85
25.01
0.77
0.01
-27.88
30.23
1.12
10.91
-821195
0.43
4.77
2.32
0.04
44.21
38.14
54.17
69.97
69.74
140.28
144.01
5703.55
-0.24
2.06
-0.18
2.36
-0.08
-0.46
0.91
24.66
0.76
0
-43.57
20.48
-4.62
11.47
-921161
0.37
5.85
3.36
0.02
42.11
38.14
48.61
63.44
63.19
127.18
126.26
5401.59
-0.28
2.9
-0.23
3.36
-0.22
-0.89
1.04
19.56
0.67
0
-70.31
11.65
-12.25
13.08
-1021119
-0.24
7.71
5.09
-0.04
45.26
51.69
34.72
37.52
37.07
74.94
80.72
4186.38
-0.64
4.73
-0.6
5.23
-0.7
-1.88
1.26
15.62
0.56
0.03
-2327.56
2.27
-26.09
17.83
1 Year minus 1 Month Price Momentum Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-2.397%
14.966%
33.212%
-10.913%
75.847%
23.431%
39.966%
5.313%
44.105%
17.174%
15.940%
30.433%
131.362%
-18.087%
-7.923%
-11.258%
-2.149%
22.295%
0.75
-1.982% -2.551% -1.795% -0.897% -0.237%
16.131% 20.848% 13.247% 27.325% 25.110%
29.117% 25.888% 24.901% 23.338% 11.280%
-4.488% -6.572% -4.172% -11.455% -19.290%
31.825% 33.949% 31.753% 37.437% 39.466%
17.183% 13.157% 12.134%
6.594% 13.134%
6.265%
9.943% 14.858% 16.477% 20.728%
-1.971% -2.468% -0.906% -1.566%
3.536%
24.980% 30.280% 24.896% 27.741% 22.609%
18.399% 16.027% 19.505% 13.441% 21.843%
28.013% 22.318% 25.589% 24.704%
7.356%
0.164%
3.884%
1.339% -1.573% -10.623%
4.874%
1.359% -1.530%
6.504% 20.010%
11.436%
8.758% 15.512% 12.380% -11.376%
7.103%
4.676% -0.174% -8.978% -18.166%
-9.787% -17.029% -20.865% -32.810% -52.773%
-4.642% -6.673% -7.113% -4.858% -3.973%
10.154%
9.164%
8.658%
7.871%
4.037%
0.11
(0.02)
(0.08)
(0.22)
(0.70)
1 Year minus 1 Month Price Momentum, Value Weight
Model:
JK_P_1YR-1mnth_PRICEMOMENTUM_8703
Return Type:
Weighted
Start Date: 4/31/1987
Universe[FRM]:
JKCMUSMRKT_500Mil
End Date: 1/31/2003
Benchmark:
SP50
Rebalance Frequency:
1 - Month
Bench Val:
0.77
Return Frequency:
1 - Month
RFRate:
0.41
Number
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Low
High
Med
Std
Summary
227192
0.50
4.53
1.12
0.06
47.89
42.37
56.94
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
-0.09
1.14
-0.04
-0.54
0.96
53.65
0.94
0.03
-2327.56
4590.14
9.91
19.00
-121080
0.87
7.66
5.87
0.13
57.89
58.47
56.94
26.62
26.03
52.87
53.64
5026.88
0.73
5.27
0.62
5.88
0.73
1.7
1.07
11.49
0.41
0
7.94
4590.14
80.37
108.97
-221101
0.55
5.35
3.23
0.08
52.11
46.61
61.11
54.04
53.68
108.16
99.32
7150.18
0.15
2.71
0.06
3.25
0.17
0.72
0.93
18.08
0.63
0
-1.18
338.38
45.19
31.09
-321141
0.66
4.99
2.41
0.09
53.16
53.39
52.78
65.28
65
130.79
127.3
7364.18
0.14
2.13
0.06
2.42
0.13
0.72
0.95
24.82
0.77
0.01
-5.88
146.31
30.84
17.74
Custom Ret Formula:
Model Run Date:
Mon Apr 19 18:40:57 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
1 Year % Price Change - 1 Month % Price Change
Factor2:
-421177
0.74
4.12
1.83
0.12
53.16
45.76
65.28
69.74
69.51
139.81
135.64
7400.63
0.16
2.05
0.08
2.04
0.27
2.05
0.81
27.68
0.8
0.01
-11.23
69.42
21.36
13.24
-521216
0.46
4.27
1.74
0.08
48.95
38.98
65.28
72.48
72.28
145.34
145.69
6677.86
0.02
2.07
-0.05
1.87
0.09
0.73
0.85
30.82
0.83
0.01
-15.32
50.45
13.43
11.71
-621254
0.5
4.25
1.8
0.03
45.26
35.59
61.11
73.35
73.14
147.08
145.8
6675.74
-0.2
2.06
-0.28
1.95
-0.12
-0.91
0.84
29.29
0.82
0
-20.4
38.77
6.81
11.05
-721239
0.27
4.58
1.99
0.03
43.68
36.44
55.56
72.57
72.38
145.55
146.01
6211.25
-0.16
2.26
-0.24
2.04
-0.13
-0.89
0.9
28.49
0.81
0.01
-27.88
30.23
1.12
10.91
-821195
0.36
4.78
2.37
0.02
45.26
44.07
47.22
69.97
69.74
140.28
144.01
5703.55
-0.19
2.57
-0.27
2.41
-0.16
-0.92
0.91
24.01
0.75
0
-43.57
20.48
-4.62
11.47
-921161
-0.04
5.65
3.41
-0.05
42.63
41.53
44.44
63.44
63.19
127.18
126.26
5401.59
-0.55
3.5
-0.63
3.41
-0.55
-2.23
0.98
18.15
0.64
0
-70.31
11.65
-12.25
13.08
-1021119
-0.31
6.86
4.66
-0.05
41.05
41.53
40.28
37.52
37.07
74.94
80.72
4186.38
-0.62
4.63
-0.7
4.68
-0.68
-1.99
1.1
14.8
0.54
0.03
-2327.56
2.27
-26.09
17.83
-2.202% -1.367% -1.393% -0.542% -1.470% -1.970% -2.236% -0.887% -0.199%
17.791% 31.759%
9.363%
7.934% 15.715% 10.327% 18.347% 13.388% 25.460%
29.009% 32.137% 26.503% 36.784% 23.085% 32.898% 25.123% 28.191% 12.492%
-0.496%
1.663%
3.694%
1.824% -2.410% -5.846% -6.963% -5.378% -20.543%
68.847% 42.067% 35.039% 30.552% 27.811% 28.896% 26.422% 26.051% 24.070%
15.151% -0.405%
3.607%
4.549% 13.380%
6.175%
4.952%
7.650% -2.300%
30.286% 20.414% 16.412% 12.097% 10.947% 11.782% 10.330% 12.901% 13.748%
0.999%
2.050% 10.120%
7.349%
4.623%
1.374% -4.230%
3.856% -3.162%
29.790% 30.393% 38.416% 28.023% 36.214% 28.527% 26.900% 24.142% 25.059%
16.699% 14.434% 30.167% 28.153% 25.798% 16.227% 19.752% 14.141% 12.987%
30.942% 29.720% 32.229% 31.700% 30.448% 33.032% 24.624% 28.085% 20.833%
71.977% 28.529% 25.735% 26.034% 13.275%
9.651% 24.142%
4.817%
8.286%
122.169% 36.364% 33.692% 16.664% 14.312% 11.492% 11.085%
6.287% 15.305%
-30.866% -31.745% -31.943% -17.522%
1.388% -14.125% -0.791%
8.468% -3.684%
-11.099% -13.852% -9.606% -3.108% -16.102% -5.787% -8.439% -17.867% -31.259%
-10.664% -9.038% -10.820% -5.045% -16.054% -21.770% -21.008% -22.536% -34.821%
-0.842% -2.703% -4.269% -4.972% -4.618% -4.247% -5.983% -6.203% -2.520%
22.205% 12.378% 12.173% 11.793% 10.373%
8.037%
8.355%
7.359%
3.515%
0.73
0.17
0.13
0.27
0.09
(0.12)
(0.13)
(0.16)
(0.55)
0.360%
29.208%
10.510%
-14.302%
29.195%
4.127%
12.771%
4.553%
23.999%
16.479%
-3.914%
-0.871%
13.414%
-20.506%
-21.809%
-41.757%
-3.030%
2.260%
(0.68)
1 Year minus 1 Month Price Momentum, Value Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
MARKET CAPITALIZATION
Results indicate that there is a positive correlation to smaller companies and positive
stock returns. An equally weighted market neutral portfolio consisting of long positions
in the smallest 10% of stocks and short positions in the largest 10% of stocks would have
given the returns depicted in the graph below.
Market Cap ($15MM+)
100%
0%
Equal Weight
19
87
19
89
19
91
19
93
19
95
19
97
19
99
20
01
50%
Value Weight
-50%
-100%
-150%
2003-2004 results
These results have been especially strong from January 2003 through March of 2004. An
equally weighted portfolio would have yielded an average of 14.79% per month in the
top tier and 2.63% per month in the bottom tier over the last 15 months.
Market Cap (15MM Mill)
14.00%
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
-2.00%
-4.00%
Equal Weight
Value Weighted
Market Cap, Minimum $15 Million Equal Weight
Model:
JK_CM_15plus_MARKETCAP_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
594203
Return
1.04
Return
0.32
Return
5.11
Risk
2.96
Ratio
0.12
Bench
51.58
Bench
50.00
Bench
54.17
Cos
1.32
Cos
0.66
Turnover
2.00
Turnover
0.38
Mcap
2387.58
vsUniv
0.00
vsUniv
0.00
vsBench
0.26
vsBench
2.99
Alpha
0.38
(Alpha)
1.78
Beta
0.91
(Beta)
19.32
(Beta)
0.66
Avg
2387.58
Low
15.00
High 640138.94
Med
233.70
Std
965.62
-159339
1.68
-0.24
6.24
5.01
0.2
53.68
49.15
61.11
15.48
14.9
30.49
31.83
24.53
0.65
2.92
0.88
5.08
1.16
3.18
0.81
10.2
0.36
25.27
15
46.49
23.87
2.26
Equal Wgt. Returns
JKUS5MilMRKTCAP
SP50
0.77
0.41
-259355
1.28
0
5.8
4.35
0.15
51.05
46.61
58.33
18.7
18.15
36.97
37.51
48.62
0.25
2.04
0.48
4.42
0.72
2.27
0.84
12.07
0.44
51.08
26.69
87.84
48.22
7.42
-359391
1.16
0.12
5.61
3.99
0.13
52.63
48.31
59.72
20.39
19.86
40.39
40.7
81.65
0.13
1.5
0.36
4.04
0.57
1.94
0.86
13.55
0.49
86.14
42.88
138.96
80.61
13.08
Custom Ret Formula:
Model Run Date:
Sat Apr 10 12:38:13 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Market Value
Factor2:
-459431
0.97
0.18
5.44
3.63
0.1
50
48.31
52.78
20.69
20.16
41
41.28
129.57
-0.06
1.1
0.18
3.67
0.35
1.31
0.88
15.34
0.56
137.99
68.1
226.12
123.5
23.04
-559468
1.01
0.36
5.55
3.63
0.11
51.58
51.69
51.39
19.9
19.36
39.39
39.51
206.4
-0.02
1.16
0.23
3.65
0.36
1.38
0.92
15.87
0.57
221.39
112.35
363.72
186.05
40.79
-659509
0.95
0.37
5.4
3.38
0.1
51.58
51.69
51.39
17.9
17.35
35.37
35.37
333.05
-0.09
1.25
0.17
3.4
0.29
1.19
0.92
17.11
0.61
358.06
175.05
598.69
296.79
68.6
-759487
0.9
0.51
5.38
3.05
0.09
52.63
51.69
54.17
15.21
14.64
29.96
29.99
574.58
-0.14
1.26
0.13
3.05
0.2
0.91
0.97
19.92
0.68
611.47
290.8
1102.84
527.59
106.25
-859444
0.75
0.46
5.04
2.45
0.07
51.05
52.54
48.61
11.83
11.24
23.15
22.89
1098.11
-0.31
1.48
-0.02
2.46
0.04
0.22
0.96
24.61
0.76
1156.09
571.94
2132.41
1004.52
177.56
-9-1059409
59370
0.85
0.75
0.56
0.59
4.98
4.56
2.07
1.34
0.09
0.08
52.63
45.79
52.54
40.68
52.78
54.17
7.71
3.09
7.09
2.44
14.85
5.55
14.43
1.76
2663.12 18730.55
-0.21
-0.36
1.72
2.53
0.08
-0.03
2.07
1.36
0.12
0.02
0.78
0.23
0.99
0.95
29.98
44.48
0.83
0.91
2833.57 21934.33
1173.86
2949.27
6739.44 640138.94
2354.63
8516.39
497.35
8775.92
Market Cap, Minimum $15 Million Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-2.882% -3.874% -3.465% -3.351% -2.010% -2.344% -2.501% -1.547% -1.601% -1.047%
35.278% 17.128% 25.648% 25.039% 21.796% 24.562% 21.357% 20.934% 18.979% 16.715%
8.882% 21.573% 12.854% 22.965% 20.384% 19.912% 23.624% 21.031% 31.065% 29.081%
-19.818% -19.059% -10.440% -14.636% -12.897% -14.154% -8.121% -6.034% -9.659% -4.114%
72.505% 65.056% 60.161% 53.271% 41.090% 48.130% 46.431% 45.095% 41.623% 29.629%
40.646% 30.864% 23.902% 15.998% 17.201% 22.394% 19.830% 14.795% 15.348%
6.203%
33.449% 28.182% 19.241% 19.874% 22.966% 24.503% 22.635% 22.184% 18.941% 15.506%
-2.993% -5.911% -1.866% -5.996% -5.688% -6.261% -0.758%
1.273% -0.650%
1.181%
46.396% 50.615% 38.595% 36.585% 35.971% 29.460% 29.724% 28.262% 28.849% 29.791%
33.900% 23.617% 25.609% 20.820% 22.852% 21.458% 20.779% 18.031% 21.152% 18.950%
34.321% 28.741% 29.031% 23.680% 28.870% 30.134% 30.705% 17.409% 25.458% 27.806%
1.781%
1.483% -2.531%
0.302% -1.813%
2.788%
1.554%
1.011%
3.910% 19.122%
55.076% 31.047% 30.156% 23.450% 30.244% 25.470% 19.675% 19.748% 26.752% 30.769%
0.533%
2.889%
1.932%
1.973%
9.228%
7.913%
4.456% -1.188%
1.975% -5.917%
72.069% 44.800% 42.979% 35.404% 32.334% 17.041%
8.535% -0.633% -0.911% -14.688%
9.718%
6.235% -2.066% -8.128% -15.664% -15.318% -15.710% -17.987% -16.325% -18.627%
2.363%
1.494% -1.629% -2.950% -3.782% -5.440% -4.350% -4.656% -3.583% -4.004%
25.317% 18.501% 16.021% 12.514% 13.255% 10.724%
9.461%
6.127%
8.663%
8.438%
1.16
0.72
0.57
0.35
0.36
0.29
0.20
0.04
0.12
0.02
Market Cap, Minimum $15 Million Value Weight
Model:
JK_CM_15plus_MARKETCAP_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
593886
Return
0.70
Return
0.50
Return
4.54
Risk
1.14
Ratio
0.06
Bench
45.79
Bench
42.37
Bench
51.39
Cos
1.35
Cos
0.69
Turnover
2.06
Turnover
0.38
Mcap
2388.78
vsUniv
0.00
vsUniv
0.00
vsBench
-0.08
vsBench
1.15
Alpha
-0.03
(Alpha)
-0.39
Beta
0.96
(Beta)
53.03
(Beta)
0.94
Avg
2388.78
Low
15.00
High 640138.94
Med
234.03
Std
966.20
Weighted
JKUS5MilMRKTCAP
SP50
0.77
0.41
Custom Ret Formula:
Model Run Date:
Mon Apr 19 16:38:56 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Market Value
Factor2:
-159305
1.66
-0.27
6.21
4.95
0.2
53.16
50
58.33
15.6
15.02
30.72
32.08
24.56
0.94
4.73
0.85
5.03
1.14
3.15
0.82
10.35
0.36
25.29
15
46.78
23.91
2.26
-259323
1.28
-0.02
5.76
4.32
0.15
52.11
49.15
56.94
18.75
18.19
37.06
37.6
48.67
0.56
4.07
0.48
4.39
0.72
2.29
0.83
12.1
0.44
51.13
26.69
87.86
48.22
7.43
-359363
1.14
0.07
5.59
3.97
0.13
54.21
50.85
59.72
20.46
19.92
40.52
40.82
81.75
0.43
3.61
0.35
4.02
0.55
1.9
0.86
13.62
0.5
86.25
42.91
139.15
80.68
13.1
-459399
0.95
0.13
5.46
3.64
0.1
51.05
50
52.78
20.7
20.16
41.01
41.3
129.73
0.24
3.27
0.16
3.67
0.33
1.23
0.89
15.35
0.56
138.16
68.57
226.12
123.65
23.06
-2.375%
18.983%
34.057%
-0.332%
77.679%
12.653%
16.897%
4.714%
37.653%
25.457%
23.899%
17.066%
31.617%
-3.590%
1.595%
-10.365%
-3.687%
16.584%
1.14
-1.875%
19.920%
36.155%
-2.983%
46.338%
16.357%
6.499%
3.550%
33.657%
22.756%
26.655%
11.075%
24.988%
2.303%
4.559%
-7.615%
-4.457%
13.993%
0.72
-1.119%
17.827%
22.497%
-4.805%
36.447%
18.386%
12.539%
-2.282%
31.996%
26.261%
27.617%
3.373%
16.054%
13.221%
7.212%
-8.660%
-2.659%
12.583%
0.55
-1.599%
20.035%
26.776%
-5.950%
46.688%
13.610%
18.958%
-2.076%
29.544%
21.762%
28.181%
2.459%
11.462%
17.721%
6.228%
-7.956%
-4.027%
13.048%
0.33
-559436
0.99
0.31
5.54
3.63
0.11
52.63
53.39
51.39
19.89
19.35
39.38
39.5
206.66
0.3
3.17
0.21
3.65
0.35
1.33
0.91
15.85
0.57
221.68
112.45
363.89
186.37
40.85
-659476
0.95
0.34
5.4
3.36
0.1
51.58
51.69
51.39
17.9
17.34
35.36
35.37
333.43
0.25
2.89
0.17
3.38
0.29
1.19
0.92
17.22
0.61
358.48
175.07
599.1
297.12
68.67
-759453
0.91
0.48
5.39
3.04
0.09
53.68
53.39
54.17
15.23
14.65
29.99
30.03
575.17
0.22
2.55
0.14
3.04
0.21
0.94
0.97
20.05
0.68
612.09
294.45
1102.84
529.43
106.31
-859409
0.74
0.42
5.05
2.43
0.07
49.47
50
48.61
11.82
11.23
23.13
22.85
1099.03
0.05
1.97
-0.03
2.43
0.03
0.17
0.97
25.02
0.77
1157.07
571.94
2134.62
1005.08
177.6
-9-1059379
59343
0.85
0.66
0.55
0.47
4.96
4.52
2.02
1.21
0.09
0.06
51.58
46.32
53.39
40.68
48.61
55.56
7.68
3.09
7.06
2.43
14.8
5.55
14.39
1.76
2664.96 18737.06
0.16
-0.04
1.6
0.52
0.08
-0.12
2.02
1.23
0.11
-0.07
0.74
-0.77
0.99
0.95
30.79
49.42
0.83
0.93
2835.63 21942.14
1182.03
2949.27
6739.44 640138.94
2354.63
8555.18
497.6
8779.49
Market Cap, Minimum $15 Million Value Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.116% -0.705%
16.837%
8.352%
25.573% 23.519%
-9.552% -5.615%
38.583% 38.559%
7.243% 18.158%
12.417% 20.245%
-4.028% -1.221%
30.526% 27.862%
19.481% 22.380%
35.171% 32.277%
-0.073%
4.249%
5.576%
9.639%
12.214%
9.920%
10.496%
4.534%
-9.788% -12.346%
-3.556% -5.731%
10.941% 11.416%
0.35
0.29
-1.877% -1.711% -1.177% -2.327%
23.556% 20.771% 23.416% 17.818%
27.548% 28.939% 22.905% 24.352%
-6.801% -3.107% -16.672% -13.209%
41.277% 28.091% 25.698% 31.068%
11.669% 12.444% 17.880%
9.044%
17.577% 27.486% 27.144% 30.763%
-2.615% -1.050% 12.055%
7.232%
27.244% 31.107% 23.316% 25.713%
16.294% 14.370% 25.396% 11.235%
26.623% 16.589% 17.651% 17.725%
7.065% -0.359% -2.578% 18.638%
4.498% 14.498% 29.361% 124.056%
4.914% -6.118% -14.153% -42.849%
0.629% -3.991% -8.905% -35.580%
-9.983% -18.904% -36.331% -40.963%
-4.259% -4.985% -5.485% -3.747%
10.786%
9.063%
8.207% 10.528%
0.21
0.03
0.11
(0.07)
DEBT TO EQUITY
Results indicate that there is a positive correlation to the debt to equity ratio and positive
stock returns. An equally weighted market neutral portfolio consisting of long positions
in the 10% of stocks with the greatest debt to equity ratios and short positions in the 10%
of stocks with lowest debt to equity ratios would have given the returns depicted in the
graph below.
Debt to Equity
50%
20
01
19
99
19
97
-50%
Equal Weight
19
95
19
93
0%
Value Weight
-100%
2003-2004 results
The positive correlations have not been significant from January 2003 through March of
2004. Over the 15 months stocks in the top 10% of debt to equity values have gained a
geometric average of 3.22% per month and 2.63% in the bottom tier while those in the
bottom 10% have gained a geometric average of 3.14%. A similar portfolio during this
period would have yielded the following returns:
Debt to Equity Ratio
8.00%
6.00%
4.00%
Equal Weight
0.00%
Value Weighted
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
2.00%
-2.00%
-4.00%
-6.00%
Debt to Equity Ratio Equal Weight
Model:
JK_CM_DEBTTOEQUITY_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.81
Return
0.53
Return
4.86
Risk
2.04
Ratio
0.08
Bench
50.00
Bench
48.31
Bench
52.78
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
0.04
vsBench
2.05
Alpha
0.10
(Alpha)
0.64
Beta
0.96
(Beta)
29.54
(Beta)
0.82
Avg
141.54
Low
0.00
High 173485.63
Med
54.96
Std
26.44
-114926
0.94
0.83
4.82
2.46
0.11
51.2
48.72
55.32
11.59
8.84
24.07
34.68
8974.8
0.13
2.71
0.2
2.75
0.31
1.41
0.9
18.67
0.74
758.9
116.01
173485.63
315.23
260.8
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-214937
0.79
0.69
4.11
2.22
0.09
50.4
41.03
65.96
16.04
14.02
34
38.18
6897.09
-0.04
2.49
0.02
2.65
0.26
1.29
0.75
17.29
0.71
179.98
69.74
286.84
152.27
24.6
-314964
0.69
0.49
4.03
2.33
0.07
45.6
32.05
68.09
18.8
16.94
39.77
42.67
6154.26
-0.14
2.3
-0.09
2.8
0.18
0.86
0.72
15.65
0.67
120.33
55.08
166.15
110.19
13.24
Custom Ret Formula:
Model Run Date:
Thu Apr 8 10:48:32 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Debt to Equity
Factor2:
-414989
0.77
0.49
4.17
2.27
0.09
48
39.74
61.7
20.96
19.28
44.43
43.93
6110.51
-0.05
2.3
0
2.68
0.23
1.12
0.76
17.06
0.7
90.18
44.87
113.19
84.84
8.66
-515015
0.74
0.55
4.52
2.16
0.07
45.6
44.87
46.81
22.84
21.19
48.05
50.82
6986.24
-0.06
1.73
-0.01
2.5
0.13
0.67
0.87
20.36
0.77
67.93
35.22
89.32
64.1
6.83
-615038
0.72
0.62
4.9
2.42
0.07
49.6
48.72
51.06
22.56
20.74
47.15
50.18
7630.48
-0.05
1.72
-0.01
2.71
0.08
0.38
0.93
19.54
0.76
49.25
26.26
67.24
46.09
5.43
-715020
0.67
0.55
5.03
2.37
0.05
48.8
50
46.81
21.04
19.06
43.79
41.2
7789.74
-0.09
1.12
-0.06
2.67
0.01
0.02
0.97
20.82
0.78
32.23
8.76
51.07
29.79
5.15
-815003
0.72
0.09
6.93
4.77
0.05
50.4
56.41
40.43
21.06
19.3
44.54
37.33
8681.62
0.02
3.43
0.02
4.99
0.06
0.14
1.1
11.69
0.53
16.62
0.88
33.68
14.68
5.23
-914975
0.39
-0.24
8.65
5.92
0
46.4
53.85
34.04
20.21
18.07
42.03
44.35
4117.53
-0.24
5.04
-0.25
6.39
-0.36
-0.67
1.38
11.81
0.53
4.02
0
20.28
1.87
2.74
-1014955
0.95
0.19
8.84
5.87
0.06
52.8
62.82
36.17
14.8
12.03
29.94
14.75
4423.32
0.33
5.13
0.32
6.45
0.15
0.29
1.44
12.5
0.56
0.09
0
3.96
0
0.24
Debt to Equity Ratio Equal Weight
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
1.322%
9.316% 17.693% 13.361% 27.253% 11.535% 24.318% 19.334%
4.596% 17.265%
-3.018% -4.472% -0.480% -0.584% -5.533%
4.000%
2.606%
6.784%
5.821%
4.684%
40.559% 32.737% 22.128% 28.797% 25.548% 21.263% 23.492% 30.164% 34.875% 40.121%
27.373% 20.437% 18.012% 22.084% 19.600% 17.410% 15.829% 18.024% 24.480% 17.033%
47.292% 36.863% 24.292% 23.521% 28.022% 28.836% 24.825% 21.744% 19.783% 20.840%
2.200% -0.543%
1.858%
1.167%
3.707%
2.007%
6.369% 10.166% 17.176% 20.381%
9.530%
4.616% -1.918%
9.740%
8.035%
9.255% 22.428% 48.339% 71.715% 100.075%
10.730% 13.829% 15.662% 11.583%
1.338%
1.760% -6.216% -25.638% -34.375% -16.502%
5.140%
2.341%
4.990%
8.082%
1.205%
2.453%
6.175% -6.524% -23.853% -14.919%
-11.944% -11.664% -16.082% -12.046% -10.837% -14.479% -17.487% -20.486% -32.206% -32.566%
-5.828% -4.886% -4.166% -3.685% -5.782% -5.518% -4.022% -4.151% -4.299% -1.979%
11.214%
8.961%
7.454%
9.275%
8.414%
7.138%
8.938%
8.887%
7.610% 14.039%
0.31
0.26
0.18
0.23
0.13
0.08
0.01
0.06
(0.36)
0.15
Debt to Equity Ratio Value Weighted
Model:
JK_CM_DEBTTOEQUITY_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.69
Return
0.50
Return
4.53
Risk
1.12
Ratio
0.06
Bench
47.89
Bench
42.37
Bench
56.94
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
-0.09
vsBench
1.14
Alpha
-0.04
(Alpha)
-0.54
Beta
0.96
(Beta)
53.65
(Beta)
0.94
Avg
83.71
Low
0.00
High 173485.63
Med
54.96
Std
26.44
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
Custom Ret Formula:
Model Run Date:
Mon Apr 19 16:43:47 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Debt to Equity
Factor2:
-114926
0.81
0.67
5.2
1.87
0.08
57.6
60.26
53.19
11.59
8.84
24.07
34.68
8974.8
0.19
2.53
0.1
2.32
0.08
0.47
1.06
28.76
0.87
758.9
116.01
173485.63
315.23
260.8
-214937
0.52
0.57
4.47
1.71
0.03
49.6
44.87
57.45
16.04
14.02
34
38.18
6897.09
-0.14
2.66
-0.22
2.1
-0.12
-0.75
0.9
26.83
0.85
179.98
69.74
286.84
152.27
24.6
-314964
0.54
0.21
4.08
2.17
0.03
49.6
38.46
68.09
18.8
16.94
39.77
42.67
6154.26
-0.14
2.62
-0.23
2.61
0.01
0.04
0.75
17.62
0.72
120.33
55.08
166.15
110.19
13.24
-414989
0.65
0.28
4.08
1.9
0.06
46.4
37.18
61.7
20.96
19.28
44.43
43.93
6110.51
-0.03
2.64
-0.11
2.35
0.09
0.52
0.79
21.03
0.78
90.18
44.87
113.19
84.84
8.66
16.897%
4.714%
37.653%
25.457%
23.899%
17.066%
31.617%
-3.590%
1.595%
-10.365%
-3.687%
12.842%
0.08
6.499%
3.550%
33.657%
22.756%
26.655%
11.075%
24.988%
2.303%
4.559%
-7.615%
-4.457%
11.270%
(0.12)
12.539%
-2.282%
31.996%
26.261%
27.617%
3.373%
16.054%
13.221%
7.212%
-8.660%
-2.659%
11.334%
0.01
18.958%
-2.076%
29.544%
21.762%
28.181%
2.459%
11.462%
17.721%
6.228%
-7.956%
-4.027%
11.114%
0.09
-515015
0.62
0.52
4.33
1.44
0.05
49.6
50
48.94
22.84
21.19
48.05
50.82
6986.22
-0.04
2.09
-0.13
1.89
-0.02
-0.16
0.89
31.5
0.89
67.93
35.22
89.32
64.1
6.83
-615038
0.64
0.35
4.35
1.89
0.05
48
41.03
59.57
22.56
20.74
47.15
50.18
7630.48
-0.01
2.05
-0.11
2.27
0.04
0.21
0.86
22.99
0.81
49.25
26.26
67.24
46.09
5.43
-715020
0.53
0.47
4.24
1.49
0.03
46.4
42.31
53.19
21.04
19.06
43.79
41.2
7789.74
-0.13
1.83
-0.22
1.95
-0.09
-0.69
0.86
29.44
0.88
32.23
8.76
51.07
29.79
5.15
-815003
0.78
0.4
6.26
3.53
0.06
52.8
58.97
42.55
21.06
19.3
44.54
37.33
8681.62
0.2
3.28
0.09
3.86
0.06
0.18
1.13
16.2
0.68
16.62
0.88
33.68
14.68
5.23
-914975
0.29
-0.33
9.02
6.06
-0.01
49.6
53.85
42.55
20.21
18.07
42.03
44.35
4117.53
-0.21
6.11
-0.33
6.65
-0.49
-0.89
1.46
12.21
0.55
4.02
0
20.28
1.87
2.74
-1014955
1.11
0.82
8.96
5.31
0.08
53.6
62.82
38.3
14.8
12.03
29.94
14.75
4423.32
0.61
5.81
0.5
6.21
0.21
0.45
1.57
15.08
0.65
0.09
0
3.96
0
0.24
Debt to Equity Ratio Value Weighted
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
12.417% 20.245%
-4.028% -1.221%
30.526% 27.862%
19.481% 22.380%
35.171% 32.277%
-0.073%
4.249%
5.576%
9.639%
12.214%
9.920%
10.496%
4.534%
-9.788% -12.346%
-3.556% -5.731%
9.858% 10.164%
(0.02)
0.04
17.577% 27.486% 27.144% 30.763%
-2.615% -1.050% 12.055%
7.232%
27.244% 31.107% 23.316% 25.713%
16.294% 14.370% 25.396% 11.235%
26.623% 16.589% 17.651% 17.725%
7.065% -0.359% -2.578% 18.638%
4.498% 14.498% 29.361% 124.056%
4.914% -6.118% -14.153% -42.849%
0.629% -3.991% -8.905% -35.580%
-9.983% -18.904% -36.331% -40.963%
-4.259% -4.985% -5.485% -3.747%
7.999%
6.240%
6.134% 10.202%
(0.09)
0.06
(0.49)
0.21
BOOK TO PRICE RATIO
Results indicate that there is a slight positive correlation with the book to price ratio and
positive stock returns. An equally weighted market neutral portfolio consisting of long
positions in the 10% of stocks with the highest book to price ratios (“value stocks”) and
short positions in the 10% of stocks with the lowest book to price ratios would have given
the returns depicted in the graph below.
Book to Price
100%
50%
Equal Weight
0%
19
87
19
89
19
91
19
93
19
95
19
97
19
99
20
01
Value Weight
-50%
-100%
2003-2004 results
The extra positive return on value stocks has been extremely significant from January
2003 through March of 2004. Over the 15 months stocks in the top 10% of book to
equity values have gained a geometric average of 5.25% per month in an equally
weighted portfolio while those in the bottom 10% have gained a geometric average of
2.53% per month. A similar portfolio during this period would have yielded the
following returns:
Book to Price
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
-5.00%
-10.00%
Equal Weight
Value Weighted
Book to Price Ratio Equal Weight
Model:
JK_Book_to_Price_8703Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
T-Stat
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.81
Return
0.53
Return
4.86
Risk
2.04
Ratio
0.08
Bench
50.00
Bench
48.31
Bench
52.78
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
0.04
vsBench
2.05
Alpha
0.10
(Alpha)
0.64
Beta
0.96
(Beta)
29.54
(Beta)
0.82
Corrl.-IC
0.48
Avg
658.77
Low
0.01
High 1998340.00
Med
2.39
Std
1426.55
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-121601
1.12
0.74
5.67
3.35
0.13
53.68
52.54
55.56
13.93
13.31
27.39
24.34
3689.6
0.3
2.91
0.35
3.35
0.41
1.67
1
18.75
0.65
-0.01
0.95
0.01
1.58
0.95
0.16
-221618
1.08
0.88
4.55
2.56
0.15
56.84
52.54
63.89
30.02
29.49
59.73
59.29
3850.01
0.22
2.44
0.28
2.69
0.47
2.52
0.82
20.17
0.68
0.13
1.37
0.77
1.94
1.34
0.17
-1.260%
34.593%
20.916%
-20.413%
45.044%
14.018%
36.325%
7.575%
36.470%
24.790%
35.586%
-4.263%
19.625%
12.455%
20.113%
-15.044%
-4.306%
15.425%
0.41
-1.191%
28.254%
27.625%
-8.064%
46.290%
18.214%
19.116%
2.985%
35.294%
21.053%
27.190%
1.059%
1.426%
21.184%
21.302%
-9.860%
-5.556%
14.489%
0.47
-321659
0.97
0.62
4.29
2.24
0.13
50
40.68
65.28
37.38
36.91
74.58
71.84
4346.18
0.1
2.16
0.16
2.42
0.36
2.22
0.8
22.47
0.73
0.03
1.65
1.04
2.32
1.63
0.21
Custom Ret Formula:
Model Run Date:
Thu Apr 8 11:06:19 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Price to Book
Factor2:
-421691
0.78
0.56
4.5
2.17
0.08
48.42
43.22
56.94
39.79
39.33
79.42
77
4786.17
-0.07
1.84
-0.02
2.26
0.13
0.8
0.86
25
0.77
0.09
1.95
1.23
2.73
1.89
0.27
-521728
0.57
0.32
4.76
2.2
0.03
44.74
41.53
50
39.55
39.1
78.95
68.94
5955.9
-0.26
1.41
-0.21
2.23
-0.12
-0.72
0.92
26.29
0.79
-0.06
2.31
1.44
3.47
2.2
0.35
-621770
0.7
0.47
4.98
2.2
0.06
48.95
45.76
54.17
38.17
37.72
76.18
70.01
6066.8
-0.12
1.17
-0.07
2.2
-0.03
-0.16
0.97
27.84
0.8
0.01
2.77
1.66
4.78
2.59
0.46
-721745
0.53
0.34
5.37
2.58
0.02
47.37
47.46
47.22
36.44
35.99
72.72
62.19
6530.48
-0.27
1.25
-0.23
2.58
-0.22
-1.18
1.03
25.07
0.77
0.01
3.43
1.94
7.01
3.12
0.66
-821711
0.65
0.48
5.65
2.97
0.04
50
55.93
40.28
31.85
31.37
63.48
55.28
7142.16
-0.13
1.69
-0.1
2.98
-0.1
-0.46
1.05
22.17
0.72
-0.01
4.43
2.41
11.73
3.86
1.05
-921677
0.75
0.45
6.49
4.11
0.05
50.53
57.63
38.89
25.22
24.7
50.16
36.73
9235.85
-0.02
3.01
0.01
4.13
0.01
0.02
1.1
16.79
0.6
0.09
6.33
2.98
24.53
5.08
1.94
-1021632
0.8
0.41
8.01
5.79
0.05
54.21
66.1
34.72
13.03
12.44
25.63
17.09
10695.79
0.07
4.86
0.08
5.87
0.07
0.16
1.21
13.09
0.48
0.14
7404.58
4.12
1998340
8.93
14300.2
Book to Price Ratio Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.022% -2.117% -1.602% -0.981% -2.568% -1.073% -1.584% -2.521%
20.975% 22.427% 12.289% 21.196% 16.401% 12.958% 14.194%
8.632%
22.624% 25.419% 26.261% 21.283% 28.923% 31.891% 31.397% 33.825%
-4.912% -6.339% -9.371% -2.963% -7.742% -7.361%
1.630% -3.307%
35.928% 32.363% 25.534% 32.704% 30.999% 33.721% 43.777% 79.832%
17.155% 12.217% 14.585% 11.504% 17.415% 15.045% 10.719%
7.187%
17.974% 23.188% 16.164% 21.113% 18.632% 14.883%
9.538% 15.324%
-1.340% -0.083% -2.562%
0.546% -0.213%
3.810% -0.301%
0.589%
26.333% 23.793% 27.846% 21.228% 19.919% 26.247% 33.922% 44.279%
29.908% 22.236% 14.692% 21.929% 18.461% 12.568% 18.409% 18.123%
28.223% 26.630% 29.671% 24.679% 22.559% 23.716% 15.849% 18.984%
0.197%
1.469% -4.869%
0.755%
4.573%
8.958% 24.508% 28.701%
4.284%
2.068%
7.814% 12.001% 25.087% 30.273% 56.769% 104.754%
18.788% 10.456%
3.837% -2.244% -13.194% -11.653% -20.377% -31.216%
15.000%
7.139% -1.426% -4.875% -12.893% -8.208% -13.836% -29.197%
-9.510% -13.168% -15.416% -15.880% -20.269% -23.970% -23.646% -28.394%
-4.821% -3.959% -4.853% -2.911% -3.276% -3.615% -5.144% -4.435%
12.693% 10.808%
8.153%
9.358%
8.401%
9.305% 11.519% 15.362%
0.36
0.13
(0.12)
(0.03)
(0.22)
(0.10)
0.01
0.07
Book to Price Ratio Value Weighted
Model:
JK_Book_to_Price_8703Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
T-Stat
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.69
Return
0.50
Return
4.53
Risk
1.12
Ratio
0.06
Bench
47.89
Bench
42.37
Bench
56.94
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
-0.09
vsBench
1.14
Alpha
-0.04
(Alpha)
-0.54
Beta
0.96
(Beta)
53.65
(Beta)
0.94
Corrl.-IC
0.48
Avg
658.77
Low
0.01
High 1998340.00
Med
2.39
Std
1426.55
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
Custom Ret Formula:
Model Run Date:
Mon Apr 19 16:49:22 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Price to Book
Factor2:
-121601
0.82
0.34
5.64
3.26
0.07
48.95
48.31
50
13.93
13.31
27.39
24.34
3689.6
0.13
3.28
0.05
3.26
0.1
0.43
1
19.34
0.67
-0.01
0.95
0.01
1.58
0.95
0.16
-221618
0.81
0.7
4.75
2.39
0.09
51.58
48.31
56.94
30.02
29.49
59.73
59.29
3850.01
0.1
2.5
0.02
2.44
0.15
0.84
0.89
23.49
0.75
0.13
1.37
0.77
1.94
1.34
0.17
-321659
0.84
0.5
4.38
2.23
0.1
50.53
42.37
63.89
37.38
36.91
74.58
71.84
4346.18
0.12
2.29
0.04
2.38
0.22
1.36
0.82
23.17
0.74
0.03
1.65
1.04
2.32
1.63
0.21
-421691
0.7
0.45
4.45
1.94
0.07
47.37
38.98
61.11
39.79
39.33
79.42
77
4786.17
-0.01
1.94
-0.09
2.03
0.04
0.29
0.87
28.28
0.81
0.09
1.95
1.23
2.73
1.89
0.27
-2.375%
18.983%
34.057%
-0.332%
77.679%
12.653%
16.897%
4.714%
37.653%
25.457%
23.899%
17.066%
31.617%
-3.590%
1.595%
-10.365%
-3.687%
16.584%
0.10
-1.875%
19.920%
36.155%
-2.983%
46.338%
16.357%
6.499%
3.550%
33.657%
22.756%
26.655%
11.075%
24.988%
2.303%
4.559%
-7.615%
-4.457%
13.993%
0.15
-1.119%
17.827%
22.497%
-4.805%
36.447%
18.386%
12.539%
-2.282%
31.996%
26.261%
27.617%
3.373%
16.054%
13.221%
7.212%
-8.660%
-2.659%
12.583%
0.22
-1.599%
20.035%
26.776%
-5.950%
46.688%
13.610%
18.958%
-2.076%
29.544%
21.762%
28.181%
2.459%
11.462%
17.721%
6.228%
-7.956%
-4.027%
13.048%
0.04
-521728
0.59
0.3
4.53
1.88
0.04
43.16
38.14
51.39
39.55
39.1
78.95
68.94
5955.9
-0.12
1.88
-0.2
1.94
-0.09
-0.65
0.9
29.98
0.83
-0.06
2.31
1.44
3.47
2.2
0.35
-621770
0.56
0.27
4.64
1.99
0.03
42.11
33.9
55.56
38.17
37.72
76.18
70.01
6066.8
-0.14
1.83
-0.22
2.03
-0.13
-0.89
0.91
28.92
0.82
0.01
2.77
1.66
4.78
2.59
0.46
-721745
0.72
0.4
5.01
1.87
0.06
45.79
46.61
44.44
36.44
35.99
72.72
62.19
6530.51
0.04
1.66
-0.04
1.87
-0.04
-0.27
1.01
34.14
0.86
0.01
3.43
1.94
7.01
3.12
0.66
-821711
0.74
0.41
4.84
2
0.07
54.74
53.39
56.94
31.84
31.36
63.48
55.27
7142.27
0.05
1.67
-0.04
2
0.02
0.12
0.96
30.27
0.83
-0.01
4.43
2.41
11.73
3.86
1.05
-921677
0.69
0.71
5.09
1.84
0.06
45.79
46.61
44.44
25.23
24.71
50.17
36.73
9235.7
0.01
1.7
-0.07
1.84
-0.08
-0.63
1.04
35.45
0.87
0.09
6.33
2.98
24.53
5.08
1.94
-1021632
0.66
0.46
5.88
3.3
0.04
47.89
49.15
45.83
13.03
12.44
25.63
17.09
10695.79
0
2.86
-0.1
3.31
-0.1
-0.41
1.06
20.24
0.69
0.14
7404.58
4.12
1998340
8.93
14300.2
Book to Price Ratio Value Weighted
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.116% -0.705%
16.837%
8.352%
25.573% 23.519%
-9.552% -5.615%
38.583% 38.559%
7.243% 18.158%
12.417% 20.245%
-4.028% -1.221%
30.526% 27.862%
19.481% 22.380%
35.171% 32.277%
-0.073%
4.249%
5.576%
9.639%
12.214%
9.920%
10.496%
4.534%
-9.788% -12.346%
-3.556% -5.731%
10.941% 11.416%
(0.09)
(0.13)
-1.877% -1.711% -1.177% -2.327%
23.556% 20.771% 23.416% 17.818%
27.548% 28.939% 22.905% 24.352%
-6.801% -3.107% -16.672% -13.209%
41.277% 28.091% 25.698% 31.068%
11.669% 12.444% 17.880%
9.044%
17.577% 27.486% 27.144% 30.763%
-2.615% -1.050% 12.055%
7.232%
27.244% 31.107% 23.316% 25.713%
16.294% 14.370% 25.396% 11.235%
26.623% 16.589% 17.651% 17.725%
7.065% -0.359% -2.578% 18.638%
4.498% 14.498% 29.361% 124.056%
4.914% -6.118% -14.153% -42.849%
0.629% -3.991% -8.905% -35.580%
-9.983% -18.904% -36.331% -40.963%
-4.259% -4.985% -5.485% -3.747%
10.786%
9.063%
8.207% 10.528%
(0.04)
0.02
(0.08)
(0.10)
CASH FLOW YIELD
Results indicate that there is a positive correlation with cash flow yield and positive stock
returns. An equally weighted market neutral portfolio consisting of long positions in the
10% of stocks with the highest cash flow yield and short positions in the 10% of stocks
with the lowest cash flow yield would have given the returns depicted in the graph below.
Cash Flow Yield, 1 Quarter Lag
60%
40%
Equal Weight
0%
Value Weight
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20%
-20%
-40%
2003-2004 results
The extra positive return on stocks yielding higher cash flows continued from January
2003 through March of 2004. Over the 15 months the 10% of stocks yielding the highest
cash flow gained a geometric average of 4.15% per month while those in the bottom 10%
gained a geometric average of 2.74% per month. A similar portfolio during this period
would have yielded the following returns:
Cash Flow Yield, 1 Quarter Lag
8.00%
6.00%
4.00%
Equal Weight
0.00%
Value Weighted
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
2.00%
-2.00%
-4.00%
-6.00%
Cash Flow Yield, 1 Quarter Lag Equal Weight
Model:
JK_Price_to_CashFlow_1QLag_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
-213666
1.03
0.71
4.24
2.99
0.15
51.33
42.03
65.91
24.17
22.45
50.9
53.49
4704.09
0.29
3.19
0.27
3.37
0.6
2.11
0.66
10.61
0.5
5.85
3.65
9.26
5.29
0.86
-313691
1.02
0.73
4.28
2.92
0.14
45.13
33.33
63.64
26.85
25.26
56.53
52.37
5785.75
0.29
3.12
0.26
3.26
0.57
2.04
0.68
11.26
0.53
7.38
5.09
10.78
6.63
0.97
-413710
0.82
0.65
4.08
2.62
0.1
43.36
31.88
61.36
28.9
27.32
60.65
70.44
6320.78
0.08
2.88
0.06
2.99
0.36
1.44
0.68
12.58
0.59
8.92
6.19
12.43
8.03
1.05
-513737
1.07
0.77
4.27
2.47
0.16
49.56
40.58
63.64
30.23
28.87
63.59
70.6
6422.97
0.36
2.49
0.33
2.69
0.56
2.39
0.76
14.88
0.67
10.6
7.36
14.35
9.51
1.18
Cash Flow Yield, 1 Quarter Lag Equal Weight
1994
7.664%
1995
38.729%
1996
25.641%
1997
40.742%
1998
1.797%
1999
18.368%
2000
23.802%
2001
14.778%
2002
-7.112%
2003
-5.820%
Arithmetic Mean
15.859%
Average Monthly Alpha
0.74
4.960%
31.417%
19.962%
22.848%
1.304%
3.205%
28.203%
10.640%
-4.411%
-5.446%
11.268%
0.60
-0.187%
36.843%
24.611%
28.597%
-2.935%
3.071%
25.389%
12.866%
-5.867%
-3.689%
11.870%
0.57
-3.824%
33.001%
24.719%
28.099%
7.593%
0.379%
14.188%
9.132%
-7.322%
-6.511%
9.945%
0.36
4.353%
30.241%
27.782%
27.468%
5.061%
9.096%
16.819%
13.879%
-6.434%
-4.091%
12.418%
0.56
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Summary
227192
0.81
0.53
4.86
2.04
0.08
50.00
48.31
52.78
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
0.04
2.05
0.10
0.64
0.96
29.54
0.82
33.86
0.00
90875.48
10.18
23.40
Custom Ret Formula:
Model Run Date:
Thu Apr 8 12:52:39 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Price to Cash Flow
Factor2:
-113651
1.26
0.79
5.04
3.4
0.17
58.41
53.62
65.91
16.44
14.11
34.51
45.41
4401.41
0.55
3.21
0.53
3.49
0.74
2.28
0.81
11.53
0.54
3.7
0
7.47
3.37
0.7
Number
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-613759
0.93
0.67
4.39
2.56
0.12
48.67
39.13
63.64
30.43
28.9
63.59
62.92
7467.72
0.23
2.2
0.2
2.74
0.41
1.69
0.78
14.69
0.66
12.66
8.79
16.94
11.14
1.46
-713751
0.74
0.65
4.62
2.32
0.07
54.87
50.72
61.36
29.94
28.48
62.75
59.89
8520.69
0.05
1.74
0.02
2.37
0.15
0.67
0.87
18.13
0.75
15.6
10.21
24.23
13.26
2.1
-813725
0.86
0.52
5.32
2.87
0.08
53.1
55.07
50
28.62
27.04
59.87
48.77
10082.55
0.21
1.5
0.16
2.84
0.22
0.81
0.98
16.49
0.71
20.5
12.1
40.28
16.71
3.7
-913700
0.5
0.02
6.69
3.79
0.01
44.25
53.62
29.55
25.84
23.89
53.78
43.53
10898.81
-0.08
2.52
-0.14
3.87
-0.23
-0.65
1.2
15.33
0.68
31.08
14.82
85.19
22.06
8.52
-1013678
-0.21
-0.61
9.57
6.54
-0.06
41.59
49.28
29.55
21.02
18.61
43.23
48.99
7118.62
-0.67
5.6
-0.77
6.95
-0.96
-1.54
1.52
11.25
0.53
255.75
21.59
90875.48
44.32
223.87
2.193%
3.908% -0.832% -2.921% -5.309%
32.738% 28.193% 32.664% 29.470% 29.619%
23.130% 25.397% 12.498% 20.975% 14.020%
29.605% 23.135% 32.233% 14.267% 12.152%
8.821%
3.844%
9.244% 19.373%
9.689%
6.678%
9.820% 25.346% 38.057% 50.737%
9.665%
3.089%
9.165% -16.343% -20.428%
6.622%
0.185%
2.785% -7.414% -34.151%
-5.197% -11.206% -20.159% -26.508% -41.302%
-4.912% -2.006% -2.040% -4.221% -4.652%
10.934%
8.436% 10.090%
6.474%
1.037%
0.41
0.15
0.22
(0.23)
(0.96)
Cash Flow Yield, 1 Quarter Lag Value Weight
Model:
JK_Price_to_CashFlow_1QLag_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Summary
227192
0.69
0.50
4.53
1.12
0.06
47.89
42.37
56.94
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
-0.09
1.14
-0.04
-0.54
0.96
53.65
0.94
20.54
0.00
90875.48
10.18
23.40
-113651
1.09
0.6
4.65
2.62
0.15
53.1
46.38
63.64
16.44
14.11
34.51
45.41
4401.39
0.49
2.79
0.37
2.7
0.54
2.15
0.84
15.47
0.68
3.7
0
7.47
3.37
0.7
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-213666
1.41
0.86
4.55
2.91
0.22
56.64
46.38
72.73
24.17
22.45
50.9
53.49
4704.09
0.78
3.27
0.67
3.09
0.9
3.26
0.76
12.68
0.59
5.85
3.65
9.26
5.29
0.86
-313691
1.1
0.7
4.46
2.66
0.16
53.1
42.03
70.45
26.85
25.26
56.53
52.37
5785.75
0.49
2.85
0.37
2.83
0.58
2.3
0.78
14.19
0.64
7.38
5.09
10.78
6.63
0.97
Custom Ret Formula:
Model Run Date:
Mon Apr 19 16:52:20 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Price to Cash Flow
Factor2:
-413710
0.69
0.31
4.42
2.44
0.06
46.9
37.68
61.36
28.9
27.32
60.65
70.44
6320.78
0.06
3.07
-0.05
2.58
0.14
0.61
0.8
15.91
0.7
8.92
6.19
12.43
8.03
1.05
-513737
0.98
0.54
4.47
2.21
0.13
55.75
43.48
75
30.23
28.87
63.59
70.6
6422.97
0.37
2.59
0.26
2.3
0.4
1.92
0.85
18.5
0.76
10.6
7.36
14.35
9.51
1.18
-613759
0.68
0.42
4.5
2.38
0.06
47.79
43.48
54.55
30.43
28.9
63.59
62.92
7467.72
0.06
2.78
-0.05
2.48
0.11
0.51
0.83
16.92
0.72
12.66
8.79
16.94
11.14
1.46
-713751
0.7
0.57
4.81
1.96
0.06
54.87
53.62
56.82
29.94
28.48
62.75
59.89
8520.69
0.12
2.26
0
1.93
0.05
0.29
0.96
23.65
0.83
15.6
10.21
24.23
13.26
2.1
-813725
0.81
0.58
4.73
1.95
0.08
48.67
46.38
52.27
28.62
27.04
59.87
48.77
10082.55
0.22
1.98
0.1
1.94
0.17
0.91
0.94
23.27
0.83
20.5
12.1
40.28
16.71
3.7
-913700
0.83
0.49
6.01
3
0.07
51.33
56.52
43.18
25.84
23.89
53.78
43.53
10898.81
0.3
2.73
0.17
3.04
0.11
0.37
1.14
18.27
0.75
31.08
14.82
85.19
22.06
8.52
-1013678
-0.53
-0.99
7.9
4.58
-0.12
42.48
50.72
29.55
21.02
18.61
43.23
48.99
7118.62
-0.97
4.35
-1.12
4.91
-1.32
-3.02
1.4
14.78
0.66
255.75
21.59
90875.48
44.32
223.87
Cash Flow Yield, 1 Quarter Lag Value Weight
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
3.926%
38.593%
24.038%
40.821%
19.951%
15.439%
9.245%
-1.153%
-7.360%
-5.573%
13.793%
0.54
11.226% -1.265% -6.585%
2.711%
3.509%
6.585%
0.798%
4.322% -15.503%
38.945% 38.071% 28.527% 38.376% 32.743% 42.463% 26.675% 33.445% 18.055%
25.430% 24.202% 22.994% 28.516% 25.151% 22.302% 20.989% 22.403% 15.213%
31.654% 30.542% 33.276% 19.748% 30.448% 23.918% 35.077% 27.577% 19.947%
11.970% 10.046% 31.086% 20.057% 18.425% 20.026% 30.403% 51.892% 32.749%
15.771% 30.871%
6.055% 21.893% 11.050% 10.929% 33.764% 45.107% 41.958%
40.238% 11.294% -2.323%
8.993% -4.996% -7.248% -10.775% -16.530% -40.210%
0.451%
1.795% -7.390% -6.840% -9.285% -12.702% -1.081% -19.149% -48.633%
-8.076% -12.722% -14.720% -12.068% -15.720% -17.569% -21.217% -26.123% -35.990%
-9.345% -4.003% -5.222% -3.739% -4.801% -1.096% -3.535% -4.389% -1.673%
15.826% 12.883%
8.570% 11.765%
8.652%
8.761% 11.110% 11.856% -1.409%
0.90
0.58
0.14
0.40
0.11
0.05
0.17
0.11
(1.32)
DIVIDEND YIELD
Results indicate that historically there has been a slight negative correlation with dividend
yield and positive stock returns. An equally weighted market neutral portfolio consisting
of long positions in the 10% of stocks with the highest dividend yield and short positions
in the 10% of stocks with the lowest dividend yield would have given the returns
depicted in the graph below:
Dividend Yield
150%
100%
Equal Weight
0%
Value Weight
19
87
19
89
19
91
19
93
19
95
19
97
19
99
20
01
50%
-50%
-100%
2003-2004 results
The negative correlation appears to have reversed itself in the time period from January
2003 through March of 2004. Over the 15 months the 10% of stocks yielding the highest
dividend gained a geometric average of 3.61% per month in an equally weighted
portfolio while those in the bottom 10% gained a geometric average of 3.08% per month.
A similar portfolio during this period would have yielded the following returns:
Dividend Yield
8.00%
6.00%
4.00%
2.00%
0.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
-2.00%
-4.00%
-6.00%
-8.00%
Equal Weight
Value Weighted
Dividend Yield Equal Weight
Low Dividend Yield = Low Fractile
Model:
JK_Dividend_Yield_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Summary
227192
0.81
0.53
4.86
2.04
0.08
50.00
48.31
52.78
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
0.04
2.05
0.10
0.64
0.96
29.54
0.82
2.38
0.00
176.68
1.79
0.63
-122629
0.88
0.56
7.45
4.57
0.06
55.26
66.95
36.11
33.08
32.63
66.02
67.06
2638.48
0.17
3.4
0.18
4.75
0.04
0.13
1.28
17.63
0.62
0
0
0.54
0
0.02
-222646
0.74
0.26
7.2
4.31
0.05
50.53
59.32
36.11
36.44
35.99
72.74
68.38
4147.3
0.03
3.17
0.04
4.47
-0.09
-0.29
1.26
18.37
0.64
0.09
0
1.37
0
0.29
-322683
0.72
0.23
6.97
4.16
0.04
48.95
55.93
37.5
32.09
31.58
63.93
64.37
4247.81
-0.02
2.93
0
4.28
-0.1
-0.34
1.22
18.44
0.64
0.27
0
2.1
0.31
0.56
Custom Ret Formula:
Model Run Date:
Thu Apr 8 11:36:05 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Dividend Yield
Factor2:
-422724
0.6
0.35
6.63
3.8
0.03
46.32
53.39
34.72
27.5
26.94
54.64
49.9
5676.44
-0.14
2.62
-0.12
3.9
-0.21
-0.75
1.18
19.55
0.67
0.56
0
2.89
0.93
0.79
-522768
0.46
0.2
5.3
2.63
0.01
45.79
48.31
41.67
24.94
24.39
49.53
40.59
7838.6
-0.34
1.43
-0.31
2.63
-0.27
-1.42
1
23.92
0.75
1
0
3.65
1.51
0.88
-622802
0.69
0.47
4.57
2.02
0.06
48.42
44.92
54.17
24.51
23.95
48.65
44.39
8569.29
-0.16
1.87
-0.1
2.08
0.01
0.1
0.89
27.81
0.8
1.58
0.19
4.38
2.09
0.86
-722781
0.9
0.71
4.46
2.09
0.11
52.11
44.07
65.28
24.81
24.24
49.24
45.63
8587.06
0.04
2.28
0.1
2.19
0.25
1.61
0.86
25.88
0.78
2.21
0.91
5.33
2.62
0.83
-822750
0.94
0.7
4.27
2.22
0.12
49.47
38.98
66.67
21.83
21.24
43.24
42.74
8122.13
0.06
2.52
0.13
2.41
0.34
2.08
0.8
22.58
0.73
3
1.73
6.72
3.27
0.86
-922707
0.94
0.72
3.94
2.33
0.13
51.05
35.59
76.39
16.18
15.56
31.88
28.76
7640.65
0.04
2.85
0.1
2.73
0.41
2.41
0.69
18.63
0.65
4.41
2.44
8.33
4.49
0.89
-1022665
0.9
0.85
2.96
2.25
0.17
50.53
29.66
84.72
7.86
7.19
15.14
20.47
2769.55
-0.05
3.61
0.01
3.49
0.58
3.53
0.42
11.69
0.42
7.96
4.61
176.68
7.26
0.83
-1.971% -1.291%
20.749% 35.071%
26.321% 23.019%
-3.268% -12.403%
38.575% 34.196%
16.289% 18.458%
17.952% 17.295%
0.645%
2.389%
32.968% 30.519%
22.463% 22.240%
35.268% 30.754%
3.853%
5.767%
1.235%
1.538%
11.857%
6.754%
1.356%
6.011%
-8.738% -1.293%
-5.706% -5.756%
12.344% 12.545%
0.25
0.34
-1.180%
19.383%
27.137%
-2.901%
32.249%
12.393%
19.265%
-0.134%
33.784%
23.171%
31.569%
-2.200%
0.759%
17.248%
10.153%
-4.663%
-5.794%
12.367%
0.41
-0.823%
19.772%
22.816%
-1.670%
37.209%
7.243%
20.013%
-7.119%
24.722%
14.555%
20.029%
0.355%
-1.367%
26.601%
17.759%
-0.653%
-1.208%
11.661%
0.58
Dividend Yield Equal Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-2.541%
10.882%
25.826%
-8.818%
59.204%
14.721%
31.105%
4.727%
29.923%
19.785%
19.765%
17.821%
64.239%
-16.478%
-3.726%
-26.723%
-3.542%
13.892%
0.04
-1.688% -0.921% -1.926% -1.549% -2.445%
17.370% 12.847% 13.799% 16.627% 20.941%
24.898% 37.261% 27.779% 26.220% 25.416%
-15.808% -5.336% -2.489% -5.804% -10.787%
43.636% 38.435% 42.203% 32.999% 35.044%
19.837%
8.720%
8.664% 15.455% 12.464%
25.727% 19.873% 13.249% 14.715%
9.840%
7.679% -1.627%
2.531%
0.018% -2.270%
38.987% 26.831% 22.982% 23.756% 24.065%
15.861% 17.451% 17.158% 20.013% 21.886%
25.137% 13.122% 22.241% 20.146% 31.955%
8.983%
8.661%
8.324%
1.228%
3.603%
72.099% 57.889% 50.259% 16.888%
3.928%
-26.207% -12.785% -7.670% -21.132% 12.538%
-12.273% -3.260% -14.142% -14.528% -4.686%
-30.084% -31.116% -35.608% -19.444% -7.679%
-4.720% -4.468% -1.584% -3.496% -4.411%
12.320% 10.681%
9.751%
7.183%
9.965%
(0.09)
(0.10)
(0.21)
(0.27)
0.01
Dividend Yield Value Weight
Low Dividend Yield = Low Fractile
Model:
JK_Dividend_Yield_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Summary
227192
0.69
0.50
4.53
1.12
0.06
47.89
42.37
56.94
2.76
2.06
4.88
0.76
6027.59
0.00
0.00
-0.09
1.14
-0.04
-0.54
0.96
53.65
0.94
2.38
0.00
176.68
1.79
0.63
-122629
0.92
0.54
7.48
4.78
0.07
54.21
60.17
44.44
33.07
32.62
66.01
67.06
2638.51
0.32
4.34
0.21
4.92
0.11
0.31
1.25
16.49
0.59
0
0
0.54
0
0.02
-222646
0.64
0.38
7.15
4.56
0.03
50
55.08
41.67
36.44
35.99
72.74
68.38
4147.26
0.03
4.02
-0.08
4.65
-0.15
-0.45
1.2
16.55
0.59
0.09
0
1.37
0
0.29
-1.882%
3.119%
20.039%
-11.463%
60.359%
13.132%
24.921%
3.705%
30.882%
18.436%
26.557%
63.181%
98.438%
-24.444%
-15.449%
-34.362%
-3.030%
16.008%
0.11
-0.050%
26.639%
6.188%
-20.368%
34.221%
11.203%
21.934%
6.183%
38.130%
26.993%
19.607%
29.212%
96.661%
-41.509%
-26.316%
-27.473%
-2.041%
11.718%
(0.15)
-322683
0.63
0.34
7.19
4.35
0.03
47.37
49.15
44.44
32.1
31.59
63.94
64.36
4249.27
0.02
3.98
-0.08
4.5
-0.2
-0.64
1.25
18.04
0.63
0.27
0
2.1
0.31
0.56
Custom Ret Formula:
Model Run Date:
Mon Apr 19 17:02:09 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
[R] Dividend Yield
Factor2:
-422724
0.61
0.38
6.93
4.02
0.03
47.37
54.24
36.11
27.5
26.94
54.64
49.89
5675
0
3.59
-0.1
4.16
-0.22
-0.76
1.23
19.3
0.66
0.56
0
2.89
0.93
0.79
-522768
0.37
0.17
5.53
2.14
-0.01
48.95
53.39
41.67
24.94
24.38
49.53
40.59
7838.57
-0.28
1.9
-0.37
2.2
-0.44
-2.84
1.11
32.61
0.85
1
0
3.65
1.51
0.88
-622802
0.45
0.25
4.82
1.65
0.01
42.63
40.68
45.83
24.52
23.95
48.65
44.48
8565
-0.24
1.61
-0.32
1.65
-0.3
-2.47
0.99
37.72
0.88
1.58
0.19
4.38
2.09
0.86
-722781
0.78
0.57
4.43
1.86
0.08
50
47.46
54.17
24.8
24.24
49.23
45.68
8594.8
0.06
2.29
-0.01
1.95
0.11
0.84
0.88
29.55
0.82
2.21
0.91
5.33
2.62
0.83
-822750
0.74
0.46
4.14
1.86
0.08
47.37
36.44
65.28
21.83
21.24
43.24
42.75
8118.71
0
2.35
-0.07
2.06
0.12
0.89
0.81
27.34
0.8
3
1.73
6.72
3.27
0.86
-922707
0.93
0.87
4.17
2.26
0.12
53.16
42.37
70.83
16.18
15.56
31.88
28.76
7640.64
0.18
2.62
0.11
2.5
0.34
2.09
0.77
21.33
0.71
4.41
2.44
8.33
4.49
0.89
-1022665
0.94
0.88
3.49
2.67
0.15
50.53
31.36
81.94
7.86
7.19
15.14
20.47
2769.55
0.14
3.67
0.07
3.54
0.57
2.95
0.49
11.6
0.42
7.96
4.61
176.68
7.26
0.83
0.161% -1.023% -1.782% -2.093% -2.471% -1.282% -1.104%
9.998%
8.007%
9.339% 17.365% 13.857% 24.850% 16.038%
35.805% 29.687% 33.288% 33.281% 34.438% 23.329% 25.521%
-11.010%
5.990%
2.900% -8.683%
1.428% -2.228%
3.944%
24.682% 48.298% 36.024% 38.133% 29.576% 10.561% 23.435%
1.726%
0.784%
3.715%
3.147% 10.066%
7.378%
6.524%
8.169% 15.027% 13.324%
4.232% 19.175%
8.790% 20.031%
-0.816% 13.446%
2.632% -1.041%
0.261%
4.162%
1.174%
18.255% 16.571% 26.868% 29.863% 39.394% 33.213% 37.958%
15.506% 11.941% 21.422% 20.719% 22.516% 25.101% 25.188%
38.635% 13.866% 22.315% 33.142% 35.748% 27.846% 35.418%
42.154% 33.105% 15.607% 16.195% 23.416% 19.559% 15.037%
51.471% 85.518% 35.157% 22.730%
1.488% 13.659%
7.442%
-27.015% -28.072% -34.407% -20.771%
8.368%
1.076%
8.731%
-12.899% -29.923% -23.867% -27.101% -17.253% -6.954% -1.186%
-27.495% -35.783% -33.404% -18.762% -17.048% -13.856% -10.685%
-4.011%
0.868% -2.998% -5.273% -6.475% -5.411% -6.185%
9.607% 11.077%
7.420%
7.946% 11.558%
9.988% 12.193%
(0.20)
(0.22)
(0.44)
(0.30)
0.11
0.12
0.34
-0.946%
26.146%
30.830%
-7.464%
35.629%
-3.121%
24.977%
-4.941%
22.873%
11.118%
28.685%
9.322%
-4.309%
33.655%
10.040%
1.392%
-1.816%
12.475%
0.57
Dividend Yield Value Weight
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
REINVESTMENT RATE
Results indicate that there is a positive correlation with reinvestment rates and positive
stock returns. An equally weighted market neutral portfolio consisting of long positions
in the 10% of stocks with the highest reinvestment rate and short positions in the 10% of
stocks with the lowest reinvestment rate would have given the returns depicted in the
graph below:
Reinvestment Rate
60%
40%
20%
Equal Weight
0%
Value Weight
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
-20%
-40%
-60%
2003-2004 results
The positive correlation appears to have reversed itself in the time period from January
2003 through March of 2004. Over the 15 months the 10% of stocks with the highest
reinvestment rate gained a geometric average of 3.27% per month in an equally weighted
portfolio while those with reinvestment rates in the bottom 10% gained a geometric
average of 4.05% per month. A similar portfolio during this period would have yielded
the following returns:
Reinvestment Rate
6.00%
4.00%
2.00%
0.00%
Ja
n0
M 3
ar
-0
M 3
ay
-0
3
Ju
l-0
Se 3
p0
No 3
v0
Ja 3
n0
M 4
ar
-0
4
-2.00%
-4.00%
-6.00%
-8.00%
-10.00%
-12.00%
Equal Weight
Value Weighted
Reinvestment Rate Equal Weight
Model:
JK_Reinvestment_Rate_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.81
Return
0.53
Return
4.86
Risk
2.04
Ratio
0.08
Bench
50.00
Bench
48.31
Bench
52.78
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
0.04
vsBench
2.05
Alpha
0.10
(Alpha)
0.64
Beta
0.96
(Beta)
29.54
(Beta)
0.82
Avg
11.62
Low
-8085.73
High 630522.00
Med
7.89
Std
55.97
Equal Wgt. Returns
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-114983
1.17
0.77
6.15
3.41
0.12
53.98
59.42
45.45
12.87
9.69
25.72
18.31
9584.96
0.55
2.45
0.5
3.42
0.47
1.45
1.12
15.81
0.69
177.74
19.96
630522
28.95
566.39
-214992
1.24
1.01
5.58
3.23
0.15
56.64
56.52
56.82
18.48
16.38
38.8
45.18
8874.41
0.6
1.85
0.55
3.2
0.6
1.97
0.99
14.88
0.67
21.29
14.58
29.11
18.83
1.85
10.473%
35.858%
30.811%
29.454%
17.429%
31.652%
-5.984%
0.598%
-7.492%
-3.660%
13.914%
0.47
2.490%
38.927%
29.259%
30.602%
12.399%
35.368%
14.670%
0.907%
-9.188%
-4.002%
15.143%
0.60
-315014
0.99
0.87
5.03
2.69
0.12
56.64
55.07
59.09
20.74
18.73
43.39
43.78
9451.26
0.32
1.84
0.28
2.68
0.38
1.48
0.93
16.65
0.71
16.59
11.12
21.4
15.05
1.57
Custom Ret Formula:
Model Run Date:
Thu Apr 8 11:43:08 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Reinvestment Rate
Factor2:
-415040
0.88
0.62
4.66
2.5
0.1
52.21
42.03
68.18
21.86
19.99
45.91
46.17
8195.63
0.2
2.09
0.16
2.56
0.31
1.31
0.86
16.59
0.71
13.43
8.42
18.92
11.87
1.53
-515062
0.96
0.57
4.51
2.45
0.12
48.67
36.23
68.18
23.07
21.3
48.65
50.65
6171.3
0.26
2.05
0.23
2.56
0.4
1.73
0.83
16.27
0.7
10.83
5.57
16.25
9.28
1.63
-615084
0.77
0.62
4.51
2.6
0.08
50.44
43.48
61.36
23.46
21.64
49.06
47.39
6166.86
0.07
1.9
0.03
2.73
0.23
0.92
0.8
14.95
0.67
8.24
2.76
13.66
6.58
1.83
-715075
0.62
0.43
4.54
2.68
0.05
46.02
39.13
56.82
23.74
21.86
49.77
53.27
5843.93
-0.08
1.96
-0.12
2.82
0.08
0.33
0.8
14.35
0.65
5.37
-0.87
10.77
3.56
2.12
-815048
0.64
0.5
4.33
2.52
0.05
47.79
36.23
65.91
22.33
20.42
46.81
54.29
5966.25
-0.06
1.95
-0.1
2.72
0.12
0.52
0.77
14.7
0.66
1.93
-6.3
7.89
-0.14
2.37
-915030
0.05
-0.06
5.43
3.52
-0.07
36.28
34.78
38.64
20.73
18.74
43.4
61.25
5080.47
-0.6
2.17
-0.66
3.53
-0.52
-1.55
0.9
12.36
0.58
-3.35
-23.61
5
-6
3.8
-1015005
-0.34
-1.11
9.98
7.5
-0.08
42.48
49.28
31.82
17.43
14.87
35.79
34.38
4131.9
-0.82
6.38
-0.93
7.74
-0.99
-1.38
1.44
9.26
0.44
-47.24
-8085.73
1.94
-33.7
22.35
Reinvestment Rate Equal Weight
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-2.522%
2.676%
33.396% 27.468%
22.516% 24.562%
32.590% 32.931%
11.417%
5.694%
13.841% 12.828%
15.563%
9.246%
2.582%
1.366%
-7.565% -12.719%
-5.529% -4.375%
11.629%
9.968%
0.38
0.31
-1.617% -2.528%
4.407% -2.627% -9.192%
0.650%
26.595% 33.013% 23.986% 32.498% 25.883% 25.467%
20.839% 19.999% 17.459% 17.848% 11.560% 15.750%
35.658% 29.660% 26.765% 24.685% 19.164% 12.959%
4.055%
0.713% -2.324%
4.850% -1.893%
8.196%
10.252%
2.481%
7.936%
6.630% 18.459% 76.027%
16.181% 12.005% 15.637% 15.191% -9.953% -40.549%
9.686%
9.019%
6.789%
3.585% -7.456% -32.719%
-5.444% -10.981% -14.229% -18.569% -31.702% -50.538%
-3.170% -4.840% -6.127% -3.589% -3.945% -4.414%
11.303%
8.854%
8.030%
8.050%
1.092%
1.083%
0.40
0.23
0.08
0.12
(0.52)
(0.99)
Reinvestment Rate Value Weight
Model:
JK_Reinvestment_Rate_8703
Return Type:
Start Date: 4/31/1987
Universe[FRM]:
End Date: 1/31/2003
Benchmark:
Rebalance Frequency:
1 - Month
Bench Val:
Return Frequency:
1 - Month
RFRate:
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile Summary
of Cos
227192
Return
0.69
Return
0.50
Return
4.53
Risk
1.12
Ratio
0.06
Bench
47.89
Bench
42.37
Bench
56.94
Cos
2.76
Cos
2.06
Turnover
4.88
Turnover
0.76
Mcap
6027.59
vsUniv
0.00
vsUniv
0.00
vsBench
-0.09
vsBench
1.14
Alpha
-0.04
(Alpha)
-0.54
Beta
0.96
(Beta)
53.65
(Beta)
0.94
Avg
10.65
Low
-8085.73
High 630522.00
Med
7.89
Std
55.97
-114983
1.13
0.86
5.99
2.81
0.12
58.41
59.42
56.82
12.87
9.69
25.72
18.31
9584.96
0.59
2.79
0.47
2.86
0.38
1.44
1.16
19.9
0.78
177.74
19.96
630522
28.95
566.39
Weighted
JKCMUSMRKT_500Mil
SP50
0.77
0.41
-214992
1.03
0.82
5.36
2.23
0.12
57.52
59.42
54.55
18.49
16.39
38.82
45.23
8877.4
0.47
2.15
0.35
2.21
0.32
1.53
1.06
23.08
0.83
21.29
14.53
29.11
18.83
1.85
-315014
1.02
0.79
4.5
1.98
0.14
50.44
44.93
59.09
20.74
18.73
43.4
43.88
9447.94
0.43
2.22
0.31
2.02
0.42
2.25
0.88
21.54
0.81
16.59
11.12
21.4
15.05
1.57
Custom Ret Formula:
Model Run Date:
Mon Apr 19 17:06:21 2004
Screening Options:
Exclude Research Companies, Exclude Non-Company Identifiers
Factor1:
Reinvestment Rate
Factor2:
-415040
0.82
0.57
4.78
2
0.09
48.67
50.72
45.45
21.86
19.99
45.91
46.16
8195.73
0.24
2.21
0.12
1.98
0.18
0.95
0.95
22.81
0.82
13.43
8.42
18.92
11.87
1.53
-515062
0.74
0.4
4.61
2.29
0.07
53.98
46.38
65.91
23.06
21.29
48.63
50.63
6171.57
0.15
2.21
0.02
2.34
0.15
0.69
0.87
18.37
0.75
10.83
5.57
16.25
9.28
1.63
-615084
0.58
0.44
4.99
2.36
0.04
48.67
43.48
56.82
23.45
21.63
49.04
47.37
6165.25
0
2.36
-0.12
2.34
-0.06
-0.25
0.96
19.63
0.78
8.24
2.76
13.66
6.58
1.83
-715075
0.28
0.03
4.79
2.28
-0.03
42.48
39.13
47.73
23.74
21.86
49.77
53.25
5845.41
-0.3
2.09
-0.42
2.28
-0.34
-1.55
0.92
19.53
0.77
5.37
-0.87
10.77
3.56
2.12
-815048
0.4
0.04
5.34
2.79
0
46.02
43.48
50
22.33
20.41
46.81
54.29
5966.34
-0.16
2.34
-0.29
2.77
-0.25
-0.93
0.99
17.18
0.73
1.93
-6.3
7.89
-0.14
2.37
-915030
-0.23
-0.5
5.95
3.24
-0.11
33.63
37.68
27.27
20.73
18.73
43.39
61.25
5080.44
-0.76
2.83
-0.89
3.24
-0.91
-2.96
1.09
16.21
0.7
-3.35
-23.61
5
-6
3.8
-1015005
-0.56
-0.95
8.97
6.36
-0.11
47.79
56.52
34.09
17.43
14.87
35.78
34.38
4131.93
-1
5.95
-1.16
6.58
-1.23
-2.04
1.38
10.47
0.5
-47.24
-8085.73
1.94
-33.7
22.35
Reinvestment Rate Value Weight
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
13.932%
0.608%
4.261% -3.593% -6.430% -3.075%
4.889%
3.567% -7.383%
2.176%
36.849% 42.125% 33.358% 38.612% 31.855% 38.367% 27.957% 30.718% 24.233% 18.251%
47.478% 28.105% 25.141% 24.268% 20.647% 21.092% 16.536% 17.166% 11.174% 17.044%
31.795% 38.865% 33.341% 37.161% 40.032% 33.830% 25.051% 28.086% 22.834% 25.802%
55.506% 31.892% 35.975% 24.118% 14.095% 18.306%
7.017% 15.284%
4.749% 23.571%
35.871% 33.131% 26.099% 22.874% 23.010% 14.224%
7.843% 40.001% 20.670% 88.337%
-25.209%
1.529% -1.031% -4.612%
0.202% -16.165% -11.814% -20.490% -23.634% -46.623%
-14.328% -11.055% -7.945% -18.447% -10.154% -1.729% -11.793% -17.642% -26.752% -59.793%
-13.629% -20.213% -18.530% -14.101% -11.550% -23.488% -17.339% -28.350% -28.908% -48.164%
-3.635% -4.912% -5.110% -4.918% -5.313% -4.538% -6.161% -3.175% -4.905% -3.485%
16.463% 14.008% 12.556% 10.136%
9.639%
7.683%
4.219%
6.517% -0.792%
1.712%
0.38
0.32
0.42
0.18
0.15
(0.06)
(0.34)
(0.25)
(0.91)
(1.23)
MULTI-FACTOR MODEL
The Multi-Factor Model Results indicate that there is a very strong correlation between
the factors chosen and positive stock returns. An equally weighted market neutral
portfolio consisting of long positions in the 10% of stocks with the highest decile
rankings rate and short positions in the 10% of stocks with the lowest decile rankings
would have given the returns depicted in the graph below:
Multi Factor Model
70%
60%
50%
40%
Equal Weight
30%
Value Weight
20%
10%
20
01
19
99
19
97
19
95
19
93
19
91
19
87
-10%
19
89
0%
The results have not held so strong over the past 15 months. An equally weighted
portfolio would have yield a geometric average of 3.81% in the top decile and a strong
4.00% return in the bottom decile. A graph of the month to month returns of a long short
portfolio from January 2003 through March 2004 is below.
Multi-Factor Model
8.00%
6.00%
4.00%
2.00%
Value Weight
Ja
-4.00%
-6.00%
-8.00%
-10.00%
M
n0
3
Equal Weight
ar
-0
3
M
ay
-0
3
Ju
l-0
3
Se
p03
N
ov
-0
3
Ja
n04
M
ar
-0
4
0.00%
-2.00%
MULTIFACTOR RETURNS EQUAL WEIGHT
Model:
JK_MULTI
Start Date: 4/31/1987
End Date: 1/31/2003
Rebalance Frequency:
1 - Month
Return Frequency:
1 - Month
Number
Equal Wgt.
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
IC
T-Stat
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Calc
Corrl.-IC
Avg
Low
High
Med
Std
Return Type:
Universe[FRM]:
Benchmark:
Bench Val:
RFRate:
Summary
221709
0.82
0.54
4.84
2.04
0.09
51.05
49.15
54.17
2.76
2.03
4.85
0.76
6063.85
0.00
0.00
0.05
2.05
0.11
0.73
0.96
29.49
0.82
0.05
1.80
1.48
-12.00
13.00
1.00
0.31
Equal Wgt. Returns
JK_DUKE_MULTI
SP50
0.77
0.41
-122083
1.52
1.02
5.2
2.88
0.21
61.05
60.17
62.5
30.13
29.63
60.05
61.47
5370.8
0.69
2.2
0.74
2.89
0.83
3.95
0.94
20.59
0.69
0.01
0.1
6.57
4
13
6
0.99
Custom Ret Formula:
Model Run Date:
Mon Apr 26 15:30:40 2004
Screening Options:
Use Research Companies, Exclude Non-Company Identifiers
Factor1:
SCORE
Factor2:
-222100
1.29
0.94
4.97
2.9
0.18
54.21
51.69
58.33
51.47
51.11
103.01
101.23
6009.44
0.46
1.74
0.5
2.95
0.64
3.05
0.88
19.11
0.66
0
0.06
4.34
2
6
4
0.7
-322143
1.1
0.78
4.57
2.33
0.15
55.79
51.69
62.5
57.25
56.93
114.65
112.9
5644.47
0.25
1.49
0.31
2.42
0.46
2.7
0.86
23.17
0.74
0
0.04
3.39
2
5
3
0.68
-422188
1.03
0.76
4.47
1.97
0.14
54.74
51.69
59.72
57.62
57.31
115.41
106.75
7429.43
0.17
1.68
0.23
2.05
0.36
2.53
0.87
27.88
0.81
0
0.04
2.49
1
4
2
0.57
-2.178% -0.988%
25.363% 20.388%
34.813% 31.300%
-2.752% -11.488%
72.297% 51.777%
18.378% 26.330%
29.492% 31.579%
4.852%
4.934%
40.598% 40.564%
26.484% 19.443%
37.176% 29.458%
9.997% 13.187%
30.980% 34.099%
19.336%
6.583%
12.680%
2.900%
0.242% -2.882%
-3.312% -5.109%
20.850% 17.181%
0.83
0.64
-1.471%
23.077%
35.012%
-1.462%
49.679%
13.792%
11.384%
-0.467%
34.853%
18.386%
21.937%
3.317%
30.831%
19.423%
3.551%
-5.514%
-4.734%
14.800%
0.46
-2.094%
21.214%
25.473%
-3.534%
51.347%
11.083%
14.904%
0.544%
25.015%
25.853%
30.265%
10.538%
14.431%
6.965%
12.269%
-2.912%
-4.105%
13.956%
0.36
-522223
1.07
0.89
4.57
1.97
0.15
58.42
52.54
68.06
53.53
53.19
107.17
101.17
8006.14
0.23
1.24
0.28
2.03
0.39
2.72
0.9
28.66
0.81
0.01
0.11
1.55
0
3
1
0.45
-622251
0.96
0.63
4.62
2.05
0.12
52.11
48.31
58.33
59.66
59.31
119.4
115.77
6627.2
0.12
1.02
0.18
2.1
0.28
1.89
0.9
27.66
0.8
0.02
0.22
0.68
0
2
1
0.33
-722238
0.63
0.35
4.72
2.26
0.05
45.79
38.14
58.33
58.01
57.66
116.11
118.5
5829.12
-0.2
1.05
-0.15
2.3
-0.04
-0.25
0.9
25.17
0.77
0
0.05
0.02
0
1
0
0.05
-822201
0.46
0.26
4.55
2.09
0.01
43.68
39.83
50
61.6
61.3
123.41
126.66
5504.43
-0.38
1.05
-0.33
2.16
-0.2
-1.34
0.88
26.49
0.79
0
0
0
-1
0
0
0.01
-922162
0.21
0.05
5.57
2.89
-0.04
40
40.68
38.89
59.31
59.02
118.84
122.52
5681.56
-0.59
1.86
-0.55
2.9
-0.54
-2.56
1.04
22.57
0.73
0.02
0.27
-0.42
-3
0
0
0.39
-1022120
-0.23
-0.82
8.1
5.02
-0.08
43.68
50.85
31.94
35.58
35.13
71.06
79.06
4526.46
-0.93
4.38
-0.9
5.33
-1.1
-3
1.39
17.34
0.62
0.02
0.24
-3.22
-12
0
-3
0.98
MULTIFACTOR RETURNS EQUAL WEIGHT
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
-1.415% -1.195% -1.616% -2.011% -0.935% -1.905%
20.868% 18.350% 12.373% 11.446%
8.784% 23.990%
30.329% 22.795% 26.783% 23.837% 21.220% 16.093%
-3.612% -4.074% -5.583% -7.906% -6.435% -20.114%
39.071% 31.734% 38.424% 24.501% 18.250% 26.443%
16.994% 10.589%
7.508% 10.493% 11.801% 12.914%
12.244% 16.990% 20.907% 15.325% 14.152% 25.139%
-0.786%
0.165%
2.577%
0.873% -5.396%
0.522%
33.246% 34.267% 20.119% 20.463% 23.779% 18.324%
27.479% 19.741% 10.484% 15.366% 18.083% 14.880%
36.536% 26.689% 20.816% 25.847% 13.297%
9.603%
11.485%
9.689%
0.517%
2.820%
0.057%
3.149%
10.817% 27.322% 30.611% 16.107% 13.987% 34.444%
10.154% 12.795%
2.189% -9.095% -9.096% -45.058%
11.392%
5.829% -7.033% -5.662% -12.621% -32.446%
-8.452% -12.940% -20.828% -18.491% -36.713% -50.866%
-4.287% -3.297% -3.965% -5.139% -4.276% -3.203%
14.239% 12.674%
9.076%
6.987%
3.996%
1.877%
0.39
0.28
(0.04)
(0.20)
(0.54)
(1.10)
MULTIFACTOR RETURNS VALUE WEIGHT
Model:
JK_MULTI
Start Date: 4/31/1987
End Date: 1/31/2003
Rebalance Frequency:
1 - Month
Return Frequency:
1 - Month
Number
Weighted
Univ. Med.
StdDev.
Residual
Sharpe
%>
%> Up
%> Down
% New
% Old
% Tot
% Wtd
Avg
Xs
Std Xs
Xs
Std Xs
Tot
T-Stat
Tot
T-Stat
R-Squared
Factor1
Factor1
Factor1
Factor1
Factor1
Fractile
of Cos
Return
Return
Return
Risk
Ratio
Bench
Bench
Bench
Cos
Cos
Turnover
Turnover
Mcap
vsUniv
vsUniv
vsBench
vsBench
Alpha
(Alpha)
Beta
(Beta)
(Beta)
Avg
Low
High
Med
Std
Return Type:
Universe[FRM]:
Benchmark:
Bench Val:
RFRate:
Summary
221709
0.70
0.51
4.52
1.12
0.06
46.84
41.53
55.56
2.76
2.03
4.85
0.76
6063.85
0.00
0.00
-0.08
1.14
-0.04
-0.43
0.96
53.49
0.94
1.48
-12.00
13.00
1.00
0.31
-122083
1.45
0.96
5.5
3.25
0.19
58.42
55.93
62.5
30.13
29.63
60.05
61.47
5370.8
0.76
2.79
0.67
3.25
0.76
3.19
0.97
18.73
0.65
6.57
4
13
6
0.99
Weighted
JK_DUKE_MULTI
SP50
0.77
0.41
-222100
1.06
0.79
5.24
3.13
0.12
54.74
49.15
63.89
51.47
51.11
103.01
101.23
6009.44
0.37
2.57
0.28
3.15
0.4
1.74
0.92
18.42
0.64
4.34
2
6
4
0.7
-322143
0.75
0.42
4.63
2.25
0.07
46.84
38.14
61.11
57.25
56.93
114.65
112.9
5644.47
0.03
1.97
-0.05
2.32
0.08
0.5
0.88
24.61
0.76
3.39
2
5
3
0.68
Custom Ret Formula:
Model Run Date:
Mon Apr 26 15:30:40 2004
Screening Options:
Use Research Companies, Exclude Non-Company Identifiers
Factor1:
SCORE
Factor2:
-422188
0.88
0.61
4.34
1.65
0.11
51.58
44.92
62.5
57.62
57.31
115.41
106.75
7429.43
0.16
1.9
0.08
1.75
0.21
1.74
0.87
33.28
0.85
2.49
1
4
2
0.57
-522223
0.94
0.76
4.55
1.52
0.12
55.26
50
63.89
53.53
53.19
107.17
101.17
8006.14
0.23
1.78
0.16
1.55
0.23
2.08
0.93
38.69
0.89
1.55
0
3
1
0.45
-622251
0.75
0.51
4.57
1.63
0.08
49.47
44.07
58.33
59.66
59.31
119.4
115.77
6627.2
0.04
1.63
-0.03
1.66
0.04
0.33
0.93
35.9
0.87
0.68
0
2
1
0.33
-722238
0.66
0.31
4.8
2.26
0.05
46.32
43.22
51.39
58.01
57.66
116.11
118.5
5829.12
-0.03
1.68
-0.12
2.29
-0.03
-0.16
0.92
25.71
0.78
0.02
0
1
0
0.05
-822201
0.41
0.05
4.64
2.08
0
40
35.59
47.22
61.6
61.3
123.41
126.66
5504.43
-0.3
1.82
-0.38
2.13
-0.27
-1.81
0.9
27.32
0.8
0
-1
0
0
0.01
-922162
-0.02
-0.32
5.57
3.05
-0.08
36.84
38.14
34.72
59.31
59.02
118.84
122.52
5681.56
-0.7
2.55
-0.79
3.05
-0.76
-3.4
1.02
20.98
0.7
-0.42
-3
0
0
0.39
-1022120
-0.49
-1.04
6.95
4.03
-0.13
37.37
43.22
27.78
35.58
35.13
71.06
79.06
4526.46
-1.11
3.84
-1.2
4.17
-1.31
-4.47
1.23
19.26
0.66
-3.22
-12
0
-3
0.98
-2.086% -0.606% -1.498% -1.669% -1.514% -0.759% -0.372% -1.349% -0.341%
22.802% 23.825% 18.629% 19.770% 17.737% 21.784%
1.686%
8.510%
1.387%
31.405% 21.400% 29.270% 37.120% 28.978% 21.560% 33.099% 25.242% 22.292%
4.892% -5.675%
2.483%
1.108% -5.421% -12.235% -4.486% -10.966% -6.353%
62.785% 31.668% 49.265% 43.754% 33.362% 18.166% 42.266% 20.212% 12.050%
11.835% 14.724%
4.035%
1.969% 12.502% 11.761%
2.495%
4.355% -3.437%
26.129% 13.489%
3.780%
6.928%
8.056% 11.155% 17.719% 14.204% 23.372%
2.137%
6.118% -7.941%
0.948%
3.145% -2.063% 10.201%
9.551%
5.222%
37.971% 41.989% 38.527% 25.745% 39.195% 33.773%
7.912% 18.832% 22.507%
26.023% 18.485% 16.703% 31.062% 32.140% 17.862% 20.128% 17.992% 17.571%
39.304% 40.368% 24.136% 24.987% 36.473% 33.585% 25.167% 23.718% 11.724%
33.601% 37.083% 22.003% 25.362% 36.700% 23.495% 21.327%
7.135%
8.605%
61.834% 39.674% 30.256% 23.098%
8.083% 32.780% 51.946% 21.030% 27.642%
-7.173% -14.479% -17.494% -7.437% -2.374% -3.544% -17.993% -9.900% -31.703%
-1.542% -14.858% -7.659% -2.069% -6.503% -10.612% -14.473% -14.228% -40.160%
1.107% -2.569% -13.661% -17.459% -13.158% -16.901% -24.943% -23.344% -33.064%
-5.190% -5.928% -5.301% -3.184% -4.663% -5.007% -5.970% -4.876% -1.317%
20.343% 14.395% 10.914% 12.355% 13.102% 10.282%
9.748%
6.242%
2.118%
0.76
0.40
0.08
0.21
0.23
0.04
(0.03)
(0.27)
(0.76)
-1.605%
22.156%
11.338%
-14.685%
10.522%
3.954%
29.937%
-6.301%
14.763%
1.179%
3.564%
1.127%
14.572%
-37.739%
-41.549%
-44.340%
-2.085%
-2.070%
(1.31)
MULTIFACTOR RETURNS VALUE WEIGHT
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
Arithmetic Mean
Average Monthly Alpha
Calculations:
Following are the explanations for the calculations behind the data in the fractile
summary report calculated in FACTSET for the period-specific fractile report. The
summary statistics displayed throughout these reports are the same as the fractile
statistics; however, they are calculated for the model's entire universe of companies.
Equal Wgt. Return
In the fractile summary report for all periods, this calculation returns the geometric
average of all periods for each fractile. This value is equal to 100 * (the geometric
average of (1 + each period’s average return ÷ 100) - 1). In the period-specific fractile
report, this value is the arithmetic average return of fractile constituents.
Universe Median Return
This calculation returns the geometric average of each period's median return.
StdDev Return (Standard Deviation Return)
This value is the standard deviation of the fractile return through time.
Residual Risk
This value is equal to the variance of returns for the fractile throughout time less the
square of the beta value times the variance of the S&P500 return
Sharpe Ratio
This calculation is equal to (average return - risk free rate) ÷ standard deviation of returns.
The Sharpe ratio is a risk-adjusted financial measure, used to determine the reward per
unit of risk. The higher the Sharpe ratio, the better the “risk-adjusted” performance.
% > Bench
This calculation is the percentage of periods that outperformed the S&P500.
% > Up Bench
This calculation is the percentage of periods in an up market (S&P500 return greater than
zero) that the fractile outperforms the S&P500. This calculation only appears in the
fractile summary report.
% > Down Bench
This calculation is the percentage of periods in a down market (S&P500 return less than
zero) that the fractile outperforms the S&P500. This calculation only appears in the
fractile summary report.
% New Cos
This calculation is the percentage of new companies in the fractile. It is equal to 100 *
(the number of companies that are in the current period but not in the immediately
previous period)/(total number of companies in period). This calculation only appears in
the fractile summary report.
% Old Cos
This calculation is the percentage of old companies not re-appearing in the fractile. It is
equal to 100 * (the number of companies that are in the immediately previous period but
not the current one)/(total number of companies in the immediately previous period).
This calculation only appears in the fractile summary report.
% Total Turnover
This calculation is equal to ((# of companies that exited the old universe) + (# of new
companies that entered)) ÷ (total # of companies in the old universe). The blue values
display fractile-specific turnover and the red value displays the average turnover for the
entire duration of the study.
% Weighted Turnover
This calculation takes the average of all the period-specific % weighted turnover
calculations for a specific fractile. To view period-specific % weighted turnover, you
need to go to the periods report. The underlining calculation for % weighted turnover is:
Avg Mcap (Average Market Capitalization)
In the fractile summary report for all periods, this calculation is the arithmetic average of
each period's average market value. In the period-specific fractile report, this is the
arithmetic average of the constituent market values.
Xs vs. Univ
When using the weighted return, this calculation is each fractile’s return minus the
universe’s return. For all other returns (i.e., equal-weighted): this is the geometric average
of the differences in period returns for a given fractile.
Std Xs vs. Univ
This calculation is the standard deviation of the excess return vs. the universe return.
Xs vs. Bench
In the fractile summary report, this calculation is the geometric average of each period
return minus the S&P500 period return. In the fractile period report, this is the period
return minus the S&P500 period return.
Std Xs vs. Bench
This calculation is the standard deviation of the excess return vs. the S&P500 return.
Total Alpha
This calculation returns the alpha value of each fractile’s constituents. The alpha value is
the intercept of the regression line drawn for the S&P500’s returns versus those of the
fractile.
T-Stat (Alpha)
This calculation is the alpha value ÷ by the standard error of alpha, where n is the number
of periods in the model.
(alpha * square root of (n - 2)) ÷ (the standard deviation of (return - (S&P500 * beta)))
Total Beta
This calculation is the beta value for each fractile’s constituents. Beta is the slope of the
regression line of the S&P500 returns versus those of the model.
T-Stat (Beta)
This calculation hypothesizes that the population beta = 0.
where:
The R value is the R squared for the regression line (beta). The result will take the same
sign as beta.
2
R Squared for Regression Line (Beta)
This calculation regresses the R2 for the 1st fractile. We regress the return value for the 1st
fractile against the return of the S&P500 for the duration of the model.
where:
rb is the return for the S&P500
rp is the return for the portfolio
IC (F1) Calc (Information Coefficient)
The Information Coefficient (IC) is a Spearman ranked correlation. The IC for any given
fractile is computed by taking the mean of that fractile's IC value over each period in the
test. The IC value is computed by assigning a rank to all the formula values and a rank to
all the returns, and then calculating the correlation coefficient between these two series.
As with any correlation coefficient, this value will lie between -1 and +1, where a high
positive value indicates that companies with high factor values tend to yield high returns.
Negative IC values indicate that high factor values tend to yield low returns. A company
must have both a ranking factor value and a subsequent return available to be included in
the IC universe for a particular period.
This number is an average of each period's value from the fractile period report.
T-Stat (F1) Corrl. - IC
This value indicates if the found IC (Information Coefficient) is significant based on the
number of companies that went into the computation (significant t-scores must be looked
up in a t-table). This value is equal to the square root of [(the number of companies in the
universe - 2) ÷ (1 - IC × IC)] × IC, where the number of companies in the universe
excludes companies that do not have either a factor or subsequent return value. This
number is an average of each period's value from the fractile period report.
Factor 1 Average
This calculation is the arithmetic average of constituent company values for the first
ranking formula.
Factor 1 Low
This calculation returns the lowest value in the fractile for the first ranking formula.
Factor 1 High
This calculation returns the highest value in the fractile for the first ranking formula.
Factor 1 Median
This calculation returns the median fractile value in the fractile for the first ranking
formula.
Factor 1 Std Dev
This calculation returns the standard deviation of the arithmetic average for each fractile
for the first ranking formula.