Factors Explained

Momentum-Med: medium-term momentum. Measurement period is previous six months, excluding most recent month. Decile 1 = highest returns. Positive factor return indicates stocks with best returns outperformed. 

Momentum-Short: short-term momentum. Calculates returns during the most recent month. Decile 1 = highest returns. Positive factor return indicates stocks with highest 30-day return as of measurement date continued to outperform the next week.

Size: measure of capitalization returns. Decile 1 = largest companies. Positive factor return indicates larger companies outperformed smaller companies.

Value: measure of relative valuation based on cash-flow-to-price. Decile 1 = stocks with higher cash-flow relative to stock price. Positive factor return indicates more attractively valued stocks outperformed.

Volatility: measure of price volatility. Decile 1 = most volatile companies. Positive factor return indicates riskier stocks outperformed.

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