Beta:
Predicts the amount of market risk
obtained by investing in this company. BARRA Beta is a prediction
of future market risk based upon company fundamentals, not simply
a description of past market risk.Beta of 1.0 is average, indicating
that a 5% market move would be expected to result in 5% return
to this company, a Beta of 2.0 is very high, predicting a 10%
return from a 5% market movement.
1 indicates a high Beta, 4 low.
Book to Price:
Ratio of Current Book Value to Current
Price. An indicator of value, in that a large value means that
the investor buys a investment with large accounting value at
relatively low price.
1 indicates a large book to price value, 4 little.
Cash Plow Back:
Measures earnings
that the company has reinvested over the past year. Re-invested
earnings should be a source of future value that is not directly
described in a dividend discount model. Cash plow back may be
a measure of management's attitude toward prospects for high return
investments.
1 indicates large plow back, 4 little.
Dividend Discount:
We use forecast
earnings and forecast growth rate to project a stream of earnings
for each company. With the company's and industry's payout ratios
we forecast dividends. The score is based on the implied return
that equates the current price with the present value of the projected
dividends, using a three-stage Dividend Discount Model. 1 indicates
high expected return, 4 low.
Earnings to Price:
Current Earnings
per share, twelve months trailing, divided by current Price
Estimate Changes:
As analysts change
earnings estimates, prices follow. Often one or a few key analysts
who are carefully focusing on a given stock provide the first
change. Other analysts then follow their lead.
1 indicates positive estimate changes, 4 negative.
Estimate Revisions:
An improved version
of Estimate Changes Model which takes into account recent price
movement. The model thus knows when the new information has been
reflected in the current price.
1 indicates positive estimate changes, 4 negative.
Financial Leverage:
Measure of leverage,
interest-rate sensitivity, and dividend coverage.
1 is highly levered, 4 is little.
Foreign Income:
Portion of earnings
that are derived from overseas sources.
1 is large foreign income, 4 is little.
Labor Intensity:
The importance of
labor to the firm, relative to capital. The ratio of labor expenses
to assets, fixed assets to equity and depreciated plant to plant
cost.
1 indicates highly labor intensive, 4 is low.
Neglect:
Combination of two
factors relating to the attention the company receives from institutional
managers: market capitalization and analyst coverage.
1 is highly neglected, 4 is not neglected.
Normal Earnings
to Price:
This model attempts
to determine "true" earnings from a historical projection,
eliminating short term fluctuations. This is a purely quantitative
algorithm and does not incorporate any qualitative assessment
of the company's earnings power.
1 is a high ratio of "true" earnings to price, 4 is
low.
Relative Strength:
Rankings based on
price momentum over a 1-year horizon, adjusted for the market
and other common factors. Relative strength capitalizes on the
positive relationship between a stock's return over the last year
and its return in the future.
1 indicates high relative return, 4 low.
Size:
Distinguishes very
large companies from very small. Includes market capitalization
as well as total assets of the underlying firm.
1 indicates a large company, 4 small.
Trading Activity:
Represents several
measures of the stock's liquidity,including turnover, institutional
coverage, and level of stock price.
1 is highly traded, 4 is little.