Factor Glossary

Analyst Insight: The factor seeks to measure whether the sell-side analyst community is optimistic or pessimistic regarding a particular company’s prospects. The factor includes proprietary modeling of earnings, revenue and EBITDA revisions as well as buy/hold/sell recommendations and price targets in order to capture a comprehensive assessment of analyst sentiment for companies in our coverage universe. The factor is further enhanced by considering the revisions of peer companies and by measuring a company’s news sentiment, including specific flags for ESG controversies.

Climate Opportunities: Developed from a combination of various ESG and climate-specific data sources, the Climate Opportunities factor seeks to identify issuers that should both be robust to a transition to a low carbon economy and offer competitive advantages within that same economy given exposure to emergent green technologies. Machine learning techniques are utilized to identify companies showing leadership as it relates to climate risks and opportunities and spans companies transforming business models to become more carbon efficient, as well as companies directly exposed to low carbon technological innovation.

DDR: Utilizing a three-stage dividend discount model, DDRs reflect the discount rate which equates projected dividends with today’s market price. To minimize errors associated with outliers, discount rates are factor adjusted through the Firm’s Forward Attribution® model which solves for the long-term price of risk of various factors. These prices are combined with an issuer’s exposure to the relevant factors to compute enhanced discount rates which are then also considered relative to peers.

Long Term Growth: Proprietary modeling is used to develop a blended growth rate based on analyst estimates (when available) and the predicted growth rate from an in-house attribution model. The predicted growth rate is derived by attributing analyst-provided long term EPS growth rates against various growth metrics related to short-term EPS and Sales growth.

Peer Momentum: Identifies economic linkages between companies, not captured by traditional industry categorizations, which support the co-movement of their returns. Overlaps in analyst coverage, words used in earnings calls and ESG key issues are utilized to develop a unique peer group for each stock. Momentum for the peer group is then calculated to seek to identify whether the company is likely to face headwinds or tailwinds to performance.

Relative Value: Seeks to assess a stock’s value relative to its recent history by comparing its dividend discount rate today against weekly history of that discount rate over the prior year.

Success: Proprietary modeling seeks to identify companies with strong and resourceful management teams that are efficiently growing their company and operating successfully relative to peers. The factor incorporates considerations for quality, organic and long-term growth, and sustainability, and employs machine learning techniques to identify industry-specific metrics based on a database of over 200 factors.