14 SPGMI monthly factor exposures for 294 CRSP stocks from 1993 to 2015
data(factorsSPGMI)A data.frame containing 14 SPGMI monthly factor exposures (alpha factors) for 294 stocks from 1993 to 2015 (276 months) of observations on 21 variables that include the 14 factor exposures, for each of 294 stocks
Date: type `Date`.
TickerLast: type `chr`. This is the ticker as of December 2015
Ticker: type `chr`. This is the monthly ticker
Company: type `chr`. The name of the company
CapGroupLast: type `chr`. Company market capitalization group as of December 2015, one of: MicroCap, SmallCap, MidCap or LargeCap
CapGroup: type `chr`. Monthly market capitalization group
GICS: type `chr`. An 8 digit S&P GICS code, the first two digits of which are codes for 11 GICS sectors
Sector: type `chr`. One of 8 of the 11 GICS sectors, with none of the 294 stocks in Financials, Real Estate or Utilities
AnnVol12M: type `num`. Annualized Volatility of Monthly Stock Returns (Last Twelve Months)
Beta60M: type `num`. 60 Month OLS Beta relative to the S&P 500 estimated using Monthly Total Returns
BP: type `num`. Most Recent Book Value of Common Equity divided by Market Value of Common Equity
EP: type `num`. Sum of trailing four quarters Earnings per Share divided by Current Price per share
LogMktCap: type `num`. Natural Logarithm of Current Market Capitalization in $
PM12M1M: type `num`. Price relative change from time t-12 to time t-1: PM12M1M(t) = (P(t-1)-P(t-12))/P(t-12) = P(t-1)/P(t-12) – 1
AccrualRatioCF: type `num`. Ratio of Accruals to Net Operating Assets, where Accruals = Income Before Extraordinary Items minus Net Operating Cash Flow minus Net Investing Cash Flow, and Net Operating Assets = Total Assets – Total Liabilities – Cash and Short-Term Investments + Short- and Long-Term Debt. Both numerator and denominator are computed over the trailing four quarters
AstAdjChg1YOCF: type `num`. One-Year Change in Trailing Four Quarter Operating Cash Flow divided by Trailing Four Quarter Average(Total Assets)
CFROIC: type `num`. Trailing Four Quarter Operating Cash Flow divided by Trailing Four Quarter Average of Invested Capital where Invested Capital = Sum of Long-Term Debt, Preferred Stock, Common Equity and Minority Interests – Treasury Stock
Chg1YAstTo: type `num`. Percentage change over 12 months in Trailing Four Quarter Revenues divided by Trailing Four Quarter Average of Total Assets
EBITDAEV: type `num`. Trailing Four Quarter EBITDA divided by Average of Trailing Four Quarter Enterprise Value where Enterprise Value = Book Value of Equity + Market Value of Debt
FCFP: type `num`. Trailing Four Quarter Free Cash Flow divided by Trailing Four Quarter Average of Market Value of Equity
PM1M: type `num`. Trailing 1-Month Price Return. Relative price change from time t-1 to t: PM1M(t) = (P(t) – P(t-1)) / P(t-1), commonly called one period return R(t)
SEV: type `num`. Trailing Four Quarter Sales divided by Average of Trailing Four Quarter Enterprise Value, where Enterprise Value = Market Value of Equity + Market Value of Debt
The term "factor exposures" is often used for the values of the 14 factors, which SPGMI also refers to as "scores" or "alpha factors". Our names for the the 14 factors are identical to those used by SPGMI in their AFL library. For an introduction to the AFL library see: https://www.marketplace.spglobal.com/en/datasets/alpha-factor-library-(3)
The four CapGroupLast categorizations of the stocks were determined using the three capitalization breakpoints $xxxM, $yyyM, $zzzM. Details concerning the construction of the monthly CapGroup categorizations will eventually be provided in a Vignette.
The factorsSPGMI data contains stocks in 8 of the 11 GICS sectors, with no stocks in the Financials, Utilities and Real Estate sectors. On each of the next 11 lines we list all 11 of the two digit GICS code that defines the GICS Sector, followed by the GICS sector name:
10 Energy
15 Materials
20 Industrials
25 Consumer Discretionary
30 Consumer Staples
35 Health Care
40 Financials (none currently available)
45 Information Technology
50 Communication Services
55 Utilities (none currently available)
60 Real Estate (none currently available)
GICS is a joint product of SPGMI and MSCI. For details, see the GICS Global Industry Classification Standard document (The GICS MAP Book) available at https://www.spglobal.com/en/, and the MSCI GICS Methodology 2020 document available at https://www.msci.com/.
A standard corporate finance textbook: Ross, Westerfield, Jaffe and Jordan (2019). Corporate Finance, McGraw-Hill Education. CFA: https://alphabetaprep.com/cfa-level-1/financial-ratio-analysis/