Stocks with low historical volatility of price returns, ranked in the bottom 20% of their peer group.
Stocks with large variations of price returns, ranked in the top 20% of their peer group.
Stocks in approximately the top 20% of the largest risk-adjusted price momentum over the past 6 to 12 months.
Stocks with high valuation multiples and prospects of high earnings growth, ranking approximately in the top 20% based on valuation and growth within their peer groups.
Stocks with low valuation multiples ranking approximately in the bottom 20% based on valuation within their peer groups.
Stocks with good-quality fundamentals ranking approximately in the top 20% using a combination of return on equity, earnings persistence, and low financial leverage within their peer group.
Stocks that have paid dividends over the past ten years and have an average annual dividend yield of more than 3%.
A peer group is a collection of companies within the same industry (by GICS Level 1 classification) and with the same market capitalisation group (Large, Mid, Small, Extra-small).
\nThis methodology should not be taken as an indication or guarantee of any future performance, analysis, forecast, or prediction. Additional information about those portfolios are available upon request.
\nSmart beta profiles are objective profiles based on quantitative factors and do not reflect the opinion of our analyst. These profiles are not investment recommendations as defined in MAR No 596/2014.
\nFor all inquiries, please contact quant.research@keplercheuvreux.com.
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