Core: Marketwide asset allocation that emphasizes stocks with smaller market capitalization, low relative price, and higher profitability.
Downward momentum: Stocks ranking low on prior return compared to the market.
Expected returns: The percentage increase in value a person may anticipate from an investment based on the level of risk associated with the investment, calculated as the mean value of the probability distribution of possible returns.
Market capitalization: The total market value of a company’s outstanding shares, computed as price times shares outstanding.
Momentum: Stock price momentum generally refers to the tendency of stocks with relatively high prior returns to continue their relative outperformance.
Overlap: The percentage of stocks, by market capitalization, in common between two strategies.
Premium: A return difference between two assets or portfolios
Price-to-book: The ratio of a firm’s market value to its book value, where market value is computed as price multiplied by shares outstanding and book value is the value of stockholder’s equity as reported on a company’s balance sheet
Profitability: A company’s operating income before depreciation and amortization minus interest expense scaled by book equity
Relative price: Refers to a company’s price, or the market value of its equity, in relation to another measure of economic value, such as book value.
Turnover: Measures the portion of securities in a portfolio that are bought and sold over a period of time.
Up-momentum: Stocks ranking high on prior return relative to the market.