Research reference
Factor definitions
Measure the characteristic before interpreting the premium.
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Value signals start with the denominator
Define book-to-market and earnings yield before ranking stocks, and separate apparent cheapness from accounting comparability.
Profitability is not a single quality score
Distinguish gross profitability, operating profitability and leverage-sensitive quality measures before combining them.
Read asset growth before calling it investment
Calculate asset growth consistently and investigate acquisitions, disposals and denominator effects without rewriting the signal after the fact.
Momentum windows: what the skipped month changes
Specify a return window in calendar terms, compound it correctly, and keep a research convention separate from an executable trade.
Low volatility and minimum variance are different portfolios
Distinguish stock-level volatility ranking from portfolio-level risk optimization, with a two-stock covariance example.