Factor Definitions

FACTOR	DEFINITION
Beta	Sixty month regression beta to the S&P500 return
Book/Price	Book Value/Market Cap
Buybacks	One year reduction in shares outstanding
Capex/Assets	Capital Expenditures/Total Assets
Capex/Sales	Capital Expenditures/Total Revenue
Debt/Equity	Debt/Equity
Dividend Yld	Dividends per share/Price
Earnings Growth	One Year Earnings Growth
Earnings/Price	Four Quarter Consolidated Net Income/Market Cap
EBITDA/EV no-financials	EBITDA/Enterpirse Value; Financials are excluded
FCF Yield no-financials	(Cash From Operating Activities - Capital Expendititures)/Market Cap; Financials excluded
GROWTH	Blend of sales growth and asset growth
Momentum	Twelve month momentum, skipping the most recent month
R&D/EV no-financials	Five-Year R&D Spending, Decreasing Weights/ Enterprise Value; Financials excluded
R&D/Sales no-financials	Five-Year R&D Spending, Decreasing Weights/ Sales; Financials excluded
Rate_Beta	Sixty month regression beta to % change in 10 year treasury yield
Reversal 1M	Last month's total return; low minus high
ROA	Net Income/Total Assets
ROE	Net Income/Total Equity
ROIC	Net Operating Profit After Taxes/Invested Capital
Sales/Employee	Sales/Employee
Sales/Price	Sales/MarketCap
Size	log market cap
VALUE	Blends earning value, book value, sales value
Low Volatility	65 day trailing volatility, weights decline with age; low minus high

Factors are used in long-short portfolios based on factor score. Polarity is long the highest value, and short the lowest value, except for Reversal. Portfolios are rebalanced monthly.