Table 1.
Final value and compounded return for pure factor portfolios 1990–2019.
| Benchmark | BTM | PER | EVEBIT | EVEBITDA | GPA | ROC_ |
ROC_ |
MOM | |
|---|---|---|---|---|---|---|---|---|---|
| Green | Det | ||||||||
| Final Index Value Portfolio 1 (Best) | 12.95 | 16.53 | 24.49 | 25.21 | 22.39 | 26.43 | 18.85 | 20.90 | 25.49 |
| Final Index Value Portfolio 2 | 12.59 | 13.64 | 12.93 | 15.70 | 13.75 | 17.21 | 18.25 | 14.98 | |
| Final Index Value Portfolio 3 | 12.16 | 14.83 | 11.99 | 11.19 | 13.85 | 12.08 | 14.89 | 13.10 | |
| Final Index Value Portfolio 4 | 10.55 | 11.41 | 11.95 | 13.30 | 10.27 | 13.42 | 10.04 | 10.09 | |
| Final Index Value Portfolio 5 (Worst) | 11.73 | 5.49 | 6.75 | 7.41 | 9.24 | 6.51 | 6.67 | 6.60 | |
| Annualized Return Portfolio 1 (Best) | 9.15% | 9.94% | 11.20% | 11.21% | 10.67% | 11.38% | 10.42% | 10.76% | 11.56% |
| Annualized Return Portfolio 2 | 9.01% | 9.26% | 9.14% | 9.69% | 9.36% | 10.06% | 10.34% | 9.47% | |
| Annualized Return Portfolio 3 | 8.84% | 9.58% | 8.76% | 8.61% | 9.24% | 8.87% | 9.61% | 9.09% | |
| Annualized Return Portfolio 4 | 8.39% | 8.65% | 8.83% | 9.16% | 8.17% | 9.24% | 8.10% | 8.22% | |
| Annualized Return Portfolio 5 (Worst) | 8.65% | 5.78% | 6.00% | 5.87% | 7.20% | 6.43% | 6.24% | 6.58% |
This exhibit presents final values and compounded returns for each equally weighted portfolio formed according to a pure metric ranking. Each portfolio includes 20% (120) of the companies in the total sample. Individual Company financial Accounts and Absolute Return data are collected from FactSet database.