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What factors work well in-Sample for this data & explain why: Telecommunication Services Personal:InvestClass_Insample 12/31/1987 To 12/31/1997 Factor 1: Sector Sector: Telecommunication Services Equal Weighted

What factors work well in-Sample for this data & explain why:

Telecommunication Services

Personal:InvestClass_Insample

12/31/1987 To 12/31/1997

Factor 1: Sector

Sector: Telecommunication Services

Equal Weighted / 12 - Month

Benchmark Return: 12.63

Risk Free Rate Return: 5.40

Avg Returns Return Dispersion PHR UPHR DPHR HR FT IC t-Stat

Universe Standard % >

Return Deviation % > % > Up Down Stock % Total Avg. IC Number of

Factor (Avg Sum) Return Bench Bench Bench Hit Rate Turnover MCap Beta IC T-Stat Securities

Sector 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 N/A N/A 6,670

Telecommunication Services 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 N/A N/A 6,670

Earnings to Price 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.06 0.55 6,670

1 20.18 18.20 66.12 62.14 88.89 60.76 30.99 11,686 0.69 -0.04 -0.29 1,210

2 15.99 18.68 50.41 45.63 77.78 49.28 43.51 11,450 0.55 0.06 0.23 1,247

3 14.99 28.22 47.11 50.49 27.78 45.25 33.97 3,668 1.01 -0.03 -0.10 1,297

4 18.35 39.13 40.50 47.57 0.00 47.07 31.86 1,511 1.50 -0.04 -0.07 1,271

5 18.17 38.73 60.33 64.08 38.89 47.25 23.79 1,319 1.88 -0.02 -0.10 1,224

Book to Price 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.03 0.35 6,670

1 14.90 17.66 55.37 48.54 94.44 50.22 20.95 5,441 0.77 0.03 0.06 1,203

2 19.57 23.86 56.20 51.46 83.33 56.07 47.56 7,802 0.86 -0.01 -0.02 1,250

3 20.59 27.92 53.72 56.31 38.89 50.97 53.50 8,169 0.97 0.01 0.04 1,303

4 17.02 32.30 47.93 55.34 5.56 45.96 43.17 6,521 1.50 0.01 0.04 1,278

5 15.30 38.72 52.07 53.40 44.44 45.97 21.94 1,244 1.48 -0.06 -0.23 1,230

Free Cash Flow to Price 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.05 0.41 6,670

1 20.66 25.33 58.68 61.17 44.44 55.34 25.16 10,557 0.91 0.05 0.34 1,210

2 17.61 20.03 58.68 60.19 50.00 52.87 39.01 11,134 0.74 0.00 0.00 1,250

3 14.41 27.80 47.11 45.63 55.56 46.97 39.87 4,804 0.95 0.00 -0.09 1,300

4 19.75 35.35 44.63 49.51 16.67 46.00 39.44 1,998 1.37 0.06 0.18 1,277

5 15.72 34.49 61.16 66.99 27.78 48.94 27.56 973 1.68 0.05 0.11 1,227

Cash Flow From Operation to Price 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.08 0.71 6,670

1 21.63 21.95 64.46 63.11 72.22 58.87 22.97 10,292 0.86 0.06 0.25 1,210

2 16.64 21.95 55.37 51.46 77.78 51.95 37.07 12,390 0.61 0.10 0.42 1,250

3 17.06 26.07 57.85 57.28 61.11 48.48 34.33 4,594 0.88 -0.01 -0.03 1,300

4 14.18 32.87 42.15 46.60 16.67 43.70 32.55 1,458 1.44 0.03 0.07 1,277

5 18.30 38.07 49.59 55.34 16.67 46.70 20.41 758 1.83 0.04 0.11 1,227

Earnings Quality (Sloan) 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.13 0.98 6,670

1 19.44 24.19 57.85 53.40 83.33 57.92 31.11 8,810 0.64 0.08 0.34 1,128

2 21.28 19.86 62.81 62.14 66.67 59.66 44.43 11,031 0.87 -0.03 -0.05 1,173

3 14.84 25.40 46.28 45.63 50.00 45.39 43.23 6,181 0.84 0.03 0.13 1,226

4 16.44 34.57 55.37 58.25 38.89 43.55 47.05 3,949 1.53 -0.02 -0.10 1,203

5 13.21 33.25 46.28 48.54 33.33 41.59 28.62 851 1.52 0.13 0.46 1,147

50D200D 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.01 0.02 6,670

1 16.97 35.29 47.93 55.34 5.56 47.03 53.06 3,422 1.19 0.08 0.24 1,270

2 15.51 26.46 52.07 55.34 33.33 45.99 95.21 6,479 0.84 -0.05 -0.20 1,312

3 20.21 23.94 61.16 56.31 88.89 53.96 101.35 7,159 0.90 0.02 0.06 1,364

4 19.36 27.10 52.07 52.43 50.00 53.88 96.10 7,023 1.11 0.00 -0.01 1,335

5 14.34 33.02 52.07 53.40 44.44 46.41 55.09 3,747 1.60 0.09 0.33 1,294

[R] Change in CommShs Out 17.41 25.79 50.41 52.43 38.89 49.61 4.88 5,538 1.11 0.02 0.20 6,670

1 17.75 23.57 52.07 53.40 44.44 51.11 25.82 6,368 1.08 -0.14 -0.46 1,203

2 17.28 23.11 57.02 55.34 66.67 52.32 38.42 8,537 0.95 -0.02 -0.07 1,245

3 19.94 25.86 51.24 51.46 50.00 51.45 42.13 7,797 0.86 0.03 0.12 1,302

4 15.82 31.92 45.45 50.49 16.67 47.12 44.51 4,508 1.27 0.04 0.17 1,269

5 15.73 37.09 43.80 49.51 11.11 46.84 30.79 2,050 1.54 -0.04 -0.17 1,225

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Previous Question Next Question

Telecommunication Services
Personal:InvestClass_Insample
12/31/1987 To 12/31/1997
Factor 1: Sector
Sector: Telecommunication Services
Equal Weighted / 12 - Month
Benchmark Return: 12.63
Risk Free Rate Return: 5.40
		Avg Returns	Return Dispersion	PHR	UPHR	DPHR	HR	FT			IC	t-Stat
		Universe	Standard			% >
		Return	Deviation	% >	% > Up	Down	Stock	% Total	Avg.			IC	Number of
Factor		(Avg Sum)	Return	Bench	Bench	Bench	Hit Rate	Turnover	MCap	Beta	IC	T-Stat	Securities

Sector		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	N/A	N/A	6,670
	Telecommunication Services	17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	N/A	N/A	6,670
Earnings to Price		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.06	0.55	6,670
	1	20.18	18.20	66.12	62.14	88.89	60.76	30.99	11,686	0.69	-0.04	-0.29	1,210
	2	15.99	18.68	50.41	45.63	77.78	49.28	43.51	11,450	0.55	0.06	0.23	1,247
	3	14.99	28.22	47.11	50.49	27.78	45.25	33.97	3,668	1.01	-0.03	-0.10	1,297
	4	18.35	39.13	40.50	47.57	0.00	47.07	31.86	1,511	1.50	-0.04	-0.07	1,271
	5	18.17	38.73	60.33	64.08	38.89	47.25	23.79	1,319	1.88	-0.02	-0.10	1,224
Book to Price		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.03	0.35	6,670
	1	14.90	17.66	55.37	48.54	94.44	50.22	20.95	5,441	0.77	0.03	0.06	1,203
	2	19.57	23.86	56.20	51.46	83.33	56.07	47.56	7,802	0.86	-0.01	-0.02	1,250
	3	20.59	27.92	53.72	56.31	38.89	50.97	53.50	8,169	0.97	0.01	0.04	1,303
	4	17.02	32.30	47.93	55.34	5.56	45.96	43.17	6,521	1.50	0.01	0.04	1,278
	5	15.30	38.72	52.07	53.40	44.44	45.97	21.94	1,244	1.48	-0.06	-0.23	1,230
Free Cash Flow to Price		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.05	0.41	6,670
	1	20.66	25.33	58.68	61.17	44.44	55.34	25.16	10,557	0.91	0.05	0.34	1,210
	2	17.61	20.03	58.68	60.19	50.00	52.87	39.01	11,134	0.74	0.00	0.00	1,250
	3	14.41	27.80	47.11	45.63	55.56	46.97	39.87	4,804	0.95	0.00	-0.09	1,300
	4	19.75	35.35	44.63	49.51	16.67	46.00	39.44	1,998	1.37	0.06	0.18	1,277
	5	15.72	34.49	61.16	66.99	27.78	48.94	27.56	973	1.68	0.05	0.11	1,227
Cash Flow From Operation to Price		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.08	0.71	6,670
	1	21.63	21.95	64.46	63.11	72.22	58.87	22.97	10,292	0.86	0.06	0.25	1,210
	2	16.64	21.95	55.37	51.46	77.78	51.95	37.07	12,390	0.61	0.10	0.42	1,250
	3	17.06	26.07	57.85	57.28	61.11	48.48	34.33	4,594	0.88	-0.01	-0.03	1,300
	4	14.18	32.87	42.15	46.60	16.67	43.70	32.55	1,458	1.44	0.03	0.07	1,277
	5	18.30	38.07	49.59	55.34	16.67	46.70	20.41	758	1.83	0.04	0.11	1,227
Earnings Quality (Sloan)		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.13	0.98	6,670
	1	19.44	24.19	57.85	53.40	83.33	57.92	31.11	8,810	0.64	0.08	0.34	1,128
	2	21.28	19.86	62.81	62.14	66.67	59.66	44.43	11,031	0.87	-0.03	-0.05	1,173
	3	14.84	25.40	46.28	45.63	50.00	45.39	43.23	6,181	0.84	0.03	0.13	1,226
	4	16.44	34.57	55.37	58.25	38.89	43.55	47.05	3,949	1.53	-0.02	-0.10	1,203
	5	13.21	33.25	46.28	48.54	33.33	41.59	28.62	851	1.52	0.13	0.46	1,147
50D200D		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.01	0.02	6,670
	1	16.97	35.29	47.93	55.34	5.56	47.03	53.06	3,422	1.19	0.08	0.24	1,270
	2	15.51	26.46	52.07	55.34	33.33	45.99	95.21	6,479	0.84	-0.05	-0.20	1,312
	3	20.21	23.94	61.16	56.31	88.89	53.96	101.35	7,159	0.90	0.02	0.06	1,364
	4	19.36	27.10	52.07	52.43	50.00	53.88	96.10	7,023	1.11	0.00	-0.01	1,335
	5	14.34	33.02	52.07	53.40	44.44	46.41	55.09	3,747	1.60	0.09	0.33	1,294
[R] Change in CommShs Out		17.41	25.79	50.41	52.43	38.89	49.61	4.88	5,538	1.11	0.02	0.20	6,670
	1	17.75	23.57	52.07	53.40	44.44	51.11	25.82	6,368	1.08	-0.14	-0.46	1,203
	2	17.28	23.11	57.02	55.34	66.67	52.32	38.42	8,537	0.95	-0.02	-0.07	1,245
	3	19.94	25.86	51.24	51.46	50.00	51.45	42.13	7,797	0.86	0.03	0.12	1,302
	4	15.82	31.92	45.45	50.49	16.67	47.12	44.51	4,508	1.27	0.04	0.17	1,269
	5	15.73	37.09	43.80	49.51	11.11	46.84	30.79	2,050	1.54	-0.04	-0.17	1,225