Investment as of Feb 28, 2025 | Category: Global - Other as of Feb 28, 2025 | Data is based on the long position of the equity holdings (style factors).
Morningstar Factor Profile includes seven factors that are widely accepted in the industry as key drivers of risk and return.
To learn more about Morningstar Factor Profile, click here.
Morningstar Factor Profile Methodology
Factor Definitions
Style – The style factor describes the aggregate expectations of market participants for the future growth and required rate of return for a stock, based on the same measures used for the Morningstar Style Box. A higher exposure to the style factor indicates higher growth.
Yield – The yield factor describes the dividend and buyback yield of a company, based on the trailing 12 months. A higher exposure to the yield factor indicates higher yield for investors.
Momentum (Mom.) – The momentum factor describes how much a stock has risen in price over the past year relative to other stocks, calculated by subtracting the trailing 1-month return from the trailing 12-month return. A higher exposure to the momentum factor indicates the company has performed well recently.
Quality – The quality factor describes the profitability and financial leverage of a company, based on an equally weighted mix of trailing 12-month return on equity and debt-to-capital ratios. A higher exposure to the quality factor indicates a higher quality of the firm.
Volatility (Vola.) – The volatility factor describes the maximum observed spread in long-term returns, based on the trailing 12-month standard deviation of daily returns. A higher exposure to the volatility factor indicates larger variation in long-run outcomes.
Liquidity – The liquidity factor describes the trading frequency of a company, based on trailing 30-day share turnover. A higher exposure to the liquidity factor indicates higher share turnover.
Size – The size factor describes the market capitalization of a company, based on the same measure used for the Morningstar Style Box. A higher exposure to the size factor indicates smaller market capitalization (though we plot large-cap exposure at the top of the size capsule to simplify the Factor Profile visual and keep all “high” or “large” indicators aligned at the top).
The Classic View displays an investment's asset allocation using Morningstar’s traditional methodology where exposure derived from owning a derivative is equal to exposure its underlying instrument or index. For investments without derivatives, this view will match the new Economic Exposure and Market Value views.
The Economic Exposure View displays the sensitivity of portfolio return to various asset classes. Economic Exposure will model the impact of these instruments based on their inherent leverage rather than solely based on their market values. Compared to the Classic Asset Allocation, this view provides additional clarity to investors around how funds use derivatives to adjust the portfolio’s risk profile in addition to more clearly depicting sources of risk and return.
The Market Value View displays the distribution of assets in a portfolio according to the balance sheet of the investment and the statement of investments. The Market Value view reflects the expected cash payments upon selling instruments on the open market or the liquidity value of the portfolio.