YOUR FACTOR SELECTION
Build your analytical framework
Choose the factors relevant to your investment approach across 9 style and analysis families.
Add up to 25 factors to your Sismo library.
9 families
Sismo Factor Handbook
Your guide to all 48 factors: construction, interpretation and customization.
One file to import
After receiving your form, we will email you a small JSON file containing all your selected factors. In Sismo, open Factors / Factor Library, then click Import in the top-right corner to upload the file.
After import, run or update the calculation under Factors / Run Calculations. If automatic overnight calculations are configured, the new factors will be included in the next run.
Choose which factors to display
After import, all factors appear in the Custom list. Click the lightbulb next to each factor to choose which ones appear in exposure charts. Switching the lightbulb off hides the factor without stopping its calculation.
Not sure which factors to choose? This suggested selection is here to help you get started. It is entirely optional.
Build your own selection, use all 20 suggested factors, or combine some of our suggestions with your own choices. You can remove or add factors at any time before submitting, up to a maximum of 25.
It includes four views of momentum: total return relative to the sector, recent pullbacks, the gap between moving averages and the 52-week price position. Beta, Tail Risk and Historical Drawdown complement the risk analysis.
This button replaces your current selection with these 20 factors. You can then remove or add factors, up to a maximum of 25.
A few pointers for choosing your factors
Fiscal years
- n−1
- Last completed fiscal year
- n
- Current fiscal year
- n+1
- Next fiscal year
- n+2
- Following fiscal year
These periods refer to each company’s fiscal years, which may differ from calendar years. n−2 and n−3 refer to fiscal years before n−1. Historical data rely on available reports; forecasts rely on analyst consensus.
SN — Sector Neutral
For each relevant indicator, the sector median is subtracted from each company’s value before standardization and combination in the factor. This allows companies to be compared relative to their sector and limits the influence of sector differences.
Inverted component
The component’s sign is reversed: its value is multiplied by −1.
Reading a composite factor
A factor can combine several indicators. A high component value can offset a lower one: a high factor value does not mean that all its components have high values. You can inspect the components in Sismo.
Abbreviations
EPS / BPA: earnings per share · CFO: operating cash flow · FCF: free cash flow · CA: sales (French abbreviation).
EBIT: earnings before interest and taxes · EBITDA: earnings before interest, taxes, depreciation and amortization · ROIC: return on invested capital · ROE: return on equity.
EV: enterprise value · P/E: share price divided by earnings per share. “Normalized P/E” here refers to the multiple based on normalized earnings. Total return includes reinvested dividends.
R-score: a composite indicator of analysts’ Buy, Hold and Sell recommendations.
Appendix — Sector classification
The 33 Sismo sectors and their correspondence with GICS sectors, industry groups and industries.