Factor question

Models
1

I’m looking to replicate an index and wondering how to obtain these functions:

1: The security has increased ordinary cash dividends every year for five years, but can maintain the same dividend for a maximum of two consecutive years within that five year period

and

  1. The float-adjusted market capitalization of the security, at the time of the review, must be at least C$ 300 million. The float-adjusted market capitalization is calculated based on the volume weighted average price (VWAP) of the security on the TSX over the last 10 trading days of the month-end prior to the Annual Review.

Thanks for the help!

2

I created a public screen named “Dividend question” to answer the first part of your question. These are the rules:
LoopSum(“DivPaid(CTR, ANN) >= DivPaid(CTR + 1, ANN)”, 5) >= 5
LoopSum(“DivPaid(CTR, ANN) = DivPaid(CTR + 1, ANN)”, 5) <= 2
LoopSum(“DivPaid(CTR, ANN) = 0”,4) = 0 //No dividends=0 in last 4 years
I added that last rule to eliminate some where the first 2 years were $0. You can change the 4 to a 5 if you want to eliminate the $0 dividends for year 5 too.

I dont have an answer for the 2nd question. There is a VMA function, but Im not sure if that is the same thing as VWAP. And I dont know what the “prior to the Annual Review” part of the question means.

3

Thanks for the help!

I think the first line in yours returns any company that has increased OR kept dividend stable for the past 5 years. If I change the sign to a > only, I think I get what I want

For the 2nd question, I was thinking that this sort of gives what I want “Float*VMA(10) >300” but I’m not sure.

4

Also, unless I’m mistaken DivPaid uses any kind of dividend (ex. special, bonus) and so this might be more appropriate?

LoopSum(“DivPS(CTR, ANN) > DivPS(CTR + 1, ANN)”, 5) >= 5

5

As you said, my first line returns any company that has increased OR kept dividend stable for the past 5 years. But the 2nd line filters out any companies where there were more than 2 years where the dividend was the same year over year. I believe that will give you what you requested in the original statement which was “The security has increased ordinary cash dividends every year for five years, but can maintain the same dividend for a maximum of two consecutive years within that five year period”. For the dividend item, your right and DivPS would be a better choice.