AM
Asset-to-Market — Fama and French 1992
Valuation
Quick facts
| Factor ID | AM |
| Display name | Asset-to-Market |
| Family | Predictor |
| Category | Valuation |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Fama and French 1992 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2010-04-27 – 2026-05-15 · 678,205 rows · 99.0% of panel |
Formula
total_assets / mkt_cap_cmp
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.0770% |
| Monthly std | 5.9818% |
| Annualized Sharpe | 0.04 |
| t-stat (simple) | 0.18 |
| Hit rate (months > 0) | 48.2% |
| Last 12M compounded | -17.95% |
| Cumulative wealth (start = 1) | 0.819 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -4.15% | 0.957 | 5125 |
| 2025-06 | +0.31% | 0.960 | 5135 |
| 2025-07 | -7.20% | 0.891 | 5136 |
| 2025-08 | +1.37% | 0.903 | 5148 |
| 2025-09 | +5.45% | 0.952 | 5155 |
| 2025-10 | +1.17% | 0.963 | 5161 |
| 2025-11 | -2.46% | 0.940 | 5165 |
| 2025-12 | -1.65% | 0.924 | 5178 |
| 2026-01 | +0.30% | 0.927 | 5177 |
| 2026-02 | +5.20% | 0.975 | 5182 |
| 2026-03 | -8.60% | 0.891 | 5184 |
| 2026-04 | -8.09% | 0.819 | 5183 |
Known data issues
None recorded.
Notes
None recorded.
See also: Valuation family, Factor library, Factor returns.