Accruals
Accruals — Sloan 1996
Earnings Quality
Quick facts
| Factor ID | Accruals |
| Display name | Accruals |
| Family | Predictor |
| Category | Earnings Quality |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Sloan 1996 |
| Source tables | income;cashflow;balancesheet |
| Required fields | net_profit;oper_cashflow;total_assets |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,696 rows · 99.1% of panel |
Formula
(net_profit - oper_cashflow) / total_assets
Accounting accruals measured as net income less operating cash flow scaled by total assets.
China adaptation
Use announced financial statements and treat this as a cash-flow accrual proxy for China A-shares.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.0965% |
| Monthly std | 2.4706% |
| Annualized Sharpe | 0.14 |
| t-stat (simple) | 0.54 |
| Hit rate (months > 0) | 52.8% |
| Last 12M compounded | -0.45% |
| Cumulative wealth (start = 1) | 1.135 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -0.17% | 1.138 | 5134 |
| 2025-06 | +1.68% | 1.157 | 5145 |
| 2025-07 | -0.78% | 1.148 | 5147 |
| 2025-08 | +0.39% | 1.153 | 5150 |
| 2025-09 | +0.79% | 1.162 | 5157 |
| 2025-10 | +1.36% | 1.178 | 5163 |
| 2025-11 | -2.90% | 1.143 | 5168 |
| 2025-12 | +0.54% | 1.150 | 5182 |
| 2026-01 | -0.12% | 1.148 | 5181 |
| 2026-02 | +1.48% | 1.165 | 5186 |
| 2026-03 | -1.83% | 1.144 | 5188 |
| 2026-04 | -0.78% | 1.135 | 5185 |
Known data issues
Tiny assets create extreme values and need production filters.
Notes
Current proxy differs from full balance-sheet accrual definition.
See also: Earnings Quality family, Factor library, Factor returns.