BM
Book-to-Market — Fama and French 1992
Value
Quick facts
| Factor ID | BM |
| Display name | Book-to-Market |
| Family | Predictor |
| Category | Value |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Fama and French 1992 |
| Source tables | balancesheet;daily_basic |
| Required fields | total_equity;mkt_cap_cmp |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,719 rows · 99.1% of panel |
Formula
total_equity / mkt_cap_cmp
Book equity divided by total market capitalization with financial statements merged point-in-time.
China adaptation
Use latest announced balance-sheet equity and contemporaneous Tushare total_mv in RMB.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.3321% |
| Monthly std | 5.1479% |
| Annualized Sharpe | 0.22 |
| t-stat (simple) | 0.90 |
| Hit rate (months > 0) | 48.7% |
| Last 12M compounded | -18.59% |
| Cumulative wealth (start = 1) | 1.474 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.97% | 1.757 | 5134 |
| 2025-06 | +1.35% | 1.781 | 5145 |
| 2025-07 | -7.45% | 1.648 | 5147 |
| 2025-08 | -0.17% | 1.645 | 5150 |
| 2025-09 | +4.63% | 1.721 | 5157 |
| 2025-10 | +0.75% | 1.734 | 5163 |
| 2025-11 | -1.50% | 1.708 | 5168 |
| 2025-12 | -0.48% | 1.700 | 5182 |
| 2026-01 | -1.69% | 1.671 | 5181 |
| 2026-02 | +4.21% | 1.742 | 5186 |
| 2026-03 | -8.14% | 1.600 | 5187 |
| 2026-04 | -7.85% | 1.474 | 5185 |
Known data issues
Negative equity produces negative BM and should be filtered in strict replications.
Notes
Current China implementation uses latest PIT equity rather than June accounting convention.
See also: Value family, Factor library, Factor returns.