BPSyoy
Book Value Growth — Cooper Gulen and Schill 2008
Investment
Quick facts
| Factor ID | BPSyoy |
| Display name | Book Value Growth |
| Family | Predictor |
| Category | Investment |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Cooper Gulen and Schill 2008 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,169 rows · 99.0% of panel |
Formula
bps_yoy / 100
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | -0.0670% |
| Monthly std | 2.5805% |
| Annualized Sharpe | -0.09 |
| t-stat (simple) | -0.36 |
| Hit rate (months > 0) | 48.7% |
| Last 12M compounded | -1.52% |
| Cumulative wealth (start = 1) | 0.823 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +2.36% | 0.856 | 5125 |
| 2025-06 | +0.55% | 0.861 | 5135 |
| 2025-07 | -1.82% | 0.845 | 5136 |
| 2025-08 | -1.35% | 0.833 | 5148 |
| 2025-09 | +2.29% | 0.853 | 5156 |
| 2025-10 | +3.67% | 0.884 | 5158 |
| 2025-11 | -3.72% | 0.851 | 5162 |
| 2025-12 | -2.47% | 0.830 | 5176 |
| 2026-01 | +0.29% | 0.832 | 5175 |
| 2026-02 | +0.95% | 0.840 | 5180 |
| 2026-03 | -0.93% | 0.832 | 5181 |
| 2026-04 | -1.08% | 0.823 | 5179 |
Known data issues
None recorded.
Notes
None recorded.
See also: Investment family, Factor library, Factor returns.