CFP
Cash-Flow-to-Price — Lakonishok Shleifer and Vishny 1994
Value
Quick facts
| Factor ID | CFP |
| Display name | Cash-Flow-to-Price |
| Family | Predictor |
| Category | Value |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Lakonishok Shleifer and Vishny 1994 |
| Source tables | cashflow;daily_basic |
| Required fields | oper_cashflow;mkt_cap_cmp |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 679,623 rows · 99.2% of panel |
Formula
oper_cashflow / mkt_cap_cmp
Operating cash flow scaled by total market capitalization with point-in-time financial availability.
China adaptation
Use operating cash flow from announced statements and contemporaneous RMB market value.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.1260% |
| Monthly std | 2.4239% |
| Annualized Sharpe | 0.18 |
| t-stat (simple) | 0.72 |
| Hit rate (months > 0) | 53.9% |
| Last 12M compounded | -4.81% |
| Cumulative wealth (start = 1) | 1.205 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.77% | 1.244 | 5134 |
| 2025-06 | +1.11% | 1.257 | 5145 |
| 2025-07 | -0.74% | 1.248 | 5147 |
| 2025-08 | +0.58% | 1.255 | 5150 |
| 2025-09 | +0.28% | 1.259 | 5157 |
| 2025-10 | -1.38% | 1.242 | 5163 |
| 2025-11 | +0.87% | 1.252 | 5168 |
| 2025-12 | -0.14% | 1.251 | 5182 |
| 2026-01 | -1.47% | 1.232 | 5181 |
| 2026-02 | +2.73% | 1.266 | 5186 |
| 2026-03 | -3.75% | 1.218 | 5188 |
| 2026-04 | -1.08% | 1.205 | 5185 |
Known data issues
Current implementation uses latest operating cashflow not a fully stitched TTM measure.
Notes
Cash-flow statement coverage is point-in-time but restatement handling remains basic.
See also: Value family, Factor library, Factor returns.