DebtToAssets
Debt-to-Assets — Fama and French 1992
Leverage
Quick facts
| Factor ID | DebtToAssets |
| Display name | Debt-to-Assets |
| Family | Predictor |
| Category | Leverage |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Fama and French 1992 |
| Source tables | fina_indicator |
| Required fields | debt_to_assets |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,369 rows · 99.0% of panel |
Formula
debt_to_assets / 100
Total liabilities divided by total assets from fina_indicator.
China adaptation
Uses Tushare fina_indicator debt_to_assets directly.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | -0.3186% |
| Monthly std | 4.1574% |
| Annualized Sharpe | -0.27 |
| t-stat (simple) | -1.06 |
| Hit rate (months > 0) | 48.2% |
| Last 12M compounded | -5.73% |
| Cumulative wealth (start = 1) | 0.456 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.85% | 0.475 | 5125 |
| 2025-06 | -1.94% | 0.466 | 5135 |
| 2025-07 | -1.51% | 0.459 | 5136 |
| 2025-08 | +1.55% | 0.466 | 5148 |
| 2025-09 | +1.52% | 0.473 | 5156 |
| 2025-10 | +0.24% | 0.474 | 5161 |
| 2025-11 | -1.60% | 0.467 | 5165 |
| 2025-12 | -2.22% | 0.456 | 5179 |
| 2026-01 | +1.37% | 0.463 | 5178 |
| 2026-02 | +3.07% | 0.477 | 5183 |
| 2026-03 | -2.76% | 0.464 | 5184 |
| 2026-04 | -1.56% | 0.456 | 5182 |
Known data issues
None recorded.
Notes
Alternative leverage measure to the existing Leverage (assets/equity) factor.
See also: Leverage family, Factor library, Factor returns.