EBITDAmargin
EBITDA Margin — Loughran and Wellman 2011
Profitability
Quick facts
| Factor ID | EBITDAmargin |
| Display name | EBITDA Margin |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Loughran and Wellman 2011 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-30 – 2026-05-15 · 137,087 rows · 20.0% of panel |
Formula
ebitda / revenue
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 128 |
| Monthly mean | -0.0810% |
| Monthly std | 8.6157% |
| Annualized Sharpe | -0.03 |
| t-stat (simple) | -0.11 |
| Hit rate (months > 0) | 49.2% |
| Last 12M compounded | -14.71% |
| Cumulative wealth (start = 1) | 0.542 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2024-08 | -5.58% | 0.600 | 4473 |
| 2024-09 | -11.35% | 0.532 | 4992 |
| 2025-02 | +3.12% | 0.549 | 38 |
| 2025-03 | +1.40% | 0.556 | 927 |
| 2025-04 | +7.25% | 0.597 | 93 |
| 2025-05 | -8.28% | 0.547 | 85 |
| 2025-06 | +3.86% | 0.569 | 89 |
| 2025-07 | +1.76% | 0.578 | 155 |
| 2025-08 | +0.77% | 0.583 | 4481 |
| 2025-09 | -1.74% | 0.573 | 5053 |
| 2026-03 | +0.22% | 0.574 | 1047 |
| 2026-04 | -5.55% | 0.542 | 87 |
Known data issues
None recorded.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.