EPSgrowth
EPS Year-over-Year Growth — Chan Jegadeesh and Lakonishok 1996
Profitability
Quick facts
| Factor ID | EPSgrowth |
| Display name | EPS Year-over-Year Growth |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Chan Jegadeesh and Lakonishok 1996 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 675,602 rows · 98.6% of panel |
Formula
basic_eps_yoy / 100
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.7290% |
| Monthly std | 2.3852% |
| Annualized Sharpe | 1.06 |
| t-stat (simple) | 4.25 |
| Hit rate (months > 0) | 60.6% |
| Last 12M compounded | 13.63% |
| Cumulative wealth (start = 1) | 3.850 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.88% | 3.418 | 5110 |
| 2025-06 | +1.80% | 3.480 | 5120 |
| 2025-07 | +3.90% | 3.616 | 5121 |
| 2025-08 | +0.79% | 3.644 | 5139 |
| 2025-09 | -0.54% | 3.625 | 5149 |
| 2025-10 | -2.82% | 3.522 | 5152 |
| 2025-11 | +3.94% | 3.661 | 5155 |
| 2025-12 | +4.12% | 3.812 | 5167 |
| 2026-01 | -0.06% | 3.810 | 5166 |
| 2026-02 | -1.23% | 3.763 | 5169 |
| 2026-03 | +1.54% | 3.821 | 5170 |
| 2026-04 | +0.76% | 3.850 | 5165 |
Known data issues
None recorded.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.