FCFFtoAssets
Free Cash Flow / Assets — Lakonishok Shleifer and Vishny 1994
Profitability
Quick facts
| Factor ID | FCFFtoAssets |
| Display name | Free Cash Flow / Assets |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Lakonishok Shleifer and Vishny 1994 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 666,381 rows · 97.3% of panel |
Formula
fcff / total_assets
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.1063% |
| Monthly std | 2.0777% |
| Annualized Sharpe | 0.18 |
| t-stat (simple) | 0.71 |
| Hit rate (months > 0) | 54.9% |
| Last 12M compounded | -8.42% |
| Cumulative wealth (start = 1) | 1.178 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.72% | 1.264 | 5025 |
| 2025-06 | -0.36% | 1.259 | 5035 |
| 2025-07 | -0.17% | 1.257 | 5036 |
| 2025-08 | -0.43% | 1.252 | 5047 |
| 2025-09 | +0.16% | 1.254 | 5052 |
| 2025-10 | -0.96% | 1.242 | 5059 |
| 2025-11 | -0.04% | 1.241 | 5063 |
| 2025-12 | +0.30% | 1.245 | 5076 |
| 2026-01 | -1.01% | 1.232 | 5075 |
| 2026-02 | +0.38% | 1.237 | 5080 |
| 2026-03 | -3.77% | 1.190 | 5081 |
| 2026-04 | -1.07% | 1.178 | 5075 |
Known data issues
None recorded.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.