GP
Gross Profitability — Novy-Marx 2013
Profitability
Quick facts
| Factor ID | GP |
| Display name | Gross Profitability |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Novy-Marx 2013 |
| Source tables | fina_indicator;income;balancesheet |
| Required fields | grossprofit_margin;revenue;total_assets |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 664,521 rows · 97.0% of panel |
Formula
(grossprofit_margin/100) * revenue / total_assets
Gross profit scaled by total assets using fina_indicator grossprofit_margin.
China adaptation
Uses Tushare fina_indicator grossprofit_margin which is (revenue-COGS)/revenue*100.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.5548% |
| Monthly std | 3.6514% |
| Annualized Sharpe | 0.53 |
| t-stat (simple) | 2.11 |
| Hit rate (months > 0) | 58.0% |
| Last 12M compounded | -9.14% |
| Cumulative wealth (start = 1) | 2.564 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.37% | 2.756 | 5024 |
| 2025-06 | +2.07% | 2.813 | 5034 |
| 2025-07 | +1.78% | 2.863 | 5035 |
| 2025-08 | -1.82% | 2.811 | 5047 |
| 2025-09 | -2.87% | 2.730 | 5054 |
| 2025-10 | -3.18% | 2.643 | 5060 |
| 2025-11 | +1.63% | 2.687 | 5064 |
| 2025-12 | +0.98% | 2.713 | 5077 |
| 2026-01 | -3.87% | 2.608 | 5076 |
| 2026-02 | -1.44% | 2.570 | 5081 |
| 2026-03 | +0.32% | 2.579 | 5082 |
| 2026-04 | -0.55% | 2.564 | 5081 |
Known data issues
grossprofit_margin can be null for financial firms.
Notes
Uses fina_indicator grossprofit_margin as the source rather than reconstructing from income statement line items.
See also: Profitability family, Factor library, Factor returns.