InvestCapRatio
Invested Capital / Assets — Titman Wei and Xie 2004
Investment
Quick facts
| Factor ID | InvestCapRatio |
| Display name | Invested Capital / Assets |
| Family | Predictor |
| Category | Investment |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Titman Wei and Xie 2004 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 665,018 rows · 97.1% of panel |
Formula
invest_capital / total_assets
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.0501% |
| Monthly std | 2.2919% |
| Annualized Sharpe | 0.08 |
| t-stat (simple) | 0.30 |
| Hit rate (months > 0) | 52.3% |
| Last 12M compounded | -4.27% |
| Cumulative wealth (start = 1) | 1.047 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -0.92% | 1.084 | 5027 |
| 2025-06 | -0.90% | 1.074 | 5037 |
| 2025-07 | -0.43% | 1.070 | 5038 |
| 2025-08 | +1.16% | 1.082 | 5050 |
| 2025-09 | +0.90% | 1.092 | 5057 |
| 2025-10 | +0.54% | 1.098 | 5063 |
| 2025-11 | -0.62% | 1.091 | 5067 |
| 2025-12 | -1.74% | 1.072 | 5080 |
| 2026-01 | +1.84% | 1.092 | 5079 |
| 2026-02 | +0.56% | 1.098 | 5084 |
| 2026-03 | -3.99% | 1.054 | 5085 |
| 2026-04 | -0.63% | 1.047 | 5083 |
Known data issues
None recorded.
Notes
None recorded.
See also: Investment family, Factor library, Factor returns.