NetDebtToAssets
Net Debt / Assets — Penman Richardson and Tuna 2007
Leverage
Quick facts
| Factor ID | NetDebtToAssets |
| Display name | Net Debt / Assets |
| Family | Predictor |
| Category | Leverage |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Penman Richardson and Tuna 2007 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 664,992 rows · 97.1% of panel |
Formula
netdebt / total_assets
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | -0.3672% |
| Monthly std | 3.8284% |
| Annualized Sharpe | -0.33 |
| t-stat (simple) | -1.33 |
| Hit rate (months > 0) | 45.1% |
| Last 12M compounded | 2.40% |
| Cumulative wealth (start = 1) | 0.426 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.80% | 0.408 | 5027 |
| 2025-06 | -0.59% | 0.406 | 5037 |
| 2025-07 | -0.64% | 0.403 | 5038 |
| 2025-08 | +1.77% | 0.411 | 5050 |
| 2025-09 | +1.88% | 0.418 | 5057 |
| 2025-10 | +0.27% | 0.419 | 5063 |
| 2025-11 | -1.34% | 0.414 | 5067 |
| 2025-12 | -0.63% | 0.411 | 5080 |
| 2026-01 | +2.37% | 0.421 | 5079 |
| 2026-02 | +1.98% | 0.429 | 5084 |
| 2026-03 | -0.24% | 0.428 | 5085 |
| 2026-04 | -0.53% | 0.426 | 5083 |
Known data issues
None recorded.
Notes
None recorded.
See also: Leverage family, Factor library, Factor returns.