NetProfitYoY
Net Profit Growth YoY — Chan Jegadeesh and Lakonishok 1996
Profitability
Quick facts
| Factor ID | NetProfitYoY |
| Display name | Net Profit Growth YoY |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Chan Jegadeesh and Lakonishok 1996 |
| Source tables | fina_indicator |
| Required fields | netprofit_yoy |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 677,447 rows · 98.9% of panel |
Formula
netprofit_yoy / 100
Year-over-year net profit growth rate from fina_indicator.
China adaptation
Uses Tushare fina_indicator netprofit_yoy directly.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.6955% |
| Monthly std | 2.4492% |
| Annualized Sharpe | 0.98 |
| t-stat (simple) | 3.94 |
| Hit rate (months > 0) | 63.7% |
| Last 12M compounded | 13.39% |
| Cumulative wealth (start = 1) | 3.600 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +1.00% | 3.207 | 5129 |
| 2025-06 | +1.68% | 3.260 | 5139 |
| 2025-07 | +3.88% | 3.387 | 5140 |
| 2025-08 | +0.74% | 3.412 | 5148 |
| 2025-09 | -0.81% | 3.384 | 5156 |
| 2025-10 | -2.86% | 3.287 | 5161 |
| 2025-11 | +4.02% | 3.420 | 5164 |
| 2025-12 | +4.18% | 3.562 | 5177 |
| 2026-01 | -0.20% | 3.555 | 5176 |
| 2026-02 | -1.23% | 3.511 | 5180 |
| 2026-03 | +1.58% | 3.567 | 5180 |
| 2026-04 | +0.92% | 3.600 | 5183 |
Known data issues
Extreme YoY values from base effects (near-zero prior year profit) need winsorization.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.