OperProf
Operating Profitability Proxy — Novy-Marx 2013
Profitability
Quick facts
| Factor ID | OperProf |
| Display name | Operating Profitability Proxy |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Novy-Marx 2013 |
| Source tables | income;balancesheet |
| Required fields | revenue;total_assets |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,386 rows · 99.0% of panel |
Formula
revenue / total_assets
Revenue divided by total assets as a bootstrap operating activity proxy.
China adaptation
Use as a temporary A-share profitability proxy until gross profit and operating cost fields are validated.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.3932% |
| Monthly std | 2.1569% |
| Annualized Sharpe | 0.63 |
| t-stat (simple) | 2.53 |
| Hit rate (months > 0) | 59.1% |
| Last 12M compounded | 2.79% |
| Cumulative wealth (start = 1) | 2.041 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.73% | 1.951 | 5133 |
| 2025-06 | -0.36% | 1.944 | 5144 |
| 2025-07 | +2.16% | 1.986 | 5146 |
| 2025-08 | +0.80% | 2.002 | 5150 |
| 2025-09 | -0.98% | 1.983 | 5157 |
| 2025-10 | -1.43% | 1.954 | 5162 |
| 2025-11 | +2.46% | 2.002 | 5167 |
| 2025-12 | +2.58% | 2.054 | 5181 |
| 2026-01 | +0.18% | 2.058 | 5180 |
| 2026-02 | -2.28% | 2.011 | 5185 |
| 2026-03 | +1.77% | 2.046 | 5187 |
| 2026-04 | -0.27% | 2.041 | 5184 |
Known data issues
Current proxy uses revenue over assets and can be industry-level noisy.
Notes
This is not the exact Novy-Marx gross profitability measure.
See also: Profitability family, Factor library, Factor returns.