ROA
Return on Assets — Haugen and Baker 1996
Profitability
Quick facts
| Factor ID | ROA |
| Display name | Return on Assets |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Haugen and Baker 1996 |
| Source tables | income;balancesheet |
| Required fields | net_profit;total_assets |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,701 rows · 99.1% of panel |
Formula
net_profit / total_assets
Net income divided by total assets using point-in-time statements.
China adaptation
Use latest announced balance-sheet assets and income statement net income.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.3050% |
| Monthly std | 3.8933% |
| Annualized Sharpe | 0.27 |
| t-stat (simple) | 1.09 |
| Hit rate (months > 0) | 53.4% |
| Last 12M compounded | -4.83% |
| Cumulative wealth (start = 1) | 1.557 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.94% | 1.588 | 5134 |
| 2025-06 | -0.67% | 1.577 | 5145 |
| 2025-07 | +2.01% | 1.609 | 5147 |
| 2025-08 | +0.92% | 1.623 | 5150 |
| 2025-09 | -2.87% | 1.577 | 5157 |
| 2025-10 | -5.44% | 1.491 | 5163 |
| 2025-11 | +5.51% | 1.573 | 5168 |
| 2025-12 | +2.14% | 1.607 | 5182 |
| 2026-01 | -2.16% | 1.572 | 5181 |
| 2026-02 | -0.99% | 1.557 | 5186 |
| 2026-03 | -0.14% | 1.554 | 5188 |
| 2026-04 | +0.14% | 1.557 | 5185 |
Known data issues
Tiny reported assets create extreme values and need production filters.
Notes
Current implementation is a simple latest-statement ratio.
See also: Profitability family, Factor library, Factor returns.