ROE
Return on Equity — Haugen and Baker 1996
Profitability
Quick facts
| Factor ID | ROE |
| Display name | Return on Equity |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Haugen and Baker 1996 |
| Source tables | income;balancesheet |
| Required fields | net_profit;total_equity |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 678,690 rows · 99.1% of panel |
Formula
net_profit / total_equity
Net income divided by book equity using point-in-time statements.
China adaptation
Use latest announced financial statement and guard against non-positive equity in analysis code.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.2341% |
| Monthly std | 3.7946% |
| Annualized Sharpe | 0.21 |
| t-stat (simple) | 0.86 |
| Hit rate (months > 0) | 49.7% |
| Last 12M compounded | -3.38% |
| Cumulative wealth (start = 1) | 1.369 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -3.19% | 1.371 | 5134 |
| 2025-06 | -0.93% | 1.359 | 5145 |
| 2025-07 | +1.77% | 1.383 | 5147 |
| 2025-08 | +1.94% | 1.409 | 5150 |
| 2025-09 | -2.40% | 1.376 | 5157 |
| 2025-10 | -4.74% | 1.310 | 5163 |
| 2025-11 | +4.67% | 1.371 | 5168 |
| 2025-12 | +1.42% | 1.391 | 5182 |
| 2026-01 | -1.36% | 1.372 | 5181 |
| 2026-02 | +0.10% | 1.374 | 5186 |
| 2026-03 | -0.45% | 1.367 | 5187 |
| 2026-04 | +0.09% | 1.369 | 5185 |
Known data issues
Tiny or negative equity creates extreme values and needs production filters.
Notes
Current implementation is a simple latest-statement ratio.
See also: Profitability family, Factor library, Factor returns.