ROEyoy
ROE Year-over-Year Change — Haugen and Baker 1996
Profitability
Quick facts
| Factor ID | ROEyoy |
| Display name | ROE Year-over-Year Change |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Haugen and Baker 1996 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 643,510 rows · 93.9% of panel |
Formula
roe_yoy / 100
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.7351% |
| Monthly std | 2.3499% |
| Annualized Sharpe | 1.08 |
| t-stat (simple) | 4.35 |
| Hit rate (months > 0) | 63.7% |
| Last 12M compounded | 12.95% |
| Cumulative wealth (start = 1) | 3.902 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +1.04% | 3.490 | 5038 |
| 2025-06 | +1.97% | 3.559 | 5041 |
| 2025-07 | +3.05% | 3.668 | 5041 |
| 2025-08 | -0.16% | 3.662 | 5094 |
| 2025-09 | -0.74% | 3.635 | 5104 |
| 2025-10 | -2.67% | 3.538 | 5072 |
| 2025-11 | +4.42% | 3.694 | 5071 |
| 2025-12 | +3.82% | 3.836 | 5077 |
| 2026-01 | +0.25% | 3.845 | 5073 |
| 2026-02 | -0.97% | 3.808 | 5074 |
| 2026-03 | +1.73% | 3.873 | 5082 |
| 2026-04 | +0.74% | 3.902 | 5089 |
Known data issues
None recorded.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.