ROIC
Return on Invested Capital — Brown and Rowe 2007
Profitability
Quick facts
| Factor ID | ROIC |
| Display name | Return on Invested Capital |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Brown and Rowe 2007 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 664,893 rows · 97.1% of panel |
Formula
roic / 100
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.1483% |
| Monthly std | 3.7962% |
| Annualized Sharpe | 0.14 |
| t-stat (simple) | 0.54 |
| Hit rate (months > 0) | 49.7% |
| Last 12M compounded | -5.21% |
| Cumulative wealth (start = 1) | 1.160 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -3.02% | 1.186 | 5034 |
| 2025-06 | -0.82% | 1.177 | 5045 |
| 2025-07 | +1.77% | 1.197 | 5047 |
| 2025-08 | +1.92% | 1.220 | 5050 |
| 2025-09 | -2.63% | 1.188 | 5057 |
| 2025-10 | -5.51% | 1.123 | 5063 |
| 2025-11 | +5.56% | 1.185 | 5068 |
| 2025-12 | +1.46% | 1.202 | 5082 |
| 2026-01 | -1.63% | 1.183 | 5081 |
| 2026-02 | -0.73% | 1.174 | 5086 |
| 2026-03 | -0.82% | 1.165 | 5087 |
| 2026-04 | -0.43% | 1.160 | 5082 |
Known data issues
None recorded.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.