SP
Sales-to-Price — Lakonishok Shleifer and Vishny 1994
Value
Quick facts
| Factor ID | SP |
| Display name | Sales-to-Price |
| Family | Predictor |
| Category | Value |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Lakonishok Shleifer and Vishny 1994 |
| Source tables | income;daily_basic |
| Required fields | revenue;mkt_cap_cmp |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 679,288 rows · 99.2% of panel |
Formula
revenue / mkt_cap_cmp
Operating revenue scaled by total market capitalization with point-in-time financial availability.
China adaptation
Prefer trailing twelve month revenue once quarterly PIT stitching is stable.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.3837% |
| Monthly std | 4.5515% |
| Annualized Sharpe | 0.29 |
| t-stat (simple) | 1.17 |
| Hit rate (months > 0) | 53.9% |
| Last 12M compounded | -14.38% |
| Cumulative wealth (start = 1) | 1.723 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -4.49% | 1.922 | 5133 |
| 2025-06 | -1.33% | 1.896 | 5144 |
| 2025-07 | -4.51% | 1.811 | 5146 |
| 2025-08 | +2.01% | 1.847 | 5150 |
| 2025-09 | +3.37% | 1.909 | 5157 |
| 2025-10 | +0.31% | 1.915 | 5162 |
| 2025-11 | -0.90% | 1.898 | 5167 |
| 2025-12 | +0.69% | 1.911 | 5181 |
| 2026-01 | +0.10% | 1.913 | 5180 |
| 2026-02 | +2.65% | 1.964 | 5185 |
| 2026-03 | -6.14% | 1.843 | 5187 |
| 2026-04 | -6.54% | 1.723 | 5184 |
Known data issues
Current implementation uses latest reported revenue and can have small-denominator tails.
Notes
Useful as a simple valuation proxy for A-shares.
See also: Value family, Factor library, Factor returns.