qROE
Single-Quarter ROE — Hou Xue and Zhang 2015
Profitability
Quick facts
| Factor ID | qROE |
| Display name | Single-Quarter ROE |
| Family | Predictor |
| Category | Profitability |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Hou Xue and Zhang 2015 |
| Source tables | — |
| Required fields | — |
| PIT required | yes |
| Coverage | 2010-04-27 – 2026-05-15 · 674,112 rows · 98.4% of panel |
Formula
q_roe / 100
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 193 |
| Monthly mean | 0.5197% |
| Monthly std | 3.7664% |
| Annualized Sharpe | 0.48 |
| t-stat (simple) | 1.92 |
| Hit rate (months > 0) | 53.9% |
| Last 12M compounded | 0.41% |
| Cumulative wealth (start = 1) | 2.377 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.90% | 2.298 | 5108 |
| 2025-06 | -0.85% | 2.279 | 5117 |
| 2025-07 | +1.85% | 2.321 | 5121 |
| 2025-08 | +2.58% | 2.381 | 5120 |
| 2025-09 | -2.34% | 2.325 | 5125 |
| 2025-10 | -5.00% | 2.209 | 5124 |
| 2025-11 | +5.44% | 2.329 | 5129 |
| 2025-12 | +2.03% | 2.376 | 5137 |
| 2026-01 | -1.32% | 2.345 | 5137 |
| 2026-02 | -0.47% | 2.334 | 5141 |
| 2026-03 | +1.74% | 2.375 | 5144 |
| 2026-04 | +0.08% | 2.377 | 5160 |
Known data issues
None recorded.
Notes
None recorded.
See also: Profitability family, Factor library, Factor returns.