Earnings Quality
7 factors in this family
Earnings Quality
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| Accruals | Accruals | lower_expected_return | 0.14 | 0.54 | 52.8% | 1.13 | 193 |
| EarningsSurprise | Standardized Unexpected Earnings | higher_expected_return | 0.55 | 2.00 | 59.7% | 1.72 | 159 |
| ForecastGrowth | Forecast Profit Growth | higher_expected_return | -0.14 | -0.45 | 53.4% | 0.25 | 133 |
| ForecastSentiment | Earnings Forecast Sentiment | higher_expected_return | 0.87 | 2.97 | 61.7% | 58.32 | 141 |
| OCFPS | Operating CF Per Share | higher_expected_return | 0.14 | 0.55 | 56.0% | 1.14 | 193 |
| OCFtoProfit | Cash Flow to Profit | higher_expected_return | 0.29 | 1.16 | 56.5% | 1.31 | 193 |
| OCFtoSales | Operating CF / Sales | higher_expected_return | 0.16 | 0.65 | 53.9% | 1.16 | 193 |
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