Investment
4 factors in this family
Investment
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| AssetGrowth | Asset Growth | lower_expected_return | 0.07 | 0.28 | 51.9% | 1.03 | 181 |
| AssetsYoY | Total Assets Growth | lower_expected_return | -0.03 | -0.11 | 51.3% | 0.91 | 193 |
| BPSyoy | Book Value Growth | lower_expected_return | -0.09 | -0.36 | 48.7% | 0.82 | 193 |
| InvestCapRatio | Invested Capital / Assets | lower_expected_return | 0.08 | 0.30 | 52.3% | 1.05 | 193 |
Back to Factor library · Factor returns.