Leverage
10 factors in this family
Leverage
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| CurrentRatio | Current Ratio | lower_expected_return | -0.24 | -0.98 | 48.7% | 0.50 | 193 |
| DebtToAssets | Debt-to-Assets | higher_expected_return | -0.27 | -1.06 | 48.2% | 0.46 | 193 |
| DebtToEquity | Debt-to-Equity | higher_expected_return | -0.29 | -1.15 | 48.7% | 0.43 | 193 |
| Leverage | Financial Leverage | higher_expected_return | -0.30 | -1.22 | 47.7% | 0.41 | 193 |
| NetDebtToAssets | Net Debt / Assets | higher_expected_return | -0.33 | -1.33 | 45.1% | 0.43 | 193 |
| NetWorkingCapital | Net Working Capital / Assets | lower_expected_return | -0.30 | -1.20 | 44.6% | 0.56 | 193 |
| OCFtoDebt | Operating CF / Debt | higher_expected_return | 0.11 | 0.45 | 56.0% | 1.10 | 193 |
| OPLeverage | Operating Leverage | higher_expected_return | 0.68 | 2.73 | 57.0% | 2.01 | 193 |
| QuickRatio | Quick Ratio | lower_expected_return | -0.23 | -0.91 | 46.6% | 0.49 | 193 |
| tang | Asset Tangibility | higher_expected_return | 0.35 | 1.41 | 54.4% | 1.86 | 193 |
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