Liquidity
14 factors in this family
Liquidity
Cumulative returns (small multiples)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| ATR | Abnormal Turnover Ratio | lower_expected_return | 1.14 | 4.45 | 70.1% | 7.47 | 184 |
| BidAskSpread | Bid-Ask Spread (Corwin-Schulz) | higher_expected_return | -0.49 | -1.98 | 43.6% | 0.30 | 195 |
| DolVol | Dollar Volume | lower_expected_return | 1.53 | 6.17 | 70.8% | 43.71 | 195 |
| IlliqAmihud | Amihud Illiquidity | higher_expected_return | 1.38 | 5.57 | 69.2% | 30.85 | 195 |
| MarginNetBalance | Margin Net Balance | higher_expected_return | -0.11 | -0.18 | 45.7% | 0.93 | 35 |
| NorthboundRatio | Northbound Holding Ratio | higher_expected_return | -0.19 | -0.25 | 45.0% | 0.94 | 20 |
| ShortRatio | Short Selling Ratio | lower_expected_return | 1.48 | 2.53 | 80.0% | 1.59 | 35 |
| StdTurn | Turnover Volatility | lower_expected_return | 0.21 | 0.83 | 54.3% | 1.38 | 184 |
| Turnover | Share Turnover | lower_expected_return | 0.65 | 2.60 | 60.0% | 4.94 | 195 |
| VolMkt | Volume-to-Market-Cap | lower_expected_return | 0.17 | 0.65 | 53.8% | 1.23 | 184 |
| VolumeTrend | Volume Trend | lower_expected_return | 0.62 | 2.41 | 65.8% | 2.64 | 184 |
| ZeroTrade12M | Zero-Trade Days (12M) | higher_expected_return | -0.32 | -1.26 | 48.9% | 0.88 | 184 |
| ZeroTrade1M | Zero-Trade Days (1M) | higher_expected_return | -0.06 | -0.23 | 50.3% | 0.97 | 195 |
| ZeroTrade6M | Zero-Trade Days (6M) | higher_expected_return | -0.07 | -0.28 | 49.5% | 0.97 | 190 |
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