Profitability

20 factors in this family

Profitability

Cumulative returns (small multiples)

ARturnover Sharpe -0.20 · 0.55×
AssetsTurnover Sharpe 0.58 · 1.98×
ChAssetTurnover Sharpe 0.57 · 1.55×
EBITDAmargin Sharpe -0.03 · 0.54×
EBITtoAssets Sharpe 0.15 · 1.20×
EPSgrowth Sharpe 1.06 · 3.85×
FCFFtoAssets Sharpe 0.18 · 1.18×
GP Sharpe 0.53 · 2.56×
InvTurnover Sharpe -0.06 · 0.90×
NetProfitYoY Sharpe 0.98 · 3.60×
OperProf Sharpe 0.63 · 2.04×
ROA Sharpe 0.27 · 1.56×
ROE Sharpe 0.21 · 1.37×
ROEyoy Sharpe 1.08 · 3.90×
ROIC Sharpe 0.14 · 1.16×
RevenueYoY Sharpe 0.85 · 3.36×
SalesGrowth Sharpe 1.16 · 4.66×
TurnDays Sharpe -0.09 · 0.82×
qROE Sharpe 0.48 · 2.38×
roaq Sharpe 0.12 · 1.13×

Members

Factor Name Direction Sharpe t-stat Hit rate Cumulative Months
ARturnover Accounts Receivable Turnover higher_expected_return -0.20 -0.82 49.2% 0.55 193
AssetsTurnover Asset Turnover higher_expected_return 0.58 2.35 57.0% 1.98 193
ChAssetTurnover Change in Asset Turnover higher_expected_return 0.57 2.21 56.9% 1.55 181
EBITDAmargin EBITDA Margin higher_expected_return -0.03 -0.11 49.2% 0.54 128
EBITtoAssets EBIT/Assets higher_expected_return 0.15 0.61 49.7% 1.20 193
EPSgrowth EPS Year-over-Year Growth higher_expected_return 1.06 4.25 60.6% 3.85 193
FCFFtoAssets Free Cash Flow / Assets higher_expected_return 0.18 0.71 54.9% 1.18 193
GP Gross Profitability higher_expected_return 0.53 2.11 58.0% 2.56 193
InvTurnover Inventory Turnover higher_expected_return -0.06 -0.23 52.3% 0.90 193
NetProfitYoY Net Profit Growth YoY higher_expected_return 0.98 3.94 63.7% 3.60 193
OperProf Operating Profitability Proxy higher_expected_return 0.63 2.53 59.1% 2.04 193
ROA Return on Assets higher_expected_return 0.27 1.09 53.4% 1.56 193
ROE Return on Equity higher_expected_return 0.21 0.86 49.7% 1.37 193
ROEyoy ROE Year-over-Year Change higher_expected_return 1.08 4.35 63.7% 3.90 193
ROIC Return on Invested Capital higher_expected_return 0.14 0.54 49.7% 1.16 193
RevenueYoY Revenue Growth YoY higher_expected_return 0.85 3.42 60.6% 3.36 193
SalesGrowth Quarterly Sales Growth higher_expected_return 1.16 4.65 65.8% 4.66 193
TurnDays Cash Conversion Cycle lower_expected_return -0.09 -0.35 48.2% 0.82 193
qROE Single-Quarter ROE higher_expected_return 0.48 1.92 53.9% 2.38 193
roaq Quarterly ROA higher_expected_return 0.12 0.50 49.7% 1.13 193

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