Value
4 factors in this family
Value
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| BM | Book-to-Market | higher_expected_return | 0.22 | 0.90 | 48.7% | 1.47 | 193 |
| CFP | Cash-Flow-to-Price | higher_expected_return | 0.18 | 0.72 | 53.9% | 1.21 | 193 |
| EP | Earnings-to-Price | higher_expected_return | 0.28 | 1.12 | 52.8% | 1.64 | 193 |
| SP | Sales-to-Price | higher_expected_return | 0.29 | 1.17 | 53.9% | 1.72 | 193 |
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