Multi-Factor Analysis | Global Factor Data

Factors to Watch

Below is a list of top performing capped value weighted factors in US over the last year.
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Ranking	Factor	Sharpe Ratio
1	Asset turnover	2.69
2	Operating leverage	2.06
3	Change sales minus change SG&A	1.99
4	Abnormal corporate investment	1.99
5	Tax expense surprise	1.81

Location

Weighting

Time Period

Ranking	Factor	Average Returns (Ann. %)	Volatility (Ann. %)	Sharpe Ratio	Info. Ratio	Alpha (Ann. %)	Beta
1	Assets turnover	0.12	0.04	2.68	2.91	-0.04	0.01
2	Operating leverage	0.11	0.05	2.05	1.75	0.11	0.01
3	Change sales minus change SG&A	0.06	0.03	1.99	2.53	-0.06	0.01
4	Abnormal corporate investment	0.07	0.04	1.99	2.00	-0.00	0.00
5	Tax expense surprise	0.06	0.03	1.81	1.76	0.01	0.00
6	Altman Z-score	0.08	0.06	1.33	1.62	-0.08	0.01
7	Years 16-20 lagged returns- annual	0.08	0.06	1.32	1.56	-0.07	0.01
8	Gross profits-to-lagged assets	0.13	0.10	1.32	1.28	0.02	0.01
9	Years 2-5 lagged returns- annual	0.14	0.11	1.29	1.05	0.14	0.01
10	Gross profits-to-assets	0.12	0.10	1.27	1.26	0.00	0.01

Compare the cumulative performance of different factor strategies across regions, themes, and weighting schemes. Select multiple combinations from the dropdowns below to visualize how various factor approaches have performed over time, with interactive time range controls and detailed performance tables.

For individual factor analysis, visit our detailed performance breakdown.

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Raw returns Market-adjusted returns