Below is a list of top-performing Capped Value Weighted factors in the US over the last year.
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Ranking
Factor
Sharpe Ratio
Factors to Watch - Advanced Filters
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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.
Choose from the list of153 characteristics in “Is There a Replication Crisis in Finance?”, Journal of Finance (2023)
Select multiple characteristics to compare their performance over time.
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Altman Z-score
Amihud Measure
Asset growth
Asset tangibility
Asset turnover
Assets-to-market
Book leverage
Book-to-market enterprise value
Book-to-market equity
CAPEX growth (1 year)
CAPEX growth (2 years)
CAPEX growth (3 years)
Capital turnover
Cash flow volatility
Cash-based operating profits-to-book assets
Cash-based operating profits-to-lagged book assets
Cash-to-assets
Change gross margin minus change sales
Change in common equity
Change in current operating assets
Change in current operating liabilities
Change in current operating working capital
Change in financial liabilities
Change in long-term investments
Change in long-term net operating assets
Change in net financial assets
Change in net noncurrent operating assets
Change in net operating assets
Change in noncurrent operating assets
Change in noncurrent operating liabilities
Change in operating cash flow to assets
Change in quarterly return on assets
Change in quarterly return on equity
Change in short-term investments
Change PPE and inventory
Change sales minus change inventory
Change sales minus change receivables
Change sales minus change SG&A
Coefficient of variation for dollar trading volume
Coefficient of variation for share turnover
Coskewness
Current price to high price over last year
Debt-to-market
Dimson beta
Dividend yield
Dollar trading volume
Downside beta
Earnings persistence
Earnings variability
Earnings volatility
Earnings-to-price
EBITDA-to-market enterprise value
Equity duration
Equity net payout
Firm age
Frazzini-Pedersen market beta
Free cash flow-to-price
Gross profits-to-assets
Gross profits-to-lagged assets
Growth in book debt (3 years)
Highest 5 days of return
Highest 5 days of return scaled by volatility
Hiring rate
Idiosyncratic skewness from the CAPM
Idiosyncratic skewness from the Fama-French 3-factor model
Idiosyncratic skewness from the q-factor model
Idiosyncratic volatility from the CAPM (21 days)
Idiosyncratic volatility from the CAPM (252 days)
Idiosyncratic volatility from the Fama-French 3-factor model
Idiosyncratic volatility from the q-factor model
Intrinsic value-to-market
Inventory change
Inventory growth
Kaplan-Zingales index
Labor force efficiency
Liquidity of book assets
Liquidity of market assets
Long-term reversal
Market beta
Market correlation
Market equity
Maximum daily return
Mispricing factor: Management
Mispricing factor: Performance
Net debt issuance
Net debt-to-price
Net equity issuance
Net operating assets
Net payout yield
Net stock issues
Net total issuance
Number of consecutive quarters with earnings increases
Number of zero trades with turnover as tiebreaker (1 month)
Number of zero trades with turnover as tiebreaker (12 months)
Number of zero trades with turnover as tiebreaker (6 months)