Global Factor Data
Global Factor Data
Global Factor Data
Global Factor Data

All the statistics on this page are annualized and the ranking of factors is based on Sharpe ratio.

Ranking Factor Average Returns Volatility Sharpe Ratio Info. Ratio Beta Alpha
1 Asset turnover 0.1226 0.0456 2.6886 2.9173 -0.0453 0.011
2 Operating leverage 0.112 0.0545 2.055 1.7536 0.1103 0.0075
3 Abnormal corporate investment 0.0569 0.0286 1.9895 2.5271 -0.059 0.0057
4 Change sales minus change SG&A 0.0718 0.0361 1.9889 2.0012 -0.002 0.006
5 Tax expense surprise 0.0557 0.0307 1.8143 1.7654 0.0081 0.0045
6 Altman Z-score 0.0827 0.0622 1.3296 1.6207 -0.0813 0.0082
7 Years 16-20 lagged returns, annual 0.0784 0.0594 1.3199 1.5594 -0.0656 0.0076
8 Gross profits-to-lagged assets 0.1339 0.1018 1.3153 1.2758 0.0209 0.0108
9 Years 2-5 lagged returns, annual 0.1422 0.1102 1.2904 1.0547 0.1466 0.0095
10 Gross profits-to-assets 0.124 0.0974 1.2731 1.2664 0.0032 0.0103