| Ranking | Factor | Mean Return | Volatility | Sharpe Ratio | Information Ratio | Beta | Alpha |
| 1 | Assets 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 |