Accruals
↓ fadedAccrualsQuality· Accounting data
Annual change in current total assets (act) minus annual change in cash and short-term investements (che) minus annual change in current liabilities (lct) minus annual change in debt in current liabilities (dlc) minus change in income taxes (txp). All divided by average total assets (at) over this year and last year. Exclude if abs(prc) < 5.
A recomputed, out-of-sample-scored replication of this factor is available — verdict decayed, OOS Sharpe 0.23.
IS Sharpe (1952–1995)
1.068
+6.9% p.a.
OOS Sharpe (1996–2024)
0.185
+1.2% p.a.
Sharpe decay
+82.7%
(IS − OOS) / |IS|
IS vol
6.4%
annualized
Cumulative return (last 40 years, monthly)
+186%1984-012024-12
Publication details
AuthorsSloan
PaperSloan (1996)
JournalAccounting Review
Publication year1996
Original sample1962–1991
IS T-statistic4.71
More Quality anomalies
gross profits / total assets+0.81Percent Total Accruals+0.79Return on assets (qtrly)+0.74Change in order backlog+0.74Mohanram G-score+0.58operating profits / book equity+0.55
See all Quality anomalies →