Cash flow to market

⚠ weakened

CFValue· Accounting data

Net income (ib) plus depreciation (dp) divided by market equity. Exclude NASDAQ stocks.

A recomputed, out-of-sample-scored replication of this factor is available — verdict dormant, OOS Sharpe -0.06.

IS Sharpe (1951–1993)

0.449

+5.5% p.a.

OOS Sharpe (1994–2024)

0.240

+4.5% p.a.

Sharpe decay

+46.5%

(IS − OOS) / |IS|

IS vol

12.3%

annualized

Cumulative return (last 40 years, monthly)

+351%

1984-012024-12

Publication details

AuthorsLakonishok, Shleifer, Vishny

PaperLakonishok, Shleifer, Vishny (1994)

JournalJournal of Finance

Publication year1994

Original sample1968–1990

IS T-statistic3.38