gross profits / total assets

✓ alive

GPQuality· Accounting data

Revenue (sale) - cost of goods solds (cogs), divided by total assets (at). Drop if financial.

A recomputed, out-of-sample-scored replication of this factor is available — verdict decayed, OOS Sharpe 0.24.

IS Sharpe (1951–2012)

0.407

+4.1% p.a.

OOS Sharpe (2013–2024)

0.813

+12.0% p.a.

Sharpe decay

-99.8%

(IS − OOS) / |IS|

IS vol

10.0%

annualized

Cumulative return (last 40 years, monthly)

+1058%

1984-012024-12

Publication details

AuthorsNovy-Marx

PaperNovy-Marx (2013)

JournalJournal of Financial Economics

Publication year2013

Original sample1963–2010

IS T-statistic2.49