Return on assets (qtrly)

✓ alive

roaqQuality· Accounting data

Quarterly net income (ibq) divided by lagged total assets (atq).

IS Sharpe (1966–2009)

0.747

+15.0% p.a.

OOS Sharpe (2010–2024)

0.737

+14.2% p.a.

Sharpe decay

+1.3%

(IS − OOS) / |IS|

IS vol

20.0%

annualized

Cumulative return (last 40 years, monthly)

+55207%

1984-012024-12

Publication details

AuthorsBalakrishnan, Bartov and Faurel

PaperBalakrishnan, Bartov and Faurel (2010)

JournalJournal of Accounting and Economics

Publication year2010

Original sample1976–2005

IS T-statistic6.45