Sales-to-price

✓ alive

SPValue· Accounting data

Ratio of annual sales (sale) to market value of equity.

IS Sharpe (1951–1995)

0.770

+8.6% p.a.

OOS Sharpe (1996–2024)

0.640

+11.1% p.a.

Sharpe decay

+16.9%

(IS − OOS) / |IS|

IS vol

11.2%

annualized

Cumulative return (last 40 years, monthly)

+5159%

1984-012024-12

Publication details

AuthorsBarbee, Mukherji and Raines

PaperBarbee, Mukherji and Raines (1996)

JournalFinancial Analysts Journal

Publication year1996

Original sample1979–1991

IS T-statistic2.52