Which anomalies still pay today?
Returns to anomaly portfolios trading quant signals persist, decay, and sometimes revive. Our Bayesian forecasting methodology tracks these trends for every signal in the Open Source Asset Pricing library and is proven to predict performance out of sample (Altı, Johnson, and Titman 2026 JFQA).
- Signals
- 212
- Categories
- 35
- Data through
- 2024Q4
- Forecasts from
- 2026Q41–5 yrs
Highest expected return, next year
Posterior mean, % per year, 2026Q4–2027Q3 ·
value-weighted deciles, market-adjusted
- 01FirmAgeMomFirm Age - Momentum25.32%Hist. 21.94% 5-yr 23.44%
- 02Mom12mMomentum (12 month)22.55%Hist. 22.95% 5-yr 22.10%
- 03Mom6mMomentum (6 month)22.45%Hist. 18.69% 5-yr 20.68%
- 04Mom6mJunkJunk Stock Momentum18.16%Hist. 18.20% 5-yr 17.52%
- 05IntMomIntermediate Momentum17.49%Hist. 17.94% 5-yr 17.10%
All 212 signals
212 of 212
| AbnormalAccruals | Abnormal Accruals | Xie (2001) AR | 1972–2024 | 3.82% | 2.35% | 2.53% | |
| Accruals | Accruals | Sloan (1996) AR | 1952–2024 | 5.89% | 4.46% | 4.60% | |
| AccrualsBM † | Book-to-market and accruals | Bartov and Kim (2004) RFQA | 1964–2024 | 17.16% | 14.11% | 14.13% | |
| Activism1 | Takeover vulnerability | Cremers and Nair (2005) JF | 1990–2006 | 0.82% | 0.37% | 0.38% | |
| Activism2 | Active shareholders | Cremers and Nair (2005) JF | 1990–2006 | 13.30% | 7.53% | 7.47% | |
| AdExp | Advertising Expense | Chan, Lakonishok and Sougiannis (2001) JF | 1964–2024 | 5.16% | 3.02% | 3.33% | |
| AgeIPO | IPO and age | Ritter (1991) JF | 1981–2024 | 12.90% | 10.58% | 10.17% | |
| AM | Total assets to market | Fama and French (1992) JF | 1951–2024 | 2.05% | 1.19% | 1.31% | |
| AnalystRevision | EPS forecast revision | Hawkins, Chamberlin, Daniel (1984) FAJ | 1976–2024 | 5.74% | 6.12% | 5.64% | |
| AnalystValue | Analyst Value | Frankel and Lee (1998) JAE | 1976–2024 | 6.24% | 5.56% | 5.39% | |
| AnnouncementReturn | Earnings announcement return | Chan, Jegadeesh and Lakonishok (1996) JF | 1971–2024 | 14.19% | 11.32% | 11.08% | |
| AOP | Analyst Optimism | Frankel and Lee (1998) JAE | 1976–2024 | 3.52% | 2.40% | 2.50% | |
| AssetGrowth | Asset growth | Cooper, Gulen and Schill (2008) JF | 1952–2024 | 5.47% | 1.47% | 2.12% | |
| Beta | CAPM beta | Fama and MacBeth (1973) JPE | 1928–2024 | −7.75% | −5.92% | −6.23% | |
| BetaFP | Frazzini-Pedersen Beta | Frazzini and Pedersen (2014) JFE | 1928–2024 | −8.37% | −4.64% | −5.32% | |
| BetaLiquidityPS | Pastor-Stambaugh liquidity beta | Pastor and Stambaugh (2003) JPE | 1963–2024 | 2.16% | 0.31% | 0.46% | |
| BetaTailRisk | Tail risk beta | Kelly and Jiang (2014) RFS | 1932–2024 | −0.66% | 5.64% | 4.10% | |
| betaVIX | Systematic volatility | Ang et al. (2006) JF | 1986–2024 | 10.02% | 9.65% | 9.15% | |
| BidAskSpread | Bid-ask spread | Amihud and Mendelson (1986) JFE | 1926–2024 | −9.58% | −21.76% | −18.49% | |
| BM | Book to market, original (Stattman 1980) | Stattman (1980) | 1951–2024 | 5.47% | 5.12% | 4.94% | |
| BMdec | Book to market using December ME | Fama and French (1992) JF | 1952–2024 | 3.93% | 1.03% | 1.44% | |
| BookLeverage | Book leverage (annual) | Fama and French (1992) JF | 1951–2024 | −2.49% | −2.70% | −2.55% | |
| BPEBM | Leverage component of BM | Penman, Richardson and Tuna (2007) JAR | 1962–2024 | 0.51% | 0.45% | 0.45% | |
| BrandInvest | Brand capital investment | Belo, Lin and Vitorino (2014) RED | 1965–2024 | −4.11% | −5.09% | −4.78% | |
| Cash | Cash to assets | Palazzo (2012) JFE | 1971–2024 | 0.67% | 0.57% | 0.56% | |
| CashProd | Cash Productivity | Chandrashekar and Rao (2009) WP | 1951–2024 | 2.76% | 2.27% | 2.32% | |
| CBOperProf | Cash-based operating profitability | Ball et al. (2016) JFE | 1962–2024 | 9.56% | 8.53% | 8.45% | |
| CF | Cash flow to market | Lakonishok, Shleifer, Vishny (1994) JF | 1951–2024 | 7.75% | 6.54% | 6.62% | |
| cfp | Operating Cash flows to price | Desai, Rajgopal, Venkatachalam (2004) AR | 1964–2024 | 3.83% | 4.11% | 3.94% | |
| ChangeInRecommendation | Change in recommendation | Jegadeesh et al. (2004) JF | 1994–2024 | 1.28% | 1.31% | 1.21% | |
| ChAssetTurnover | Change in Asset Turnover | Soliman (2008) AR | 1953–2024 | 3.32% | 2.26% | 2.37% | |
| ChEQ | Growth in book equity | Lockwood and Prombutr (2010) JFR | 1962–2024 | 6.63% | 4.83% | 4.90% | |
| ChForecastAccrual † | Change in Forecast and Accrual | Barth and Hutton (2004) RAS | 1976–2024 | 3.01% | 2.07% | 2.10% | |
| ChInv | Inventory Growth | Thomas and Zhang (2002) RAS | 1952–2024 | 6.17% | 5.19% | 5.25% | |
| ChInvIA | Change in capital inv (ind adj) | Abarbanell and Bushee (1998) AR | 1952–2024 | 5.67% | 4.95% | 4.95% | |
| ChNAnalyst † | Decline in Analyst Coverage | Scherbina (2008) ROF | 1978–2024 | 5.66% | 4.88% | 4.84% | |
| ChNNCOA | Change in Net Noncurrent Op Assets | Soliman (2008) AR | 1952–2024 | 2.07% | 0.83% | 1.01% | |
| ChNWC | Change in Net Working Capital | Soliman (2008) AR | 1952–2024 | 4.12% | 3.04% | 3.14% | |
| ChTax | Change in Taxes | Thomas and Zhang (2011) JAR | 1962–2024 | 4.83% | 4.00% | 4.03% | |
| CitationsRD † | Citations to RD expenses | Hirschleifer, Hsu and Li (2013) JFE | 1977–2024 | 2.26% | 1.64% | 1.68% | |
| CompEquIss | Composite equity issuance | Daniel and Titman (2006) JF | 1931–2024 | 3.83% | 4.07% | 3.96% | |
| CompositeDebtIssuance | Composite debt issuance | Lyandres, Sun and Zhang (2008) RFS | 1956–2024 | 0.07% | −0.16% | −0.09% | |
| ConsRecomm † | Consensus Recommendation | Barber et al. (2001) JF | 1994–2024 | 4.78% | 0.72% | 1.17% | |
| ConvDebt † | Convertible debt indicator | Valta (2016) JFQA | 1951–2024 | 4.46% | 4.18% | 3.86% | |
| CoskewACX | Coskewness using daily returns | Ang, Chen and Xing (2006) RFS | 1962–2024 | 1.37% | 1.24% | 1.23% | |
| Coskewness | Coskewness | Harvey and Siddique (2000) JF | 1927–2024 | 2.87% | 3.12% | 3.03% | |
| CPVolSpread | Call minus Put Vol | Bali and Hovakimian (2009) MS | 1996–2022 | 16.95% | 12.51% | 11.92% | |
| CredRatDG † | Credit Rating Downgrade | Dichev and Piotroski (2001) JF | 1970–2024 | 6.80% | 4.89% | 5.07% | |
| CustomerMomentum | Customer momentum | Cohen and Frazzini (2008) JF | 1977–2024 | 8.65% | 7.38% | 7.29% | |
| dCPVolSpread | Change in put vol minus change in call vol | An, Ang, Bali, Cakici (2014) JF | 1996–2022 | 14.81% | 6.39% | 6.23% | |
| DebtIssuance † | Debt Issuance | Spiess and Affleck-Graves (1999) JFE | 1972–2024 | 2.96% | −0.88% | −0.41% | |
| DelBreadth | Breadth of ownership | Chen, Hong and Stein (2002) JFE | 1980–2024 | 2.24% | 2.14% | 2.07% | |
| DelCOA | Change in current operating assets | Richardson et al. (2005) JAE | 1952–2024 | 4.71% | 3.77% | 3.81% | |
| DelCOL | Change in current operating liabilities | Richardson et al. (2005) JAE | 1952–2024 | −0.30% | −0.02% | −0.07% | |
| DelDRC | Deferred Revenue | Prakash and Sinha (2013) CAR | 2001–2024 | −1.27% | 0.42% | 0.09% | |
| DelEqu | Change in equity to assets | Richardson et al. (2005) JAE | 1962–2024 | 6.49% | 4.42% | 4.65% | |
| DelFINL | Change in financial liabilities | Richardson et al. (2005) JAE | 1952–2024 | 2.53% | 1.65% | 1.74% | |
| DelLTI | Change in long-term investment | Richardson et al. (2005) JAE | 1952–2024 | 2.49% | 2.80% | 2.67% | |
| DelNetFin | Change in net financial assets | Richardson et al. (2005) JAE | 1952–2024 | 2.86% | 2.52% | 2.53% | |
| DivInit † | Dividend Initiation | Michaely, Thaler and Womack (1995) JF | 1926–2024 | 6.00% | 5.66% | 5.66% | |
| DivOmit † | Dividend Omission | Michaely, Thaler and Womack (1995) JF | 1928–2024 | 6.81% | 6.65% | 6.57% | |
| DivSeason † | Dividend seasonality | Hartzmark and Salomon (2013) JFE | 1926–2024 | 3.45% | 2.09% | 2.11% | |
| DivYieldST † | Predicted div yield next month | Litzenberger and Ramaswamy (1979) JFE | 1926–2024 | 7.80% | 5.13% | 5.11% | |
| dNoa | change in net operating assets | Hirshleifer, Hou, Teoh, Zhang (2004) JAE | 1962–2024 | 7.40% | 3.48% | 3.86% | |
| DolVol | Past trading volume | Brennan, Chordia, Subra (1998) JFE | 1926–2024 | 0.13% | −1.48% | −1.16% | |
| DownRecomm † | Down forecast EPS | Barber et al. (2001) JF | 1994–2024 | 4.12% | 1.96% | 1.86% | |
| dVolCall | Change in call vol | An, Ang, Bali, Cakici (2014) JF | 1996–2022 | 5.78% | 4.45% | 4.29% | |
| dVolPut | Change in put vol | An, Ang, Bali, Cakici (2014) JF | 1996–2022 | 5.94% | 3.83% | 3.89% | |
| EarningsConsistency | Earnings consistency | Alwathainani (2009) BAR | 1953–2024 | 1.68% | 1.60% | 1.59% | |
| EarningsForecastDisparity | Long-vs-short EPS forecasts | Da and Warachka (2011) JFE | 1982–2024 | 10.01% | 9.68% | 9.40% | |
| EarningsStreak | Earnings surprise streak | Loh and Warachka (2012) MS | 1985–2024 | 10.13% | 6.83% | 6.95% | |
| EarningsSurprise | Earnings Surprise | Foster, Olsen and Shevlin (1984) AR | 1963–2024 | 2.63% | 2.63% | 2.52% | |
| EarnSupBig | Earnings surprise of big firms | Hou (2007) RFS | 1963–2024 | 4.15% | 3.78% | 3.77% | |
| EBM | Enterprise component of BM | Penman, Richardson and Tuna (2007) JAR | 1962–2024 | 1.66% | 1.49% | 1.48% | |
| EntMult | Enterprise Multiple | Loughran and Wellman (2011) JFQA | 1951–2024 | 6.86% | 4.53% | 4.82% | |
| EP | Earnings-to-Price Ratio | Basu (1977) JF | 1951–2024 | 4.14% | 3.59% | 3.64% | |
| EquityDuration | Equity Duration | Dechow, Sloan and Soliman (2004) RAS | 1963–2024 | 12.19% | 10.96% | 10.73% | |
| ExchSwitch † | Exchange Switch | Dharan and Ikenberry (1995) JF | 1963–2024 | 9.04% | 8.16% | 8.06% | |
| ExclExp | Excluded Expenses | Doyle, Lundholm and Soliman (2003) RAS | 1984–2024 | 1.90% | 0.42% | 0.60% | |
| FEPS | Analyst earnings per share | Cen, Wei, and Zhang (2006) WP | 1976–2024 | 14.35% | 13.44% | 12.96% | |
| fgr5yrLag | Long-term EPS forecast | La Porta (1996) JF | 1982–2024 | 9.12% | 8.25% | 8.09% | |
| FirmAge | Firm age based on CRSP | Barry and Brown (1984) JFE | 1927–2024 | −1.99% | −1.96% | −1.96% | |
| FirmAgeMom | Firm Age - Momentum | Zhang (2006) JF | 1927–2024 | 21.94% | 25.32% | 23.44% | |
| ForecastDispersion | EPS Forecast Dispersion | Diether, Malloy and Scherbina (2002) JF | 1976–2024 | 10.92% | 9.57% | 9.38% | |
| FR | Pension Funding Status | Franzoni and Marin (2006) JF | 1981–2024 | 1.11% | 1.12% | 1.08% | |
| Frontier | Efficient frontier index | Nguyen and Swanson (2009) JFQA | 1963–2024 | 3.02% | 1.81% | 1.97% | |
| Governance † | Governance Index | Gompers, Ishii and Metrick (2003) QJE | 1990–2006 | −4.50% | −2.76% | −2.74% | |
| GP | gross profits / total assets | Novy-Marx (2013) JFE | 1951–2024 | 8.92% | 8.54% | 8.40% | |
| GrAdExp | Growth in advertising expenses | Lou (2014) RFS | 1965–2024 | 3.96% | 3.44% | 3.36% | |
| grcapx | Change in capex (two years) | Anderson and Garcia-Feijoo (2006) JF | 1953–2024 | 4.84% | 5.10% | 4.91% | |
| grcapx3y | Change in capex (three years) | Anderson and Garcia-Feijoo (2006) JF | 1954–2024 | 4.65% | 4.48% | 4.39% | |
| GrLTNOA | Growth in long term operating assets | Fairfield, Whisenant and Yohn (2003) AR | 1952–2024 | 1.47% | 0.63% | 0.76% | |
| GrSaleToGrInv | Sales growth over inventory growth | Abarbanell and Bushee (1998) AR | 1952–2024 | 3.24% | 1.88% | 1.99% | |
| GrSaleToGrOverhead | Sales growth over overhead growth | Abarbanell and Bushee (1998) AR | 1952–2024 | 1.46% | 1.36% | 1.36% | |
| Herf | Industry concentration (sales) | Hou and Robinson (2006) JF | 1951–2024 | −1.80% | −1.64% | −1.66% | |
| HerfAsset | Industry concentration (assets) | Hou and Robinson (2006) JF | 1952–2024 | −0.32% | 0.30% | 0.14% | |
| HerfBE | Industry concentration (equity) | Hou and Robinson (2006) JF | 1952–2024 | 0.55% | 0.67% | 0.62% | |
| High52 | 52 week high | George and Hwang (2004) JF | 1926–2024 | 8.31% | 7.92% | 7.87% | |
| hire | Employment growth | Bazdresch, Belo and Lin (2014) JPE | 1965–2024 | 3.72% | 3.45% | 3.39% | |
| IdioVol3F | Idiosyncratic risk (3 factor) | Ang et al. (2006) JF | 1926–2024 | 17.48% | 15.53% | 15.09% | |
| IdioVolAHT | Idiosyncratic risk (AHT) | Ali, Hwang, and Trombley (2003) JFE | 1927–2024 | 11.12% | 11.70% | 11.26% | |
| Illiquidity | Amihud's illiquidity | Amihud (2002) JFM | 1927–2024 | 1.70% | 0.03% | 0.31% | |
| IndIPO † | Initial Public Offerings | Ritter (1991) JF | 1975–2024 | 7.78% | 7.06% | 6.92% | |
| IndMom | Industry Momentum | Grinblatt and Moskowitz (1999) JF | 1926–2024 | 5.27% | 4.65% | 4.69% | |
| IndRetBig | Industry return of big firms | Hou (2007) RFS | 1926–2024 | 19.26% | 6.88% | 8.06% | |
| IntanBM | Intangible return using BM | Daniel and Titman (2006) JF | 1966–2024 | −0.96% | −2.72% | −2.32% | |
| IntanCFP | Intangible return using CFtoP | Daniel and Titman (2006) JF | 1956–2024 | 1.24% | 0.40% | 0.53% | |
| IntanEP | Intangible return using EP | Daniel and Titman (2006) JF | 1956–2024 | 1.93% | 1.52% | 1.56% | |
| IntanSP | Intangible return using Sale2P | Daniel and Titman (2006) JF | 1956–2024 | −0.14% | −1.09% | −0.82% | |
| IntMom | Intermediate Momentum | Novy-Marx (2012) JFE | 1927–2024 | 17.94% | 17.49% | 17.10% | |
| Investment | Investment to revenue | Titman, Wei and Xie (2004) JFQA | 1953–2024 | 3.83% | 3.55% | 3.54% | |
| InvestPPEInv | change in ppe and inv/assets | Lyandres, Sun and Zhang (2008) RFS | 1952–2024 | 7.23% | 4.70% | 4.93% | |
| InvGrowth | Inventory Growth | Belo and Lin (2012) RFS | 1952–2024 | 6.13% | 5.24% | 5.21% | |
| IO_ShortInterest ‡ | Inst own among high short interest | Asquith Pathak and Ritter (2005) JFE | 1980–2024 | 22.65% | 30.52% | 27.82% | |
| iomom_cust | Customers momentum | Menzly and Ozbas (2010) JF | 1986–2024 | 1.85% | 1.29% | 1.29% | |
| iomom_supp | Suppliers momentum | Menzly and Ozbas (2010) JF | 1986–2024 | 2.91% | 2.05% | 2.03% | |
| Leverage | Market leverage | Bhandari (1988) JF | 1951–2024 | 4.26% | 3.57% | 3.62% | |
| LRreversal | Long-run reversal | De Bondt and Thaler (1985) JF | 1929–2024 | −0.45% | −1.69% | −1.37% | |
| MaxRet | Maximum return over month | Bali, Cakici, and Whitelaw (2011) JFE | 1926–2024 | 14.87% | 12.88% | 13.02% | |
| MeanRankRevGrowth | Revenue Growth Rank | Lakonishok, Shleifer, Vishny (1994) JF | 1957–2024 | 2.98% | 2.48% | 2.38% | |
| Mom12m | Momentum (12 month) | Jegadeesh and Titman (1993) JF | 1927–2024 | 22.95% | 22.55% | 22.10% | |
| Mom12mOffSeason | Momentum without the seasonal part | Heston and Sadka (2008) JFE | 1926–2024 | 16.82% | 16.19% | 16.08% | |
| Mom6m | Momentum (6 month) | Jegadeesh and Titman (1993) JF | 1926–2024 | 18.69% | 22.45% | 20.68% | |
| Mom6mJunk | Junk Stock Momentum | Avramov et al (2007) JF | 1970–2024 | 18.20% | 18.16% | 17.52% | |
| MomOffSeason | Off season long-term reversal | Heston and Sadka (2008) JFE | 1927–2024 | 7.03% | 6.54% | 6.49% | |
| MomOffSeason06YrPlus | Off season reversal years 6 to 10 | Heston and Sadka (2008) JFE | 1931–2024 | 6.63% | 5.80% | 5.83% | |
| MomOffSeason11YrPlus | Off season reversal years 11 to 15 | Heston and Sadka (2008) JFE | 1936–2024 | 1.31% | 0.28% | 0.46% | |
| MomOffSeason16YrPlus | Off season reversal years 16 to 20 | Heston and Sadka (2008) JFE | 1941–2024 | 2.86% | 2.33% | 2.39% | |
| MomRev † | Momentum and LT Reversal | Chan and Ko (2006) JOIM | 1929–2024 | 8.89% | 3.91% | 4.93% | |
| MomSeason | Return seasonality years 2 to 5 | Heston and Sadka (2008) JFE | 1928–2024 | 7.17% | −0.35% | 0.55% | |
| MomSeason06YrPlus | Return seasonality years 6 to 10 | Heston and Sadka (2008) JFE | 1932–2024 | 7.05% | 3.74% | 3.97% | |
| MomSeason11YrPlus | Return seasonality years 11 to 15 | Heston and Sadka (2008) JFE | 1937–2024 | 7.40% | 5.44% | 5.65% | |
| MomSeason16YrPlus | Return seasonality years 16 to 20 | Heston and Sadka (2008) JFE | 1942–2024 | 5.09% | 4.24% | 4.26% | |
| MomSeasonShort | Return seasonality last year | Heston and Sadka (2008) JFE | 1927–2024 | 10.67% | 5.56% | 6.14% | |
| MomVol † | Momentum in high volume stocks | Lee and Swaminathan (2000) JF | 1928–2024 | 19.09% | 28.23% | 24.94% | |
| MRreversal | Medium-run reversal | De Bondt and Thaler (1985) JF | 1927–2024 | 3.25% | 2.95% | 2.96% | |
| MS † | Mohanram G-score | Mohanram (2005) RAS | 1976–2024 | 10.49% | 5.64% | 5.70% | |
| NetDebtFinance | Net debt financing | Bradshaw, Richardson, Sloan (2006) JAE | 1972–2024 | 2.10% | −3.71% | −2.52% | |
| NetDebtPrice | Net debt to price | Penman, Richardson and Tuna (2007) JAR | 1963–2024 | −0.74% | −1.35% | −1.17% | |
| NetEquityFinance | Net equity financing | Bradshaw, Richardson, Sloan (2006) JAE | 1972–2024 | 8.82% | 7.92% | 7.73% | |
| NetPayoutYield | Net Payout Yield | Boudoukh et al. (2007) JF | 1953–2024 | 7.52% | 7.56% | 7.33% | |
| NOA | Net Operating Assets | Hirshleifer et al. (2004) JAE | 1963–2024 | 7.76% | 7.11% | 6.75% | |
| NumEarnIncrease | Earnings streak length | Loh and Warachka (2012) MS | 1963–2024 | 2.61% | 2.24% | 2.23% | |
| OperProf | operating profits / book equity | Fama and French (2006) JFE | 1963–2024 | 6.71% | 6.73% | 6.42% | |
| OperProfRD | Operating profitability R&D adjusted | Ball et al. (2016) JFE | 1963–2024 | 8.51% | 9.60% | 8.77% | |
| OPLeverage | Operating leverage | Novy-Marx (2011) ROF | 1951–2024 | 4.78% | 4.08% | 4.12% | |
| OptionVolume1 | Option to stock volume | Johnson and So (2012) JFE | 1996–2023 | 4.66% | 0.79% | 1.15% | |
| OptionVolume2 | Option volume to average | Johnson and So (2012) JFE | 1996–2023 | 4.48% | 1.93% | 2.03% | |
| OrderBacklog | Order backlog | Rajgopal, Shevlin, Venkatachalam (2003) RAS | 1971–2024 | −2.24% | −1.79% | −1.80% | |
| OrderBacklogChg | Change in order backlog | Baik and Ahn (2007) | 1972–2024 | 0.77% | 5.37% | 4.32% | |
| OrgCap | Organizational capital | Eisfeldt and Papanikolaou (2013) JF | 1951–2024 | 6.89% | 6.12% | 6.08% | |
| OScore † | O Score | Dichev (1998) JF | 1972–2024 | 13.56% | 19.49% | 17.35% | |
| PatentsRD † | Patents to RD expenses | Hirschleifer, Hsu and Li (2013) JFE | 1977–2023 | −3.01% | −23.34% | −19.34% | |
| PayoutYield | Payout Yield | Boudoukh et al. (2007) JF | 1953–2024 | 5.57% | 5.97% | 5.72% | |
| PctAcc | Percent Operating Accruals | Hafzalla, Lundholm, Van Winkle (2011) AR | 1964–2024 | 3.18% | 2.85% | 2.84% | |
| PctTotAcc | Percent Total Accruals | Hafzalla, Lundholm, Van Winkle (2011) AR | 1988–2024 | 3.07% | 2.41% | 2.42% | |
| PredictedFE | Predicted Analyst forecast error | Frankel and Lee (1998) JAE | 1983–2024 | 2.36% | 1.83% | 1.86% | |
| Price | Price | Blume and Husic (1973) JF | 1926–2024 | −4.59% | −14.86% | −11.67% | |
| PriceDelayRsq | Price delay r square | Hou and Moskowitz (2005) RFS | 1927–2024 | −1.61% | −4.34% | −3.73% | |
| PriceDelaySlope | Price delay coeff | Hou and Moskowitz (2005) RFS | 1927–2024 | 0.18% | −0.24% | −0.18% | |
| PriceDelayTstat | Price delay SE adjusted | Hou and Moskowitz (2005) RFS | 1927–2024 | 0.24% | −0.18% | −0.12% | |
| ProbInformedTrading ‡ | Probability of Informed Trading | Easley, Hvidkjaer and O'Hara (2002) JF | 1994–2013 | 14.30% | 8.17% | 8.16% | |
| PS | Piotroski F-score | Piotroski (2000) JAR | 1972–2024 | 10.97% | 8.23% | 8.28% | |
| RD | R&D over market cap | Chan, Lakonishok and Sougiannis (2001) JF | 1951–2024 | 2.78% | −0.33% | 0.30% | |
| RDAbility | R&D ability | Cohen, Diether and Malloy (2013) RFS | 1957–2024 | 1.60% | −2.54% | −1.55% | |
| RDcap | R&D capital-to-assets | Li (2011) RFS | 1980–2024 | −2.47% | −7.05% | −5.58% | |
| RDIPO † | IPO and no R&D spending | Gou, Lev and Shi (2006) JBFA | 1977–2024 | 8.29% | 7.49% | 7.30% | |
| RDS | Real dirty surplus | Landsman et al. (2011) AR | 1973–2024 | 1.40% | 0.98% | 1.02% | |
| realestate | Real estate holdings | Tuzel (2010) RFS | 1970–2024 | 2.93% | 2.74% | 2.64% | |
| RealizedVol | Realized (Total) Volatility | Ang et al. (2006) JF | 1926–2024 | 17.45% | 12.09% | 12.72% | |
| Recomm_ShortInterest † | Analyst Recommendations and Short-Interest | Drake, Rees and Swanson (2011) AR | 1994–2024 | 10.96% | 8.95% | 8.79% | |
| ResidualMomentum | Momentum based on FF3 residuals | Blitz, Huij and Martens (2011) JEmpFin | 1930–2024 | 9.41% | 8.42% | 8.46% | |
| retConglomerate | Conglomerate return | Cohen and Lou (2012) JFE | 1976–2024 | 4.96% | 4.08% | 4.11% | |
| ReturnSkew | Return skewness | Bali, Engle and Murray (2015) Book | 1926–2024 | 2.16% | 1.35% | 1.44% | |
| ReturnSkew3F | Idiosyncratic skewness (3F model) | Bali, Engle and Murray (2015) Book | 1926–2024 | −0.25% | −1.39% | −1.15% | |
| REV6 | Earnings forecast revisions | Chan, Jegadeesh and Lakonishok (1996) JF | 1976–2024 | 6.65% | 5.82% | 5.79% | |
| RevenueSurprise | Revenue Surprise | Jegadeesh and Livnat (2006) JAE | 1963–2024 | 2.50% | 2.37% | 2.33% | |
| RIO_Disp † | Inst Own and Forecast Dispersion | Nagel (2005) JFE | 1976–2024 | 8.46% | 6.04% | 6.09% | |
| RIO_MB † | Inst Own and Market to Book | Nagel (2005) JFE | 1963–2024 | 5.30% | 1.82% | 2.57% | |
| RIO_Turnover † | Inst Own and Turnover | Nagel (2005) JFE | 1926–2024 | 3.33% | 3.26% | 3.14% | |
| RIO_Volatility † | Inst Own and Idio Vol | Nagel (2005) JFE | 1926–2024 | 5.52% | 6.64% | 6.18% | |
| RIVolSpread | Realized minus Implied Vol | Bali and Hovakimian (2009) MS | 1996–2022 | 6.78% | 3.02% | 3.29% | |
| roaq | Return on assets (qtrly) | Balakrishnan, Bartov and Faurel (2010) JAE | 1966–2024 | 9.42% | 10.74% | 10.09% | |
| RoE | net income / book equity | Haugen and Baker (1996) JFE | 1961–2024 | 3.72% | 3.63% | 3.55% | |
| sfe | Earnings Forecast to price | Elgers, Lo and Pfeiffer (2001) AR | 1977–2024 | 11.73% | 9.57% | 9.50% | |
| ShareIss1Y | Share issuance (1 year) | Pontiff and Woodgate (2008) JF | 1927–2024 | 7.97% | 7.17% | 7.17% | |
| ShareIss5Y | Share issuance (5 year) | Daniel and Titman (2006) JF | 1931–2024 | 8.09% | 8.05% | 7.86% | |
| ShareRepurchase † | Share repurchases | Ikenberry, Lakonishok, Vermaelen (1995) JFE | 1972–2024 | 4.09% | 4.86% | 4.51% | |
| ShareVol † | Share Volume | Datar, Naik and Radcliffe (1998) JFM | 1926–2024 | 5.22% | 4.21% | 4.31% | |
| ShortInterest | Short Interest | Dechow et al. (2001) JFE | 1973–2024 | 6.37% | 6.16% | 5.97% | |
| sinAlgo † | Sin Stock (selection criteria) | Hong and Kacperczyk (2009) JFE | 1926–2024 | 2.67% | 0.32% | 0.90% | |
| Size | Size | Banz (1981) JFE | 1926–2024 | −2.16% | −19.62% | −15.74% | |
| skew1 | Volatility smirk near the money | Xing, Zhang and Zhao (2010) JFQA | 1996–2022 | 4.82% | 0.97% | 1.36% | |
| SmileSlope | Put volatility minus call volatility | Yan (2011) JFE | 1996–2022 | 18.91% | 14.39% | 13.24% | |
| SP | Sales-to-price | Barbee, Mukherji and Raines (1996) FAJ | 1951–2024 | 8.73% | 8.87% | 8.57% | |
| Spinoff † | Spinoffs | Cusatis, Miles and Woolridge (1993) JFE | 1926–2024 | −1.23% | −5.51% | −4.46% | |
| std_turn | Share turnover volatility | Chordia, Subra, Anshuman (2001) JFE | 1928–2024 | 11.65% | 10.35% | 10.40% | |
| STreversal | Short term reversal | Jegadeesh (1990) JF | 1926–2024 | 9.25% | −5.17% | −2.84% | |
| SurpriseRD † | Unexpected R&D increase | Eberhart, Maxwell and Siddique (2004) JF | 1952–2024 | −0.03% | −1.45% | −1.19% | |
| tang | Tangibility | Hahn and Lee (2009) JF | 1951–2024 | 0.73% | 0.82% | 0.80% | |
| Tax | Taxable income to income | Lev and Nissim (2004) AR | 1951–2024 | 4.06% | 4.06% | 3.94% | |
| TotalAccruals | Total accruals | Richardson et al. (2005) JAE | 1952–2024 | −0.09% | −3.41% | −2.64% | |
| TrendFactor | Trend Factor | Han, Zhou, Zhu (2016) JFE | 1926–2024 | 20.10% | 4.92% | 6.38% | |
| UpRecomm † | Up Forecast | Barber et al. (2001) JF | 1994–2024 | 4.28% | 2.65% | 2.50% | |
| VarCF | Cash-flow to price variance | Haugen and Baker (1996) JFE | 1953–2024 | 2.42% | 5.81% | 5.04% | |
| VolMkt | Volume to market equity | Haugen and Baker (1996) JFE | 1926–2024 | 5.18% | 4.29% | 4.33% | |
| VolSD | Volume Variance | Chordia, Subra, Anshuman (2001) JFE | 1927–2024 | 4.55% | 4.14% | 4.10% | |
| VolumeTrend | Volume Trend | Haugen and Baker (1996) JFE | 1928–2024 | 3.60% | 3.33% | 3.33% | |
| XFIN | Net external financing | Bradshaw, Richardson, Sloan (2006) JAE | 1972–2024 | 15.08% | 13.43% | 12.93% | |
| zerotrade12M | Days with zero trades | Liu (2006) JFE | 1927–2024 | 5.98% | 5.12% | 5.21% | |
| zerotrade1M | Days with zero trades | Liu (2006) JFE | 1927–2024 | 6.17% | 5.52% | 5.56% | |
| zerotrade6M | Days with zero trades | Liu (2006) JFE | 1926–2024 | 5.61% | 4.86% | 4.92% |
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All figures are annualized market-adjusted returns on the value-weighted decile long–short portfolio except where marked, de-levered where needed so that no portfolio's full-sample volatility exceeds 40% a year. Sample is the span of OAP quarterly returns analysed here, not the original paper's sample. Historical average is the full-sample mean; forecasts are posterior means of the average return over the next year (2026Q4–2027Q3) and next five years (2026Q4–2031Q3); hovering one shows its 95% interval. Each forecast conditions on that signal's own OAP series, which runs through 2024Q4 for all but 17 of the 212 forecast signals, whose series end earlier; the quarters between a series’ last observation and the forecast window are integrated out under the model. † OAP publishes no decile sort for 33 signals; those use the original paper's portfolio. ‡ 2 signals sort a universe too small to fill decile buckets, so they fall back to a wider portfolio and are not ranked above.