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
- Data through
- 2024Q4
- Categories
- 35
- Forecasts from
- 2027Q11–5 yrs
Best next-year alphas
Posterior mean for 2027Q1–2027Q4 · value-weighted quintiles, rolling market hedge
Best categories
Average posterior mean for 2027Q1–2027Q4 across a category's signals · categories with 3+ ranked signals
Most different from history
Largest absolute difference between 2027Q1–2027Q4 forecast and full-sample mean
- 01IndRetBigIndustry Return of Big Firms−6.15%Next yr 9.11%Hist. 15.26%
- 02EquityDurationEquity Duration−5.93%Next yr −2.68%Hist. 3.25%
- 03RDAbilityR&D Ability−5.36%Next yr −1.66%Hist. 3.70%
- 04SizeMarket Equity (Size)−5.27%Next yr −4.06%Hist. 1.21%
- 05CompositeDebtIssuanceComposite Debt Issuance−4.70%Next yr −2.48%Hist. 2.21%
Headline figures and Hist. are annualized (% per year) market-hedged returns on the value-weighted quintile long–short portfolio of stocks above the NYSE 20th size percentile; Hist. is the full-sample mean. Sparklines are the cumulative market-hedged return on a log scale over the last 30 years (1995Q1–2024Q4), or the full sample where shorter; a category's sparkline equal-weights its signals.
All 212 signals
212 of 212
| AbnormalAccruals | Abnormal Accruals | Xie (2001) AR | 1975–2024 | 2.75% | 1.68% | 1.79% | |
| Accruals | Accruals | Sloan (1996) AR | 1955–2024 | 4.39% | 3.83% | 3.85% | |
| AccrualsBM † | Accruals and Book-to-Market | Bartov and Kim (2004) RFQA | 1967–2024 | 17.55% | 12.46%† | 12.67%† | |
| Activism1 | Takeover Vulnerability | Cremers and Nair (2005) JF | 1993–2006 | 1.57% | 0.63% | 0.64% | |
| Activism2 | Blockholder Activism | Cremers and Nair (2005) JF | 1993–2006 | 6.59% | 3.53% | 3.50% | |
| AdExp | Advertising Expense to Market Value | Chan, Lakonishok and Sougiannis (2001) JF | 1975–2024 | 4.21% | 1.19% | 1.55% | |
| AgeIPO | Firm Age Since IPO | Ritter (1991) JF | 1984–2024 | 10.58% | 9.16% | 9.01% | |
| AM | Total Assets to Market | Fama and French (1992) JF | 1954–2024 | −0.10% | −1.36% | −1.13% | |
| AnalystRevision | EPS Forecast Revision | Hawkins, Chamberlin, Daniel (1984) FAJ | 1979–2024 | 5.66% | 5.33% | 5.17% | |
| AnalystValue | Analyst Value Estimate | Frankel and Lee (1998) JAE | 1979–2024 | 1.51% | 0.45% | 0.68% | |
| AnnouncementReturn | Earnings Announcement Return | Chan, Jegadeesh and Lakonishok (1996) JF | 1975–2024 | 6.02% | 5.22% | 5.19% | |
| AOP | Analyst Optimism | Frankel and Lee (1998) JAE | 1979–2024 | 2.11% | 1.79% | 1.77% | |
| AssetGrowth | Asset Growth | Cooper, Gulen and Schill (2008) JF | 1955–2024 | 4.12% | 3.94% | 3.83% | |
| Beta | Market Beta | Fama and MacBeth (1973) JPE | 1931–2024 | −4.42% | −3.85% | −3.88% | |
| BetaFP | Frazzini-Pedersen Beta | Frazzini and Pedersen (2014) JFE | 1931–2024 | −6.35% | −4.46% | −4.76% | |
| BetaLiquidityPS | Pastor-Stambaugh Liquidity Beta | Pastor and Stambaugh (2003) JPE | 1968–2024 | 1.35% | 0.61% | 0.68% | |
| BetaTailRisk | Tail Risk Beta | Kelly and Jiang (2014) RFS | 1935–2024 | −0.19% | 1.95% | 1.31% | |
| betaVIX | Volatility Beta (VIX Sensitivity) | Ang et al. (2006) JF | 1989–2024 | 6.97% | 5.75% | 5.62% | |
| BidAskSpread | Bid-Ask Spread | Amihud and Mendelson (1986) JFE | 1929–2024 | −2.67% | −2.64% | −2.62% | |
| BM | Book-to-Market (Fiscal Year-End) | Stattman (1980) | 1954–2024 | 3.18% | 0.08% | 0.53% | |
| BMdec | Book-to-Market (December) | Fama and French (1992) JF | 1955–2024 | 2.52% | −0.92% | −0.42% | |
| BookLeverage | Book Leverage | Fama and French (1992) JF | 1954–2024 | −0.19% | −0.43% | −0.36% | |
| BPEBM | Leverage Component of Book-to-Market | Penman, Richardson and Tuna (2007) JAR | 1965–2024 | 0.78% | 0.51% | 0.54% | |
| BrandInvest | Brand Capital Investment | Belo, Lin and Vitorino (2014) RED | 1976–2024 | −1.30% | −1.55% | −1.44% | |
| Cash | Cash to Assets | Palazzo (2012) JFE | 1975–2024 | 4.20% | 4.59% | 4.29% | |
| CashProd | Cash Productivity | Chandrashekar and Rao (2009) WP | 1954–2024 | 1.48% | −0.28% | 0.02% | |
| CBOperProf | Cash-Based Operating Profitability | Ball et al. (2016) JFE | 1965–2024 | 6.46% | 5.64% | 5.53% | |
| CF | Cash Flow to Market | Lakonishok, Shleifer, Vishny (1994) JF | 1954–2024 | 4.00% | 1.30% | 1.75% | |
| cfp | Operating Cash Flow to Price | Desai, Rajgopal, Venkatachalam (2004) AR | 1968–2024 | 2.04% | 0.74% | 0.94% | |
| ChangeInRecommendation | Change in Analyst Recommendation | Jegadeesh et al. (2004) JF | 1997–2024 | 2.10% | 1.57% | 1.55% | |
| ChAssetTurnover | Change in Asset Turnover | Soliman (2008) AR | 1956–2024 | 2.29% | 0.40% | 0.66% | |
| ChEQ | Book Equity Growth | Lockwood and Prombutr (2010) JFR | 1966–2024 | 5.01% | 3.98% | 4.01% | |
| ChForecastAccrual † | Earnings Forecast Revisions, High Accruals | Barth and Hutton (2004) RAS | 1979–2024 | 3.10% | 2.16%† | 2.18%† | |
| ChInv | Change in Inventory to Assets | Thomas and Zhang (2002) RAS | 1955–2024 | 4.23% | 3.07% | 3.18% | |
| ChInvIA | Industry-Adjusted Capex Growth | Abarbanell and Bushee (1998) AR | 1955–2024 | 1.23% | 0.98% | 0.99% | |
| ChNAnalyst † | Decline in Analyst Coverage | Scherbina (2008) ROF | 1981–2024 | 5.50% | 4.80%† | 4.77%† | |
| ChNNCOA | Change in Net Noncurrent Operating Assets | Soliman (2008) AR | 1955–2024 | 2.23% | 1.38% | 1.49% | |
| ChNWC | Change in Net Working Capital | Soliman (2008) AR | 1955–2024 | 2.84% | 2.11% | 2.16% | |
| ChTax | Change in Tax Expense | Thomas and Zhang (2011) JAR | 1966–2024 | 2.78% | 2.74% | 2.68% | |
| CitationsRD † | Patent Citations to R&D Spending | Hirschleifer, Hsu and Li (2013) JFE | 1980–2024 | 1.91% | 1.13%† | 1.20%† | |
| CompEquIss | Composite Equity Issuance | Daniel and Titman (2006) JF | 1934–2024 | 1.91% | 2.52% | 2.34% | |
| CompositeDebtIssuance | Composite Debt Issuance | Lyandres, Sun and Zhang (2008) RFS | 1959–2024 | 2.21% | −2.48% | −1.71% | |
| ConsRecomm † | Analyst Consensus Recommendation | Barber et al. (2001) JF | 1997–2024 | 6.04% | 1.64%† | 2.04%† | |
| ConvDebt † | Convertible Debt Indicator | Valta (2016) JFQA | 1954–2024 | 5.04% | 4.28%† | 4.05%† | |
| CoskewACX | Coskewness (Daily Returns) | Ang, Chen and Xing (2006) RFS | 1965–2024 | 2.43% | 2.21% | 2.20% | |
| Coskewness | Coskewness | Harvey and Siddique (2000) JF | 1930–2024 | 1.22% | 1.42% | 1.37% | |
| CPVolSpread | Call-Put Volatility Spread | Bali and Hovakimian (2009) MS | 1999–2022 | 5.21% | 3.12% | 3.14% | |
| CredRatDG † | Credit Rating Downgrade | Dichev and Piotroski (2001) JF | 1973–2024 | 8.26% | 6.49%† | 6.53%† | |
| CustomerMomentum | Customer Momentum | Cohen and Frazzini (2008) JF | 1983–2024 | 9.58% | 7.19% | 7.22% | |
| dCPVolSpread | Change in Put-Call Volatility Spread | An, Ang, Bali, Cakici (2014) JF | 1999–2022 | 6.30% | 1.81% | 2.05% | |
| DebtIssuance † | Debt Issuance | Spiess and Affleck-Graves (1999) JFE | 1975–2024 | 3.61% | 0.25%† | 0.61%† | |
| DelBreadth | Change in Ownership Breadth | Chen, Hong and Stein (2002) JFE | 1983–2024 | 2.73% | 2.55% | 2.48% | |
| DelCOA | Change in Current Operating Assets | Richardson et al. (2005) JAE | 1955–2024 | 2.68% | 1.97% | 2.01% | |
| DelCOL | Change in Current Operating Liabilities | Richardson et al. (2005) JAE | 1955–2024 | −0.97% | −0.92% | −0.91% | |
| DelDRC | Deferred Revenue Growth | Prakash and Sinha (2013) CAR | 2005–2024 | 3.61% | 2.93% | 2.79% | |
| DelEqu | Change in Equity to Assets | Richardson et al. (2005) JAE | 1966–2024 | 4.94% | 4.63% | 4.54% | |
| DelFINL | Change in Financial Liabilities | Richardson et al. (2005) JAE | 1955–2024 | 2.66% | −0.85% | −0.41% | |
| DelLTI | Change in Long-Term Investment | Richardson et al. (2005) JAE | 1955–2024 | 1.54% | 1.75% | 1.67% | |
| DelNetFin | Change in Net Financial Assets | Richardson et al. (2005) JAE | 1955–2024 | 1.22% | −1.29% | −0.87% | |
| DivInit † | Dividend Initiation | Michaely, Thaler and Womack (1995) JF | 1929–2024 | 4.97% | 4.62%† | 4.61%† | |
| DivOmit † | Dividend Omission | Michaely, Thaler and Womack (1995) JF | 1931–2024 | 7.94% | 8.20%† | 8.02%† | |
| DivSeason † | Dividend Seasonality | Hartzmark and Salomon (2013) JFE | 1929–2024 | 3.65% | 2.18%† | 2.21%† | |
| DivYieldST † | Predicted Dividend Yield | Litzenberger and Ramaswamy (1979) JFE | 1929–2024 | 7.51% | 4.18%† | 4.28%† | |
| dNoa | Change in Net Operating Assets | Hirshleifer, Hou, Teoh, Zhang (2004) JAE | 1966–2024 | 5.82% | 4.80% | 4.78% | |
| DolVol | Dollar Trading Volume | Brennan, Chordia, Subra (1998) JFE | 1929–2024 | 2.57% | 0.61% | 0.92% | |
| DownRecomm † | Downward EPS Forecast Revision | Barber et al. (2001) JF | 1997–2024 | 4.13% | 2.53%† | 2.36%† | |
| dVolCall | Change in Call Implied Volatility | An, Ang, Bali, Cakici (2014) JF | 1999–2022 | 3.81% | 1.09% | 1.36% | |
| dVolPut | Change in Put Implied Volatility | An, Ang, Bali, Cakici (2014) JF | 1999–2022 | 0.98% | 0.84% | 0.80% | |
| EarningsConsistency | Earnings Growth Consistency | Alwathainani (2009) BAR | 1956–2024 | 3.26% | 1.31% | 1.61% | |
| EarningsForecastDisparity | Long-Term vs Near-Term Earnings Forecast Gap | Da and Warachka (2011) JFE | 1985–2024 | 4.96% | 4.22% | 4.20% | |
| EarningsStreak | Earnings Surprise Streak | Loh and Warachka (2012) MS | 1988–2024 | 3.81% | 1.67% | 1.90% | |
| EarningsSurprise | Standardized Earnings Surprise | Foster, Olsen and Shevlin (1984) AR | 1967–2024 | 2.10% | 1.94% | 1.91% | |
| EarnSupBig | Large-Peer Earnings Surprise | Hou (2007) RFS | 1966–2024 | 3.33% | 3.08% | 3.03% | |
| EBM | Enterprise Component of Book-to-Market | Penman, Richardson and Tuna (2007) JAR | 1965–2024 | 1.75% | −0.10% | 0.15% | |
| EntMult | Enterprise Multiple | Loughran and Wellman (2011) JFQA | 1954–2024 | 4.86% | 1.56% | 2.01% | |
| EP | Earnings-to-Price | Basu (1977) JF | 1954–2024 | 3.23% | 1.84% | 2.05% | |
| EquityDuration | Equity Duration | Dechow, Sloan and Soliman (2004) RAS | 1966–2024 | 3.25% | −2.68% | −1.68% | |
| ExchSwitch † | Exchange Listing Upgrade | Dharan and Ikenberry (1995) JF | 1966–2024 | 8.31% | 7.55%† | 7.42%† | |
| ExclExp | Excluded Expenses | Doyle, Lundholm and Soliman (2003) RAS | 1987–2024 | 0.77% | 0.18% | 0.25% | |
| FEPS | Consensus Forecasted EPS | Cen, Wei, and Zhang (2006) WP | 1979–2024 | 9.29% | 8.23% | 8.11% | |
| fgr5yrLag | Long-Term EPS Growth Forecast | La Porta (1996) JF | 1985–2024 | 2.85% | 2.32% | 2.33% | |
| FirmAge | Firm Age | Barry and Brown (1984) JFE | 1931–2024 | −1.18% | −1.27% | −1.23% | |
| FirmAgeMom | Momentum in Young Firms | Zhang (2006) JF | 1977–2024 | 19.92% | 19.46% | 17.96% | |
| ForecastDispersion | Analyst Forecast Dispersion | Diether, Malloy and Scherbina (2002) JF | 1979–2024 | 7.02% | 6.13% | 6.07% | |
| FR | Pension Funding Status | Franzoni and Marin (2006) JF | 1984–2024 | −0.81% | −0.78% | −0.68% | |
| Frontier | Book-to-Market Mispricing Residual | Nguyen and Swanson (2009) JFQA | 1969–2024 | 1.12% | −1.59% | −1.11% | |
| Governance † | Governance Index (G-Index) | Gompers, Ishii and Metrick (2003) QJE | 1993–2006 | −0.95% | −0.60%† | −0.57%† | |
| GP | Gross Profitability | Novy-Marx (2013) JFE | 1954–2024 | 5.34% | 5.65% | 5.37% | |
| GrAdExp | Growth in Advertising Expenses | Lou (2014) RFS | 1976–2024 | 1.43% | 1.79% | 1.66% | |
| grcapx | Two-Year Capital Expenditure Growth | Anderson and Garcia-Feijoo (2006) JF | 1956–2024 | 4.09% | 3.81% | 3.74% | |
| grcapx3y | Capex Growth (3-Year) | Anderson and Garcia-Feijoo (2006) JF | 1957–2024 | 3.25% | 2.39% | 2.41% | |
| GrLTNOA | Growth in Long-Term Operating Assets | Fairfield, Whisenant and Yohn (2003) AR | 1955–2024 | 0.93% | 1.02% | 0.97% | |
| GrSaleToGrInv | Sales Growth Over Inventory Growth | Abarbanell and Bushee (1998) AR | 1955–2024 | 3.35% | −0.45% | 0.06% | |
| GrSaleToGrOverhead | Sales Growth Minus Overhead Growth | Abarbanell and Bushee (1998) AR | 1955–2024 | −0.64% | −1.61% | −1.43% | |
| Herf | Industry Sales Concentration | Hou and Robinson (2006) JF | 1954–2024 | −0.60% | −0.78% | −0.75% | |
| HerfAsset | Industry Asset Concentration | Hou and Robinson (2006) JF | 1955–2024 | −0.77% | −0.06% | −0.27% | |
| HerfBE | Industry Concentration (Book Equity) | Hou and Robinson (2006) JF | 1955–2024 | −1.25% | −0.68% | −0.79% | |
| High52 | 52-Week High Proximity | George and Hwang (2004) JF | 1929–2024 | 3.65% | 5.29% | 4.90% | |
| hire | Employment Growth | Bazdresch, Belo and Lin (2014) JPE | 1968–2024 | 2.87% | 2.36% | 2.37% | |
| IdioVol3F | Idiosyncratic Volatility (3-Factor) | Ang et al. (2006) JF | 1929–2024 | 6.95% | 6.52% | 6.48% | |
| IdioVolAHT | CAPM Residual Volatility | Ali, Hwang, and Trombley (2003) JFE | 1930–2024 | 5.90% | 5.33% | 5.34% | |
| Illiquidity | Amihud Illiquidity | Amihud (2002) JFM | 1930–2024 | 2.36% | −0.70% | −0.19% | |
| IndIPO † | Recent IPO | Ritter (1991) JF | 1978–2024 | 6.16% | 4.94%† | 4.88%† | |
| IndMom | Industry Momentum | Grinblatt and Moskowitz (1999) JF | 1929–2024 | 2.85% | 3.56% | 3.32% | |
| IndRetBig | Industry Return of Big Firms | Hou (2007) RFS | 1929–2024 | 15.26% | 9.11% | 9.96% | |
| IntanBM | Intangible Return, Book-to-Market | Daniel and Titman (2006) JF | 1970–2024 | 0.89% | −2.18% | −1.65% | |
| IntanCFP | Intangible Return (Cash Flow-to-Price) | Daniel and Titman (2006) JF | 1959–2024 | 2.37% | −0.23% | 0.15% | |
| IntanEP | Intangible Return (Earnings-to-Price) | Daniel and Titman (2006) JF | 1959–2024 | 1.86% | −0.67% | −0.26% | |
| IntanSP | Intangible Return (Sales-to-Price) | Daniel and Titman (2006) JF | 1959–2024 | 0.65% | −0.39% | −0.22% | |
| IntMom | 12-to-6-Month Momentum | Novy-Marx (2012) JFE | 1930–2024 | 6.62% | 5.46% | 5.57% | |
| Investment | Investment-to-Revenue Ratio | Titman, Wei and Xie (2004) JFQA | 1956–2024 | 2.65% | 2.24% | 2.26% | |
| InvestPPEInv | PP&E and Inventory Growth | Lyandres, Sun and Zhang (2008) RFS | 1955–2024 | 3.53% | 1.47% | 1.73% | |
| InvGrowth | Inventory Growth (Deflated) | Belo and Lin (2012) RFS | 1955–2024 | 4.52% | 0.80% | 1.32% | |
| IO_ShortInterest † | Institutional Ownership Among High Short Interest | Asquith Pathak and Ritter (2005) JFE | 1983–2024 | 25.23% | 30.07%† | 27.82%† | |
| iomom_cust | Customer-Industry Momentum | Menzly and Ozbas (2010) JF | 1989–2024 | 3.75% | 3.28% | 3.23% | |
| iomom_supp | Supplier Industry Momentum | Menzly and Ozbas (2010) JF | 1989–2024 | 7.79% | 6.67% | 6.58% | |
| Leverage | Market Leverage | Bhandari (1988) JF | 1954–2024 | 0.02% | −1.09% | −0.86% | |
| LRreversal | Long-Run Reversal | De Bondt and Thaler (1985) JF | 1932–2024 | 3.89% | 3.50% | 3.51% | |
| MaxRet | Maximum Daily Return | Bali, Cakici, and Whitelaw (2011) JFE | 1929–2024 | 6.71% | 5.77% | 5.87% | |
| MeanRankRevGrowth | Revenue Growth Rank | Lakonishok, Shleifer, Vishny (1994) JF | 1960–2024 | 0.60% | −0.66% | −0.44% | |
| Mom12m | 12-Month Momentum | Jegadeesh and Titman (1993) JF | 1930–2024 | 10.14% | 9.50% | 9.50% | |
| Mom12mOffSeason | Off-Season Momentum | Heston and Sadka (2008) JFE | 1929–2024 | 7.97% | 7.50% | 7.50% | |
| Mom6m | 6-Month Momentum | Jegadeesh and Titman (1993) JF | 1929–2024 | 4.77% | 5.62% | 5.27% | |
| Mom6mJunk | 6-Month Momentum, Junk Stocks | Avramov et al (2007) JF | 1989–2024 | 9.66% | 8.65% | 8.42% | |
| MomOffSeason | Off-Season Long-Term Reversal | Heston and Sadka (2008) JFE | 1930–2024 | 5.39% | 3.66% | 3.88% | |
| MomOffSeason06YrPlus | Off-Season Reversal (Years 6-10) | Heston and Sadka (2008) JFE | 1934–2024 | 3.55% | 0.77% | 1.50% | |
| MomOffSeason11YrPlus | Off-Season Reversal (Years 11-15) | Heston and Sadka (2008) JFE | 1939–2024 | 1.90% | −0.24% | 0.09% | |
| MomOffSeason16YrPlus | Off-Season Return, Years 16-20 | Heston and Sadka (2008) JFE | 1944–2024 | 2.14% | 1.97% | 1.97% | |
| MomRev † | Momentum and Long-Term Reversal | Chan and Ko (2006) JOIM | 1932–2024 | 8.83% | 2.41%† | 3.18%† | |
| MomSeason | Return Seasonality (Years 2-5) | Heston and Sadka (2008) JFE | 1931–2024 | 4.38% | 1.54% | 1.83% | |
| MomSeason06YrPlus | Return Seasonality (Years 6-10) | Heston and Sadka (2008) JFE | 1935–2024 | 6.58% | 6.52% | 6.30% | |
| MomSeason11YrPlus | Return Seasonality, Years 11-15 | Heston and Sadka (2008) JFE | 1940–2024 | 4.27% | 3.21% | 3.33% | |
| MomSeason16YrPlus | Return Seasonality, Years 16-20 | Heston and Sadka (2008) JFE | 1945–2024 | 3.09% | 3.08% | 3.01% | |
| MomSeasonShort | Same-Month Return Seasonality | Heston and Sadka (2008) JFE | 1930–2024 | 6.67% | 6.19% | 6.18% | |
| MomVol † | Momentum Among High-Volume Stocks | Lee and Swaminathan (2000) JF | 1931–2024 | 16.98% | 31.04%† | 27.18%† | |
| MRreversal | Medium-Term Reversal (13-18 Months) | De Bondt and Thaler (1985) JF | 1930–2024 | 3.48% | 3.09% | 3.11% | |
| MS † | Mohanram G-Score | Mohanram (2005) RAS | 1979–2024 | 10.49% | 7.25%† | 7.31%† | |
| NetDebtFinance | Net Debt Financing | Bradshaw, Richardson, Sloan (2006) JAE | 1975–2024 | 2.75% | 1.84% | 1.88% | |
| NetDebtPrice | Net Debt to Price | Penman, Richardson and Tuna (2007) JAR | 1966–2024 | 0.76% | 1.02% | 0.96% | |
| NetEquityFinance | Net Equity Issuance | Bradshaw, Richardson, Sloan (2006) JAE | 1975–2024 | 5.04% | 4.51% | 4.44% | |
| NetPayoutYield | Net Payout Yield | Boudoukh et al. (2007) JF | 1956–2024 | 4.27% | 3.28% | 3.40% | |
| NOA | Net Operating Assets | Hirshleifer et al. (2004) JAE | 1966–2024 | 4.36% | 4.94% | 4.50% | |
| NumEarnIncrease | Consecutive Quarterly Earnings Increases | Loh and Warachka (2012) MS | 1967–2024 | 2.26% | 2.06% | 2.03% | |
| OperProf | Operating Profitability | Fama and French (2006) JFE | 1966–2024 | 5.72% | 4.81% | 4.75% | |
| OperProfRD | R&D-Adjusted Operating Profitability | Ball et al. (2016) JFE | 1966–2024 | 6.90% | 7.42% | 6.95% | |
| OPLeverage | Operating Leverage | Novy-Marx (2011) ROF | 1954–2024 | 4.08% | 3.33% | 3.35% | |
| OptionVolume1 | Option-to-Stock Volume Ratio | Johnson and So (2012) JFE | 1999–2023 | 3.65% | −0.42% | <0.01% | |
| OptionVolume2 | Relative Option Trading Volume | Johnson and So (2012) JFE | 1999–2023 | 3.28% | 0.55% | 0.76% | |
| OrderBacklog | Order Backlog | Rajgopal, Shevlin, Venkatachalam (2003) RAS | 1974–2024 | −1.61% | −0.29% | −0.51% | |
| OrderBacklogChg | Change in Order Backlog | Baik and Ahn (2007) | 1975–2024 | −0.08% | 1.30% | 1.03% | |
| OrgCap | Organizational Capital | Eisfeldt and Papanikolaou (2013) JF | 1954–2024 | 4.46% | 4.20% | 4.14% | |
| OScore † | Ohlson O-Score (Bankruptcy Risk) | Dichev (1998) JF | 1975–2024 | 13.48% | 17.47%† | 15.80%† | |
| PatentsRD † | Patents per R&D Dollar | Hirschleifer, Hsu and Li (2013) JFE | 1980–2018 | 0.87% | −2.74%† | −2.24%† | |
| PayoutYield | Payout Yield | Boudoukh et al. (2007) JF | 1956–2024 | 3.05% | 3.04% | 2.96% | |
| PctAcc | Percent Operating Accruals | Hafzalla, Lundholm, Van Winkle (2011) AR | 1968–2024 | 2.59% | 1.90% | 1.97% | |
| PctTotAcc | Percent Total Accruals | Hafzalla, Lundholm, Van Winkle (2011) AR | 1991–2024 | 1.99% | 1.61% | 1.60% | |
| PredictedFE | Predicted Analyst Forecast Error | Frankel and Lee (1998) JAE | 1986–2024 | −1.80% | −3.34% | −2.97% | |
| Price | Log Share Price | Blume and Husic (1973) JF | 1929–2024 | −1.48% | −3.00% | −2.69% | |
| PriceDelayRsq | Price Delay (R-Squared) | Hou and Moskowitz (2005) RFS | 1930–2024 | 1.52% | 1.03% | 1.09% | |
| PriceDelaySlope | Price Delay Slope | Hou and Moskowitz (2005) RFS | 1930–2024 | 0.71% | −2.03% | −1.54% | |
| PriceDelayTstat | Price Delay (t-Stat Measure) | Hou and Moskowitz (2005) RFS | 1930–2024 | 0.68% | −2.04% | −1.55% | |
| ProbInformedTrading † | Probability of Informed Trading (PIN) | Easley, Hvidkjaer and O'Hara (2002) JF | 1997–2013 | 17.95% | 11.92%† | 11.75%† | |
| PS | Piotroski F-Score (Value Stocks) | Piotroski (2000) JAR | 1975–2024 | 6.13% | 5.11% | 5.17% | |
| RD | R&D-to-Market Cap | Chan, Lakonishok and Sougiannis (2001) JF | 1960–2024 | 3.03% | 2.37% | 2.43% | |
| RDAbility | R&D Ability | Cohen, Diether and Malloy (2013) RFS | 1977–2024 | 3.70% | −1.66% | −0.46% | |
| RDcap † | R&D Capital-to-Assets | Li (2011) RFS | 1983–2024 | 0.99% | −1.23%† | −0.76%† | |
| RDIPO † | Recent IPO Without R&D Spending | Gou, Lev and Shi (2006) JBFA | 1980–2024 | 8.97% | 7.79%† | 7.46%† | |
| RDS | Real Dirty Surplus | Landsman et al. (2011) AR | 1979–2024 | 2.52% | 1.11% | 1.25% | |
| realestate | Industry-Adjusted Real Estate Holdings | Tuzel (2010) RFS | 1973–2024 | 2.68% | 1.20% | 1.36% | |
| RealizedVol | Realized Total Volatility | Ang et al. (2006) JF | 1929–2024 | 7.90% | 7.00% | 7.04% | |
| Recomm_ShortInterest † | Analyst Recommendations and Short Interest | Drake, Rees and Swanson (2011) AR | 1997–2024 | 12.04% | 9.70%† | 9.52%† | |
| ResidualMomentum | Residual Momentum | Blitz, Huij and Martens (2011) JEmpFin | 1933–2024 | 6.40% | 5.82% | 5.84% | |
| retConglomerate | Conglomerate Segment Return | Cohen and Lou (2012) JFE | 1979–2024 | 4.11% | 2.36% | 2.54% | |
| ReturnSkew | Return Skewness | Bali, Engle and Murray (2015) Book | 1929–2024 | 1.29% | 1.19% | 1.17% | |
| ReturnSkew3F | Idiosyncratic Skewness (3-Factor Model) | Bali, Engle and Murray (2015) Book | 1929–2024 | −0.16% | −0.08% | −0.05% | |
| REV6 | Earnings Forecast Revisions (6-Month) | Chan, Jegadeesh and Lakonishok (1996) JF | 1979–2024 | 5.48% | 8.92% | 7.96% | |
| RevenueSurprise | Revenue Surprise | Jegadeesh and Livnat (2006) JAE | 1967–2024 | 0.79% | 0.98% | 0.93% | |
| RIO_Disp † | Residual Institutional Ownership, High Dispersion | Nagel (2005) JFE | 1979–2024 | 5.78% | 4.72%† | 4.73%† | |
| RIO_MB † | Residual Institutional Ownership, Growth Stocks | Nagel (2005) JFE | 1966–2024 | 5.62% | 2.70%† | 3.22%† | |
| RIO_Turnover † | Residual Institutional Ownership, High Turnover | Nagel (2005) JFE | 1929–2024 | 3.87% | 3.75%† | 3.66%† | |
| RIO_Volatility † | Residual Institutional Ownership, High Volatility | Nagel (2005) JFE | 1929–2024 | 6.46% | 6.80%† | 6.57%† | |
| RIVolSpread | Realized Minus Implied Volatility | Bali and Hovakimian (2009) MS | 1999–2022 | 8.98% | 6.63% | 6.45% | |
| roaq | Quarterly Return on Assets | Balakrishnan, Bartov and Faurel (2010) JAE | 1974–2024 | 6.35% | 6.29% | 5.98% | |
| RoE | Return on Equity | Haugen and Baker (1996) JFE | 1965–2024 | 3.18% | 3.38% | 3.22% | |
| sfe | Analyst Earnings-to-Price (Low Coverage) | Elgers, Lo and Pfeiffer (2001) AR | 1980–2024 | 8.43% | 5.94% | 6.05% | |
| ShareIss1Y | Share Issuance (1-Year) | Pontiff and Woodgate (2008) JF | 1978–2024 | 5.93% | 4.34% | 4.38% | |
| ShareIss5Y | Five-Year Share Issuance | Daniel and Titman (2006) JF | 1934–2024 | 4.79% | 4.51% | 4.43% | |
| ShareRepurchase † | Share Repurchase Indicator | Ikenberry, Lakonishok, Vermaelen (1995) JFE | 1975–2024 | 3.63% | 4.00%† | 3.76%† | |
| ShareVol † | Share Turnover | Datar, Naik and Radcliffe (1998) JFM | 1929–2024 | 6.24% | 5.54%† | 5.57%† | |
| ShortInterest | Short Interest | Dechow et al. (2001) JFE | 1976–2024 | 5.08% | 6.26% | 5.77% | |
| sinAlgo † | Sin Stock Indicator | Hong and Kacperczyk (2009) JFE | 1929–2024 | 1.83% | −1.29%† | −0.54%† | |
| Size | Market Equity (Size) | Banz (1981) JFE | 1929–2024 | 1.21% | −4.06% | −2.91% | |
| skew1 | Implied Volatility Smirk | Xing, Zhang and Zhao (2010) JFQA | 1999–2022 | 2.57% | 1.13% | 1.25% | |
| SmileSlope | Volatility Smile Slope | Yan (2011) JFE | 1999–2022 | 8.41% | 5.66% | 5.55% | |
| SP | Sales-to-Price Ratio | Barbee, Mukherji and Raines (1996) FAJ | 1954–2024 | 3.29% | 1.00% | 1.39% | |
| Spinoff † | Spinoff Indicator | Cusatis, Miles and Woolridge (1993) JFE | 1929–2024 | 1.83% | −0.21%† | 0.18%† | |
| std_turn † | Turnover Volatility | Chordia, Subra, Anshuman (2001) JFE | 1931–2024 | 11.67% | 10.99%† | 10.70%† | |
| STreversal | Short-Term Reversal | Jegadeesh (1990) JF | 1929–2024 | 3.14% | 0.14% | 0.62% | |
| SurpriseRD † | Unexpected R&D Increase | Eberhart, Maxwell and Siddique (2004) JF | 1955–2024 | 0.61% | −0.22%† | −0.09%† | |
| tang | Asset Tangibility | Hahn and Lee (2009) JF | 1954–2024 | −0.87% | −1.16% | −1.09% | |
| Tax | Taxable Income to Net Income | Lev and Nissim (2004) AR | 1954–2024 | 3.87% | 2.33% | 2.60% | |
| TotalAccruals | Total Accruals | Richardson et al. (2005) JAE | 1955–2024 | 3.34% | 3.30% | 3.20% | |
| TrendFactor | Price Trend Factor | Han, Zhou, Zhu (2016) JFE | 1929–2024 | 11.62% | 8.87% | 9.11% | |
| UpRecomm † | Downward Earnings Forecast Revision | Barber et al. (2001) JF | 1997–2024 | 4.09% | 3.18%† | 2.95%† | |
| VarCF | Cash-Flow-to-Price Variance | Haugen and Baker (1996) JFE | 1956–2024 | 0.92% | 2.60% | 2.22% | |
| VolMkt | Dollar Volume to Market Equity | Haugen and Baker (1996) JFE | 1930–2024 | 3.14% | 2.63% | 2.69% | |
| VolSD | Trading Volume Volatility | Chordia, Subra, Anshuman (2001) JFE | 1931–2024 | 3.48% | 2.17% | 2.34% | |
| VolumeTrend | Volume Trend | Haugen and Baker (1996) JFE | 1931–2024 | 4.22% | 2.18% | 2.46% | |
| XFIN | Net External Financing | Bradshaw, Richardson, Sloan (2006) JAE | 1975–2024 | 7.55% | 6.47% | 6.23% | |
| zerotrade12M | Days With Zero Trades (12-Month Avg) | Liu (2006) JFE | 1930–2024 | 3.79% | 2.67% | 2.84% | |
| zerotrade1M | Days With Zero Trades (1-Month Avg) | Liu (2006) JFE | 1929–2024 | 3.72% | 2.76% | 2.94% | |
| zerotrade6M | Days With Zero Trades (6-Month) | Liu (2006) JFE | 1929–2024 | 3.97% | 3.12% | 3.23% |
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All figures are alphas: annualized returns on the value-weighted quintile long–short portfolio except where marked, sorted each month over common stocks on the NYSE, AMEX and Nasdaq whose market value is above the NYSE 20th percentile, with breakpoints over those same stocks, and hedged each month with a market beta estimated only from the months before it (each signal's page also offers a full-sample hedge and none), and de-levered where needed so that no portfolio's full-sample volatility exceeds 40% a year. Sample is the span of quarterly returns analysed here, not the original paper's sample. Historical alpha is the full-sample mean; forecasts are posterior means of the average alpha over the next year (2027Q1–2027Q4) and next five years (2027Q1–2031Q4); hovering one shows its 95% interval, and its portfolio where marked. Each forecast conditions on that signal's own 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. † 37 signals have no quintile sort on that universe, because they take only a few distinct values or too few of its stocks carry them; those use the original paper's portfolio as replicated by Open Source Asset Pricing.