Testing Portfolios, 2024

We have just released the 2024 edition of testing portfolios for the q-data library. Please see:

global-q.org/testingportfolios.html

All anomaly categories except for profitability have taken a hit in 2023.

Across 48 anomaly variables, the high-minus-low profitability decile earns on average 18.57%.

The expected growth decile has done even better, earning on average 35.84%, 40.73%, and 32.69% at the 1-, 6-, 12-month horizons, respectively.