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.
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Lu Zhang
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