PRF003Factor HubProfitability FactorsLow
Gross Profitability Factor
Novy-Marx gross-profit-to-assets: academically validated predictor of cross-section returns.
Formula
GP/A = 毛利润 / 总资产Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
7.82%
Sharpe ratio
0.49
Max drawdown
-30.06%
Total return
112.28%
Cumulative performance（2016-09 … 2026-08）
2016 -2.0%2017 -10.2%2018 -4.0%2019 +24.9%2020 +27.8%2021 +13.7%2022 +26.3%2023 -8.3%2024 +3.3%2025 +9.1%2026 +6.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | MU | Micron Technology | 1.058 |
| 2 | SYK | Stryker | 0.915 |
| 3 | WDAY | Workday | 0.899 |
| 4 | ADI | Analog Devices | 0.883 |
| 5 | VRTX | Vertex Pharmaceuticals | 0.849 |
| 6 | CRM | Salesforce | 0.838 |
| 7 | DELL | Dell Technologies | 0.837 |
| 8 | ANET | Arista Networks | 0.808 |
| 9 | GILD | Gilead Sciences | 0.801 |
| 10 | AVGO | Broadcom | 0.782 |
| 11 | MDB | MongoDB | 0.767 |
| 12 | BMY | Bristol-Myers Squibb | 0.750 |
| 13 | ADBE | Adobe | 0.734 |
| 14 | BSX | Boston Scientific | 0.721 |
| 15 | AMD | Advanced Micro Devices | 0.711 |
| 16 | UNH | UnitedHealth | 0.708 |
| 17 | MRK | Merck | 0.702 |
| 18 | MS | Morgan Stanley | 0.695 |
| 19 | NXPI | NXP Semiconductors | 0.685 |
| 20 | ON | ON Semiconductor | 0.681 |
| 21 | ORCL | Oracle | 0.658 |
| 22 | NOW | ServiceNow | 0.653 |
| 23 | STT | State Street | 0.639 |
| 24 | QCOM | Qualcomm | 0.621 |
| 25 | MSFT | Microsoft | 0.620 |
| 26 | CHTR | Charter Communications | 0.613 |
| 27 | WFC | Wells Fargo | 0.608 |
| 28 | ABBV | AbbVie | 0.600 |
| 29 | DLR | Digital Realty | 0.574 |
| 30 | KLAC | KLA | 0.574 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.