Profitability Trend - US

Overview

A profitability trend is the evolution of profit within a business. An upward trend means that profit has generally increased over time in the short or long run. A downward profitability trend means profits are declining. Recognizing problems early in profitability trends gives you a better chance to address revenue and cost issues in play.

Data Highlights

Profitability refers to a company's relative ability to generate a profit currently and into the future. However, a new business may not have yielded a quarterly profit, but it could have increasing profitability if its profit trend is improving.

On the contrary, an established business may have generated profit in a recent period, while its recent profitability trends call its future viability into question. In the long run, net profitability is vital to achieving for-profit business objectives. However, profit trends are often a strong sign as to big-picture profitability.

Performance Showcase

The demonstration of Profitability Trend performance shows the comparison of different quantile portfolios. Portfolios were rebalanced monthly using a market-cap weighted method, with 20 bps deducted as costs per transaction.

 
Annual Return
Cumulative Return
Volatility
Sharpe ratio
Calmar ratio
Max Drawdown
Omega ratio
Sortino ratio
Skew
Kurtosis
Tail ratio
Monthly value at risk
Alpha
Beta
SPY
7.55%
238.34
13.46%
0.61
0.14
-52.56%
1.60
0.89
-0.78
2.16
1.00
-0.06
0.00%
1.00
Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Q10
11.21% 8.69% 8.85% 9.62% 7.95% 9.84% 10.54% 10.05% 10.37% 9.57%
497.92 306.54 316.55 369.58 262.34 385.65 440.01 401.11 426.14 365.70
18.15% 16.25% 17.13% 18.13% 16.50% 16.11% 15.65% 15.84% 14.90% 15.92%
0.68 0.60 0.58 0.60 0.55 0.67 0.72 0.69 0.74 0.66
0.21 0.16 0.18 0.17 0.17 0.20 0.21 0.20 0.23 0.23
-52.63% -55.09% -50.24% -55.35% -47.36% -48.54% -49.66% -50.62% -44.82% -41.51%
1.77 1.64 1.62 1.65 1.54 1.70 1.75 1.73 1.81 1.66
1.11 0.93 0.91 0.94 0.84 1.04 1.18 1.08 1.17 1.05
0.08 -0.21 0.01 0.09 -0.24 -0.17 -0.07 -0.29 -0.25 0.02
3.85 4.25 3.91 4.80 3.05 2.88 1.91 3.61 2.41 2.28
1.26 1.09 1.06 1.07 0.99 1.18 1.26 1.09 0.98 1.04
-0.08 -0.07 -0.07 -0.08 -0.07 -0.07 -0.06 -0.07 -0.06 -0.07
5.29% 3.07% 2.75% 3.15% 1.93% 3.78% 4.45% 4.07% 4.64% 3.97%
1.11 1.05 1.14 1.22 1.12 1.10 1.08 1.07 1.01 1.02