Profitability Trend — US

Quarterly gross profit, regression model

product_id profitability_trend_us · 4800+ stocks · daily refresh · since 2003-01-01 · 1 data columns · API/CSV

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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

Statistics

Metric	Q1	Q2	Q3	Q4	Q5	Q6	Q7	Q8	Q9	Q10	SPY
CAGR	11.59%	8.04%	9.42%	9.79%	9.31%	9.93%	10.93%	10.83%	11.20%	8.71%	9.37%
Cumulative Return	1252.22	526.93	748.51	819.64	728.23	848.13	1075.85	1050.31	1144.40	626.83	678.46
Annual Volatility	19.76%	17.78%	19.08%	18.40%	17.21%	16.91%	16.72%	16.62%	16.21%	17.24%	14.47%
Sharpe	0.66	0.53	0.57	0.60	0.61	0.65	0.71	0.70	0.74	0.57	0.69
Calmar	0.22	0.15	0.19	0.17	0.20	0.20	0.22	0.22	0.25	0.21	0.18
Max Drawdown	-52.63%	-54.55%	-50.75%	-56.48%	-45.99%	-48.74%	-48.81%	-50.34%	-45.17%	-42.02%	-52.56%
Omega	1.75	1.54	1.61	1.64	1.61	1.66	1.73	1.73	1.79	1.56	1.68
Sortino	1.08	0.79	0.87	0.93	0.94	1.01	1.15	1.11	1.18	0.90	1.04
Skew	0.18	-0.42	-0.33	-0.13	-0.26	-0.21	-0.06	-0.22	-0.14	0.02	-0.61
Kurtosis	5.29	5.02	6.83	4.29	3.11	2.51	1.93	2.81	1.92	2.49	1.40
Tail	1.36	1.18	1.04	1.06	1.06	1.23	1.17	1.13	1.23	1.14	0.99
Value At Risk	-0.08	-0.08	-0.08	-0.08	-0.07	-0.07	-0.07	-0.07	-0.07	-0.07	-0.06
Alpha	3.88%	0.60%	1.31%	1.81%	1.52%	2.11%	3.03%	3.11%	3.51%	1.18%	0.00%
Beta	1.09	1.05	1.14	1.11	1.06	1.06	1.05	1.03	1.02	1.04	1.00

Data through 2026-10-26

Comparison

Statistics · Q1

Metric	Trend Profit
CAGR	11.59%
Cumulative Return	1252.22
Annual Volatility	19.76%
Sharpe	0.66
Calmar	0.22
Max Drawdown	-52.63%
Omega	1.75
Sortino	1.08
Skew	0.18
Kurtosis	5.29
Tail	1.36
Value At Risk	-0.08
Alpha	3.88%
Beta	1.09

Data through 2026-10-26

Data

The profitability trend is available for all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.

Coverage · top 10 sectors

Sector	Count	Type	Start date
Finance	1,126	Equities	2003-01-01
Health Technology	768	Equities	2003-01-01
Technology Services	391	Equities	2003-01-01
Electronic Technology	387	Equities	2003-01-01
Producer Manufacturing	303	Equities	2003-01-01
Consumer Services	280	Equities	2003-01-01
Non-Energy Minerals	237	Equities	2003-01-01
Energy Minerals	223	Equities	2003-01-01
Commercial Services	220	Equities	2003-01-01
Industrial Services	193	Equities	2003-01-01

Delivery & access

The profitability trend is calculated daily for thousands of stocks.

This data is available via API and CSV download.

Sample data

Documentation

Approach

The profitability trend, or recent trajectory of a firm's profits predicts future profitability and stock returns. The profitability trend also predicts the earnings surprise one quarter later, and analyst forecast errors over the following twelve months, suggesting that sophisticated investors underreact to the information in the profit trend.

Factors evaluated

The profitability trend is the trend regression of the quarterly gross profit over the past eight quarters.

·First, we calculate quarterly gross profit (GPQ) as quarterly sales minus quarterly cost of goods sold scaled by total asset, then we compute the level of quarterly gross profit for each firm as the average GPQ over the most recent 8 quarters. Finally, the trend in profits is measured using regression model.

Methodology

Profitability Trend (PT) coefficient is calculated for each stock, and ranked from the highest to the lowest PT value. The ranking of PT is also normalized with Z-Score function.

We then divided the universe into 10 quantiles of stocks, with the top quantile (Q_10) representing the highest expected future productivity and profitability and the bottom quantile (Q_1) representing the lowest expected future productivity and profitability.

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