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Sales per Share Position 252 factor (quality indicator)
The Sales per Share Position 252 factor refers to a stock’s ranking based on its sales per share over the past 252 trading days. It’s a quality indicator that highlights the efficiency of a company’s sales generation relative to its total shares. This position can be linked to the company’s profitability and financial robustness. Investors can use this data point to identify and invest in companies with higher sales efficiency.
Statistical significance of the indicator
Previous 12 months
- Signal strength (T-test): 4.1450 (✓)
- Statistical confidence (P-value): 99.9185 % (✓)
- Signal direction: Ascending (↗)
In the previous 12 months, the factor appeared to be statistically significant. Stocks with the highest score overperformed those with the lowest score.
Long-term
- Signal strength (T-test): 0.8362 (×)
- Statistical confidence (P-value): 79.8211 % (×)
- Signal direction: Descending (↘)
However, the factor is not statistically significant in the long term. The direction is opposite and the 2024 results go against the long-term trend.
Stocks with the highest and lowest values (S&P 100 universe)
- Stocks with the highest score: AAPL, MSFT, NVDA, AMZN, META.
- Stocks with the lowest score: INTC, MMM, FDX, TGT, AIG.
Factor-based investment portfolio
A portfolio built on an investment in the 10 stocks with the highest indicator value has significantly outperformed its underlying benchmark over the past 5 years.
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