Accounting#38tier 1live in production

`novy marx gross profitability`

cadence: Dailydata: mediumlong onlyshort onlylong short

Mechanism

(Revenue − COGS) / total_assets — gross profitability — predicts cross-sectional returns as strongly as book-to-market, and has been the mainstream "profitability" leg of the FF5 model since 2015. Distinct from QMJ which composites profitability+growth+safety; standalone GP is the high-beta version that explains more of the

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
fundamentals
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.

Expected edge

Decay debate is whether the spread has narrowed (yes: 30-50%) but the sign is intact and replicable across vendors.

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

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novy marx gross profitability