Build a fund step by step.

• profitability+Cash-based operating profitabilityBuys firms with high cash operating profit relative to their assets.0.76Sharpe
• investment+Share issuanceBuys firms that issued the fewest new shares over the past year.0.66Sharpe
• profitability+Gross profitabilityBuys firms with high gross profit relative to their assets.0.59Sharpe
• investment+Composite equity issuanceBuys firms that issued the least equity over the past five years.0.57Sharpe
• investment+Capital spending growthBuys firms that grew their capital spending the least.0.55Sharpe
• profitability+Operating profitabilityBuys firms with high operating profit relative to book equity.0.50Sharpe
• value+R&D intensityBuys firms that spend the most on R&D relative to their market value.0.49Sharpe
• profitability+Return on assetsBuys firms that earn the most on their assets.0.45Sharpe
• momentum+12-month momentumBuys the biggest winners of the past year.0.45Sharpe
• momentum+6-month momentumBuys the biggest winners of the past six months.0.43Sharpe
• profitability+Return on equityBuys firms that earn the most on their book equity.0.39Sharpe
• accruals+Net operating assetsBuys firms with few net operating assets relative to total assets.0.34Sharpe
• value+Cash-flow yieldBuys stocks with high cash flow relative to their market value.0.33Sharpe
• value+Sales-to-priceBuys stocks with high sales relative to their market value.0.32Sharpe
• accruals+Change in net operating assetsBuys firms whose net operating assets grew the least.0.28Sharpe
• investment+Net debt financingBuys firms that raised the least new debt.0.28Sharpe
• profitability+Change in taxesBuys firms whose tax expense rose the most over the past year.0.26Sharpe
• investment+Change in equityBuys firms whose equity grew the least relative to their assets.0.24Sharpe
• momentum+Intermediate momentumBuys the winners of seven to twelve months ago.0.20Sharpe
• momentum+Industry momentumBuys stocks in the industries that rose the most over the past year.0.20Sharpe
• investment+Inventory changeBuys firms that added the least inventory.0.20Sharpe
• leverage+Net debt to priceBuys firms with little net debt relative to their market value.0.19Sharpe
• investment+Net equity financingBuys firms that raised the least equity, or bought back the most.0.19Sharpe
• leverage+Operating leverageBuys firms with high operating costs relative to their assets.0.19Sharpe
• investment+Asset growthBuys firms that grew their assets the least.0.18Sharpe
• investment+Investment in plant and inventoryBuys firms that added the least plant, equipment and inventory.0.18Sharpe
• value+Book-to-marketBuys stocks that are cheap relative to their book value.0.16Sharpe
• investment+Equity growthBuys firms whose book equity grew the least.0.14Sharpe
• value+Operating cash-flow yieldBuys stocks with high operating cash flow relative to their market value.0.13Sharpe
• momentum+52-week highBuys stocks trading closest to their 52-week high.0.09Sharpe
• leverage+Market leverageBuys firms with high liabilities relative to their market value.0.07Sharpe
• value+Enterprise multipleBuys stocks with a low enterprise value relative to EBITDA.0.07Sharpe
• size+Low trading volumeBuys the least heavily traded stocks.0.06Sharpe
• investment+TangibilityBuys firms whose assets are the most tangible.0.05Sharpe
• size+Small sizeBuys the smallest companies.0.03Sharpe
• value+Earnings yieldBuys stocks with high earnings relative to their price.0.03Sharpe
• investment+Sales growthBuys firms with the slowest sales growth.0.03Sharpe
• profitability+Cash holdingsBuys firms holding the most cash relative to their assets.0.02Sharpe
• value+Assets-to-marketBuys firms with large total assets relative to their market value.0.00Sharpe
• leverage+Book leverageBuys firms with low balance-sheet leverage.-0.00Sharpe
• low risk+Low volatilityBuys the least volatile stocks.-0.05Sharpe
• low risk+Steady turnoverBuys stocks whose share turnover varies the least.-0.06Sharpe
• profitability+Gross marginBuys firms with the highest gross margins.-0.08Sharpe
• reversal+Short-term reversalBuys last month's biggest losers.-0.09Sharpe
• low risk+Steady volumeBuys stocks whose trading volume varies the least.-0.11Sharpe
• accruals+AccrualsBuys firms whose earnings rely least on accounting accruals.-0.17Sharpe
• value+Low share priceBuys the lowest-priced stocks.-0.18Sharpe
• value+Cash productivityBuys firms the market values least above their assets, per dollar of cash held.-0.18Sharpe
• investment+Change in current operating assetsBuys firms whose current operating assets grew the least.-0.21Sharpe
• reversal+Long-term reversalBuys the biggest losers of the past five years.-0.27Sharpe
• investment+Change in current operating liabilitiesBuys firms whose current operating liabilities grew the least.-0.32Sharpe

Lines and Sharpe: each signal alone, all stocks, long-short.