Strategy
Quality & Value
Cash-flow and earnings yield, with profitability as a quality screen.
EXPERIMENTAL
Methodology
- Method
- FCF yield + earnings yield z-scores from SEC filings dated by filing; banks excluded from FCF.
- Data
- SEC XBRL filings
- Horizon
- ~3 months
- Strategy pod
- value
Risk caveat
Value can lag for years; financial-statement data arrive with delays and restatements.
Validation evidence
Highest point estimate among our pods, but its edge over an equal-weight universe is not statistically significant.
Simulated, survivorship-biased backtests on today's large caps. Hypothetical; not a forecast. Disclosures.