Enterprise Yield
In plain terms
EV-based yield (EBITDA/EV and FCF/EV) catches cheapness that book/price misses on debt-heavy firms. We average those two and prefer the cheapest names trending up.
How it works
Equity-only value metrics (B/M, E/P) understate cheapness of debt-financed growth firms. Greenblatt's Magic Formula uses EBIT/EV to neutralize capital-structure differences; institutional baseline is EBITDA/EV. We average a composite-z of EBITDA/EV-TTM and FCF/EV-TTM over the ticker's own 12Q history. Orthogonal to B/M (value_composite); the two together fill the value bucket.
Data dependencies
- Fundamentals quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Reported return
- 4-7% ann. EV-yield spread; +1% over B/M
- Tested over
- 1990-2014
Asness et al 2015: EBITDA/EV factor 4-7% ann. spread; combined with B/M ~1% incremental.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Cheap is cheap if it shows up across multiple yardsticks, not just one. We rank each company on book/price, earnings/price, cashflow/price, and EBIT/enterprise-value, average those ranks, and prefer the cheapest names trending up.
Standard value factors mistake R&D-heavy tech firms as 'growth' because R&D is expensed not capitalized. Adding R&D back uncovers hidden value.
High-quality stocks (good margins, high ROE) that are ALSO trending up tend to beat low-quality losers. Goes long only when both check out.
Explore Enterprise Yield on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.