enterprise yield
What it checks
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.
Mechanism
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.
Signal rule
Composite z of EBITDA/EV-TTM and FCF/EV-TTM; long top quartile composite + 60d uptrend, short bottom quartile + 60d downtrend.
Data dependencies
fundamentals_quarterlyQuarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- 4-7% ann. EV-yield spread; +1% over B/M
- Paper window
- 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
value compositeValueSingle-metric value (B/M alone, the original Fama-French HML) has been crowded for two decades. Asness-Frazzini 2013 showed that averaging several normalized value metrics (B/M, E/P, CF/P, EBIT/EV) recovers the lost spread. EV-based metrics (EBIT/EV) work better than equity-only metrics on asset-light firms. We z-score each metric over the ticker's own 12-quarter history and average — long when composite z is in the top quartile and trend confirms, short when bottom quartile and trend confirms.
rd capitalized valueAccountingStandard book-to-market based value factors mis-classify R&D-heavy firms as "growth" because R&D is expensed (not capitalized) under GAAP. Peters-Taylor 2017 + Eisfeldt-Kim-Papanikolaou 2020 show that adding capitalized R&D back to book equity restores the value premium for tech/biotech and reverses the apparent "value-is-dead" finding of the 2010s. We compute an R&D-intensity metric per ticker and overweight it when it's accompanied by a price drawdown — the intangibles-implied value play.
qmjQualityQuality-Momentum (Asness-Frazzini-Pedersen 2019 QMJ): combine quality (gross profit / assets, ROE) with momentum — long when both are in their respective top buckets relative to their own history. The canonical cross-sectional implementation would rank across the universe; we approximate with self-relative quintiles, with fundamentals available-date lagged 45d to respect filing latency.
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