Hou Xue Zhang Q Factor Xsec Pit
In plain terms
Research-only accepted-time fundamental policy. It is not production-approved or an established return effect.
How it works
incorrect_implementation: per-ticker own-history two-ratio percentile is not the HXZ 2015 cross-sectional model; the successor is an internal annual I/A x ROE corner hypothesis, not HXZ's monthly 2x3x3 size/investment/profitability model
Data dependencies
- Xbrl fundamental snapshots pit
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec accounting factor signals
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec fundamental formation manifests
A data feed this strategy reads, refreshed on its normal schedule.
- Stock borrow pit
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal policy post-cost against identical-episode controls.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Score a company on four 'quality' dimensions — profitability, growth, low debt, dividend payout. The top 25% combo go long, the bottom 25% go short. Hold 3-12 months.
Companies that grow their balance sheet aggressively (lots of new assets, M&A, capex spikes) tend to under-deliver the next 1-3 years — the market trusted the empire-building story too much. Bet on the boring low-growth names instead.
Cash operating profit (backs out accrual fudges) over book equity is a sharper quality predictor than gross profit. Long the cash-rich.
Stocks whose gross profitability is improving versus their own past year AND that are trending up over 12 months get a long position; otherwise hold cash. A simplified single-stock take on the Quality Minus Junk idea; the full 4-factor composite is the quality_minus_junk family.
Explore Hou Xue Zhang Q Factor Xsec Pit on alphactor.ai
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