Price & Market BehaviorCore researchInvalid

R&D-Intensity Value

Updated dailyData needs: mediumlong only

2017

Peters, R. H. and Taylor, L. A. (2017), 'Intangible Capital and the Investment-q Relation', Journal of Financial Economics 123(2), 251-272; Eisfeldt, A. L., Kim, E. T. and Papanikolaou, D. (2020), 'Intangible Value', NBER Working Paper 28056 (published in Critical Finance Review, 2022)

Citation only, paper link pending.

In plain terms

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.

How it works

Standard book-to-market misclassifies R&D-heavy firms as growth because GAAP expenses R&D instead of capitalizing it. Peters-Taylor 2017 capitalize R&D (plus part of SG&A) via the perpetual-inventory method and add the stock to book equity; Eisfeldt-Kim-Papanikolaou show that sorting on this intangible-adjusted book-to-market restores the value premium for tech/biotech. Our implementation is an intentional, documented proxy of that construct, not the paper's cross-sectional sort: it trades a per-ticker 12Q rolling z-score of R&D/total_assets combined with a price-below-200d-MA drawdown trigger (long cheap R&D-intensive firms). Direction and long-only mode match the paper.

Live results

0 times picked on its own · 7 times inside a blend (7 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 7 such blended picks (7 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Fundamentals
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.

Expected edge

Tested over: US Compustat, 1975 onward (post-SFAS No. 2 R&D disclosure; intangible-adjusted HML per EKP)

See the source research for the original effect size; a modern replication on new data may be weaker.

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