rd intensity growth momentum
What it checks
Firms with rapidly rising R&D-to-revenue ratios (above their own 2-year baseline) and a confirming 60-day price uptrend tend to outperform over the next quarter as the market under-prices R&D productivity.
Mechanism
Chan-Lakonishok-Sougiannis 2001 document that firms with HIGH and RISING R&D-to-sales ratios earn +9 to +12% annualized excess returns over the subsequent 3-year window. The market under-prices the productivity of R&D spend on the way up; the drift is multi-quarter momentum, not contrarian. Mechanism: rolling 8Q z-score of R&D/Revenue, trend-confirmed by a 60-day price uptrend on the filing-day fires LONG for one quarter (per-event hold appropriate at our per-ticker resolution).
Signal rule
8Q rolling z-score of R&D/Revenue >= 0.75 (or 1.25) AND close > 60d MA on T+1 fires LONG for 63 days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
key_metricsWorker data table, see services/worker schema.
Expected edge
- Paper alpha
- +9 to +12% annualized
- Paper window
- 3-year drift; per-event hold 63d
Chan-Lakonishok-Sougiannis 2001; +9 to +12% annualized over the 3-year window.
Related families
rd capitalized valueQualityStandard 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 โ the intangibles-implied value play.
novy marx gross profitabilityQuality(Revenue โ COGS) / total_assets โ gross profitability โ predicts cross-sectional returns as strongly as book-to-market, and has been the mainstream "profitability" leg of the FF5 model since 2015. Distinct from QMJ which composites profitability+growth+safety; standalone GP is the high-beta version that explains more of the cross-section. Status: alive. Decay debate is whether the spread has narrowed (yes: 30-50%) but the sign is intact and replicable across vendors.
patent innovation premiumAlt-DataPatent values inferred from 3-day stock reaction to USPTO grant. Firms with high value of recently granted patents (relative to market cap) outperform by ~3-5%/yr โ real options on growth the market under-prices until citations validate.
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