Price & Market BehaviorCore researchlive in production

Accruals Quality

Updated quarterlyData needs: lowlong onlyshort onlylong short

1996

#37 sloan_accruals — Sloan 1996 accruals anomaly.

In plain terms

Earnings backed by cash flow are repeatable; earnings backed by accruals (paper changes in receivables/inventory) fade. Short high-accrual names.

How it works

Earnings persistence is much lower in firms with high accruals. Going long low-accrual and short high-accrual delivers ~10% annualized over 1962-1991 (Sloan 1996, Accounting Review). Richardson-Sloan-Soliman-Tuna (2005, JAE) refined the measure to a broader balance-sheet accrual definition. Status (2024 replication consensus): alive in small caps, faded in large caps post-2003.

Live results

0 times picked on its own · 2 times inside a blend (1 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 2 such blended picks (1 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)

Loading substrate evidence…

Data dependencies

Fundamentals quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.

Expected edge

Reported return: ~10% ann. L/S (1962-1991); 4-6% OOS
Tested over: 1962-1991

~10% ann. long-short in Sloan 1996; 4-6% post-publication

Example tickers where this is likely to fire

BRK.B BLK

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Cash ProfitabilityPrice & Market Behavior

Cash operating profit (backs out accrual fudges) over book equity is a sharper quality predictor than gross profit. Long the cash-rich.

Buyback DriftPrice & Market Behavior

Companies that announce (or quietly start) share buybacks beat the market by 3-4% over the next year, strongest in beaten-down value names.

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