Value Composite Internal Xsec Pit
In plain terms
Research-only accepted-time fundamental policy. It is not production-approved or an established return effect.
How it works
internal_hypothesis (misattributed): the four-leg composite is registered as Alphactor's exact policy, not an Asness-Frazzini replication; legs are cross-sectional z-scores at formation
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
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.
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.
Companies that announce (or quietly start) share buybacks beat the market by 3-4% over the next year, strongest in beaten-down value names.
Score each company on 9 boring-but-important accounting checks (positive profit, improving margin, no new shares issued, less debt, etc.). Stocks that pass 7-9 of them are quality compounders; stocks that pass 0-2 are distressed. Long the strong, short the weak.
Explore Value Composite Internal Xsec Pit on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.