Alpha Library  /  Point-in-time Fundamentals  /  fund_fcf_yield

fund_fcf_yield

FCF yield - (CFO - capex) over market cap

Themes & universe

valueequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\left(\frac{\mathrm{CFO}-\mathrm{capex}}{\mathrm{close}\times\mathrm{shares\_diluted}}\right)

Definition

id

fund_fcf_yield

zoo

fundamental

module_path

src.factors.zoo.fundamental.fcf_yield

decay_horizon

252

min_warmup_bars

1

requires_sector

False

columns_required

close, fund:cfo, fund:capex, fund:shares_diluted

Notes

Valuation proxy: close times weighted-average diluted shares is not reported market capitalization; adjusted closes can change the level. PIT-safe free-cash-flow yield: FCF = CFO - capex, scaled by market cap (close x shares_diluted) computed in the factor file per the _fundamental_schema.py price-dependent convention. Sign assumption: capex is reported as a positive magnitude (SEC concept PaymentsToAcquirePropertyPlantAndEquipment), so subtracting it from CFO yields FCF directly. High FCF yield (cheap on cash generation, cf. Lakonishok-Shleifer-Vishny 1994 cash-flow yield value factors) scores high. Zero/non-finite market cap becomes NaN via safe_div before cross-sectional z-scoring; missing statements remain NaN and are excluded from that date's cross-section.

Run it

pip install vibe-trading-ai
vibe-trading alpha show fund_fcf_yield
vibe-trading alpha bench --zoo fundamental --universe csi300 --period 2020-2025