Alpha Library / Point-in-time Fundamentals
Point-in-time Fundamentals 20 alphas
US SEC fundamentals anchored to the filing date, so a backtest never sees a number before it was published.
| id | theme | universe | decay | warmup |
|---|---|---|---|---|
| fund_accruals | quality | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_asset_growth | growth | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_book_to_market | value | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_cash_to_assets | quality | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_cfo_yield | quality | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_dividend_yield | value | equity_cn | 252 | 1 |
| fund_dividend_yield_ind_neutral | value | equity_cn | 252 | 1 |
| fund_earnings_growth | growth | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_earnings_yield | value | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_fcf_yield | value | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_gross_profitability | quality | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_leverage | leverage | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_operating_margin | quality | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_pb | value | equity_cn | 252 | 1 |
| fund_pb_ind_neutral | value | equity_cn | 252 | 1 |
| fund_ps_ttm | value | equity_cn | 252 | 1 |
| fund_ps_ttm_ind_neutral | value | equity_cn | 252 | 1 |
| fund_revenue_growth | growth | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_roa | quality | equity_us, equity_cn, equity_hk | 252 | 1 |
| fund_roe | quality | equity_us, equity_cn, equity_hk | 252 | 1 |