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Screens

Download Global Screen (download link)
Download Global Screen Data Only (download link)


Factors
  • Equity Duration -> A quantitative DCF. The model looks to approximate the duration of the equity or how long it would take a company to repay investors in years. It is based on a paper by Dechow called “Implied Equity Duration A New Measure of Equity Risk”
  • F-Score (Quality Value) -> Additional Detial Below. The F-Score is a model for identifying quality stocks that have a value tilt. It is based on the paper “The Use of Historical Financial Statement Information to Separate Winners from Losers”
  • G-Score (Quality Growth) -> Additional Detial Below. The G-Score is a model for identifying quality stocks that have a growth tilt. It is based on the paper “Separating Winners from Losers among Low Book-to-Market Stocks using Financial Statement Analysis”
  • USD Correlation -> 5 year correlation of the relative performacne of the stock YoY to the YoY Change in the DXY index (DXY CURNCY). The periocity is monthly (i.e. 60 observations)
  • U.S. 10Yr Correlation -> 5 year correlation of the relative performacne of the stock YoY to the YoY basisi point difference in the U.S. 10 year (USGG10YR Index). The periocity is monthly (i.e. 60 observations)
  • Global HY Correlation -> 5 year correlation of the relative performacne of the stock YoY to the YoY basisi point difference in the global high yield (HW00 Index [OAS]). The periocity is monthly (i.e. 60 observations)
  • Global PMI Correlation -> 5 year correlation of the relative performacne of the stock YoY to the level of the PMI index (MPMIGLMA Index). The periocity is monthly (i.e. 60 observations)
  • Oil Correlation -> 5 year correlation of the relative performacne of the stock YoY to the YoY Change in oil (CL1 COMB Comdty). The periocity is monthly (i.e. 60 observations)
  • Dividend Yield- > Current dividend yield implied by current indicated dividend.
  • Beta -> 5 year price beta. Monthly change in price vs the benchmark.

F-Score (Quality Value)
F1 = ROA > 0
F2 = ROA YoY Change > 0
F3 = Cash Flow From Ops to Assets > 0
F4 = CfROA > ROA
F5 = Margin YoY Change > 0
F6 = Asset Turnover YoY Change > 0
F7 = Leverage < Leverage 1 Year Ago
F8 = Current Ratio YoY Change > 0
F9 = Issuance < 0
Piotroski Score Is The Sum Of All
Modified F-Score Is Average Of Select Factors

G-Score (Quality Growth)
G1 = ROA > Industry Median
G2 = CfROA > Industry Median
G3 = CfROA > ROA
G4 = 5 Year EPS Variance < Industry Median
G5 = 5 Year Sales Variance < Industry Median
G6 = R&D > Industry Median
G7 = CAPEX > Indsutry Median
G8 = Advertising > Industry Median
Mohanram Score Is The Sum Of All
Modified G-Score Is Average Of Select Factors