{ "name": "Sharemaestro Factor Intelligence schema", "entities": { "FactorUniverse": [ { "name": "id", "type": "BigAutoField", "help_text": "" }, { "name": "name", "type": "CharField", "help_text": "" }, { "name": "display_name", "type": "CharField", "help_text": "" }, { "name": "currency", "type": "CharField", "help_text": "Primary ISO currency code, e.g. GBP, USD, EUR, JPY" }, { "name": "include_currencies", "type": "JSONField", "help_text": "Additional currency codes alongside primary. e.g. ['GBX'] for GBP_UK so pence-denominated tickers are included." }, { "name": "countries", "type": "JSONField", "help_text": "ISO2 country codes to include. e.g. ['GB'] or ['FR','DE','NL','BE','PT','ES','IT','AT','IE','FI','GR']. Empty = currency-only filter (no country restriction)." }, { "name": "min_market_cap_usd", "type": "DecimalField", "help_text": "USD equivalent minimum market cap for ranking inclusion." }, { "name": "min_market_cap_local", "type": "DecimalField", "help_text": "Minimum market cap in the universe's local currency. Optional alternative to min_market_cap_usd \u2014 avoids FX dependency. If set, takes precedence over min_market_cap_usd for this universe." }, { "name": "min_tickers_for_activation", "type": "PositiveSmallIntegerField", "help_text": "Universe must have at least this many rankable tickers to be active." }, { "name": "benchmark_symbol", "type": "CharField", "help_text": "Override benchmark for Mansfield RS within this universe. Falls back to exchange.benchmark_symbol per ticker if blank. e.g. ^FTSE for GBP_UK, ^GSPC for USD_US." }, { "name": "exclude_financials", "type": "BooleanField", "help_text": "Exclude banks and insurance companies from factor ranking. Their balance sheets are structured differently (debt IS the product) so leverage ratios and NWC are not comparable." }, { "name": "exclude_utilities", "type": "BooleanField", "help_text": "Exclude utility companies (capital-intensive, regulated returns)." }, { "name": "is_active", "type": "BooleanField", "help_text": "" }, { "name": "description", "type": "TextField", "help_text": "" }, { "name": "created", "type": "DateTimeField", "help_text": "" }, { "name": "updated", "type": "DateTimeField", "help_text": "" } ], "FactorSnapshot": [ { "name": "id", "type": "BigAutoField", "help_text": "" }, { "name": "ticker", "type": "ForeignKey", "help_text": "" }, { "name": "universe", "type": "ForeignKey", "help_text": "" }, { "name": "week_end_date", "type": "DateField", "help_text": "" }, { "name": "source_primary", "type": "CharField", "help_text": "Provider that supplied the majority of fields." }, { "name": "source_gaps", "type": "JSONField", "help_text": "field_name \u2192 provider used for gap-fill." }, { "name": "financials_period_end", "type": "DateField", "help_text": "Period end date of the most recent statements used." }, { "name": "financials_age_days", "type": "PositiveSmallIntegerField", "help_text": "Days between financials_period_end and week_end_date." }, { "name": "has_full_data", "type": "BooleanField", "help_text": "" }, { "name": "completeness_score", "type": "DecimalField", "help_text": "0.0\u20131.0 fraction of key factor fields populated." }, { "name": "missing_fields", "type": "JSONField", "help_text": "" }, { "name": "is_included_in_ranking", "type": "BooleanField", "help_text": "Met market cap and data completeness thresholds." }, { "name": "is_market_leader", "type": "BooleanField", "help_text": "Above-average market cap AND revenue within this universe. O'Shaughnessy Market Leaders filter." }, { "name": "is_published", "type": "BooleanField", "help_text": "" }, { "name": "computed_at", "type": "DateTimeField", "help_text": "" }, { "name": "batch_id", "type": "CharField", "help_text": "ID of the build_factor_snapshots run that created this row." }, { "name": "os_score_delta", "type": "DecimalField", "help_text": "Change in overall_composite vs prior week's snapshot." }, { "name": "price_close", "type": "DecimalField", "help_text": "" }, { "name": "market_cap", "type": "DecimalField", "help_text": "" }, { "name": "market_cap_usd", "type": "DecimalField", "help_text": "" }, { "name": "enterprise_value", "type": "DecimalField", "help_text": "market_cap + total_debt - cash + minority_interest" }, { "name": "shares_outstanding", "type": "BigIntegerField", "help_text": "" }, { "name": "fx_rate_to_usd", "type": "DecimalField", "help_text": "" }, { "name": "pe_ratio", "type": "DecimalField", "help_text": "" }, { "name": "pb_ratio", "type": "DecimalField", "help_text": "" }, { "name": "ptbv_ratio", "type": "DecimalField", "help_text": "Price / tangible book value. More conservative than P/B for acquisitive companies with large goodwill." }, { "name": "ps_ratio", "type": "DecimalField", "help_text": "" }, { "name": "pcf_ratio", "type": "DecimalField", "help_text": "" }, { "name": "pfcf_ratio", "type": "DecimalField", "help_text": "" }, { "name": "ev_ebitda", "type": "DecimalField", "help_text": "" }, { "name": "ev_ebit", "type": "DecimalField", "help_text": "" }, { "name": "ev_sales", "type": "DecimalField", "help_text": "" }, { "name": "ev_fcf", "type": "DecimalField", "help_text": "" }, { "name": "earnings_yield", "type": "DecimalField", "help_text": "EBIT TTM / EV" }, { "name": "fcf_yield", "type": "DecimalField", "help_text": "FCF TTM / EV" }, { "name": "dividend_yield", "type": "DecimalField", "help_text": "" }, { "name": "buyback_yield", "type": "DecimalField", "help_text": "" }, { "name": "shareholder_yield", "type": "DecimalField", "help_text": "dividend + net buyback yield" }, { "name": "debt_paydown_yield", "type": "DecimalField", "help_text": "" }, { "name": "total_yield", "type": "DecimalField", "help_text": "shareholder + debt paydown yield" }, { "name": "gross_margin", "type": "DecimalField", "help_text": "" }, { "name": "operating_margin", "type": "DecimalField", "help_text": "" }, { "name": "net_margin", "type": "DecimalField", "help_text": "" }, { "name": "ebitda_margin", "type": "DecimalField", "help_text": "" }, { "name": "fcf_margin", "type": "DecimalField", "help_text": "" }, { "name": "roe", "type": "DecimalField", "help_text": "" }, { "name": "roa", "type": "DecimalField", "help_text": "" }, { "name": "roic", "type": "DecimalField", "help_text": "" }, { "name": "roc_greenblatt", "type": "DecimalField", "help_text": "EBIT / (NWC + NetPPE) \u2014 Greenblatt / SVQF" }, { "name": "asset_turnover", "type": "DecimalField", "help_text": "" }, { "name": "cash_conversion", "type": "DecimalField", "help_text": "FCF / Net income \u2014 earnings quality" }, { "name": "accruals_ratio", "type": "DecimalField", "help_text": "(Net income - OCF) / Assets \u2014 Sloan accruals" }, { "name": "sbc_to_revenue", "type": "DecimalField", "help_text": "Stock-based compensation / revenue. Dilution risk signal." }, { "name": "debt_to_equity", "type": "DecimalField", "help_text": "" }, { "name": "net_debt_to_ebitda", "type": "DecimalField", "help_text": "" }, { "name": "debt_to_assets", "type": "DecimalField", "help_text": "" }, { "name": "interest_coverage", "type": "DecimalField", "help_text": "" }, { "name": "current_ratio", "type": "DecimalField", "help_text": "" }, { "name": "quick_ratio", "type": "DecimalField", "help_text": "" }, { "name": "net_debt", "type": "DecimalField", "help_text": "" }, { "name": "revenue_growth_1y", "type": "DecimalField", "help_text": "" }, { "name": "revenue_growth_3y_cagr", "type": "DecimalField", "help_text": "" }, { "name": "revenue_growth_5y_cagr", "type": "DecimalField", "help_text": "" }, { "name": "eps_growth_1y", "type": "DecimalField", "help_text": "" }, { "name": "eps_growth_3y_cagr", "type": "DecimalField", "help_text": "" }, { "name": "eps_growth_5y_cagr", "type": "DecimalField", "help_text": "" }, { "name": "fcf_growth_1y", "type": "DecimalField", "help_text": "" }, { "name": "book_value_growth_1y", "type": "DecimalField", "help_text": "" }, { "name": "piotroski_f_score", "type": "PositiveSmallIntegerField", "help_text": "Piotroski F-Score 0\u20139. Computed from 9 binary signals across profitability, leverage, and efficiency." }, { "name": "altman_z_score", "type": "DecimalField", "help_text": "Altman Z-Score. >2.99 safe, 1.81-2.99 grey zone, <1.81 distress." }, { "name": "earnings_stability_5y", "type": "DecimalField", "help_text": "Coefficient of variation of EPS over 5 years (lower = more stable)." }, { "name": "revenue_stability_5y", "type": "DecimalField", "help_text": "Coefficient of variation of revenue over 5 years." }, { "name": "eps_surprise_avg", "type": "DecimalField", "help_text": "Average EPS surprise % over last 4 reported quarters. +ve = company consistently beats estimates. Coverage: US/EU large caps. Null when unavailable." }, { "name": "sue_score", "type": "DecimalField", "help_text": "Standardised Unexpected Earnings = mean(surprise%) / std(surprise%). Classic earnings momentum factor (Ball & Brown 1968). Null when fewer than 2 quarters of data available." }, { "name": "price_return_1m", "type": "DecimalField", "help_text": "" }, { "name": "price_return_3m", "type": "DecimalField", "help_text": "" }, { "name": "price_return_6m", "type": "DecimalField", "help_text": "" }, { "name": "price_return_9m", "type": "DecimalField", "help_text": "" }, { "name": "price_return_12m", "type": "DecimalField", "help_text": "" }, { "name": "price_return_12m_ex1m", "type": "DecimalField", "help_text": "12-month return excluding most recent month. Core O'Shaughnessy momentum signal \u2014 skips short-term reversal." }, { "name": "distance_from_52w_high", "type": "DecimalField", "help_text": "Current price / 52-week high. George & Hwang (2004) signal." }, { "name": "distance_from_52w_low", "type": "DecimalField", "help_text": "" }, { "name": "relative_strength", "type": "DecimalField", "help_text": "Mansfield RS vs exchange.benchmark_symbol." }, { "name": "local_beta", "type": "DecimalField", "help_text": "Beta vs exchange.benchmark_symbol (not vs SPY). Computed from 52-week weekly bar regression. More meaningful than Yahoo's .info beta for non-US tickers." }, { "name": "volatility_252d", "type": "DecimalField", "help_text": "Rolling 252-day annualized volatility of weekly returns." }, { "name": "volatility_60d", "type": "DecimalField", "help_text": "Rolling 60-day annualized volatility of weekly returns." }, { "name": "max_drawdown_12m", "type": "DecimalField", "help_text": "Maximum drawdown over trailing 12 months." }, { "name": "revenue_ttm", "type": "DecimalField", "help_text": "" }, { "name": "gross_profit_ttm", "type": "DecimalField", "help_text": "" }, { "name": "ebit_ttm", "type": "DecimalField", "help_text": "" }, { "name": "ebitda_ttm", "type": "DecimalField", "help_text": "" }, { "name": "net_income_ttm", "type": "DecimalField", "help_text": "" }, { "name": "eps_diluted_ttm", "type": "DecimalField", "help_text": "" }, { "name": "operating_cash_flow_ttm", "type": "DecimalField", "help_text": "" }, { "name": "capital_expenditure_ttm", "type": "DecimalField", "help_text": "" }, { "name": "fcf_ttm", "type": "DecimalField", "help_text": "" }, { "name": "dividends_paid_ttm", "type": "DecimalField", "help_text": "" }, { "name": "share_repurchases_ttm", "type": "DecimalField", "help_text": "" }, { "name": "shares_issued_ttm", "type": "DecimalField", "help_text": "" }, { "name": "interest_expense_ttm", "type": "DecimalField", "help_text": "" }, { "name": "cash_and_equivalents", "type": "DecimalField", "help_text": "" }, { "name": "total_current_assets", "type": "DecimalField", "help_text": "" }, { "name": "total_current_liabilities", "type": "DecimalField", "help_text": "" }, { "name": "net_ppe", "type": "DecimalField", "help_text": "" }, { "name": "total_assets", "type": "DecimalField", "help_text": "" }, { "name": "total_debt", "type": "DecimalField", "help_text": "" }, { "name": "total_equity", "type": "DecimalField", "help_text": "" }, { "name": "net_working_capital", "type": "DecimalField", "help_text": "" }, { "name": "book_value_per_share", "type": "DecimalField", "help_text": "" }, { "name": "retained_earnings", "type": "DecimalField", "help_text": "" }, { "name": "preferred_stock", "type": "DecimalField", "help_text": "Preferred stock \u2014 used for common equity ROE calculation." }, { "name": "minority_interest", "type": "DecimalField", "help_text": "Non-controlling interest \u2014 included in EV." }, { "name": "tangible_book_value", "type": "DecimalField", "help_text": "total_equity - goodwill_and_intangibles. More conservative than book value for acquisitive companies. Null when goodwill/intangibles data unavailable." }, { "name": "tangible_book_per_share", "type": "DecimalField", "help_text": "tangible_book_value / shares_outstanding." }, { "name": "universe_ticker_count", "type": "PositiveSmallIntegerField", "help_text": "Number of tickers included in ranking for this universe/week." }, { "name": "sector", "type": "CharField", "help_text": "Sector at time of snapshot \u2014 used for sector z-score composites." }, { "name": "rank_pe", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_pb", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_ptbv", "type": "PositiveSmallIntegerField", "help_text": "Within-universe rank on price/tangible book value. More reliable than P/B for companies with large goodwill." }, { "name": "rank_ps", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_pcf", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_ev_ebitda", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_ev_ebit", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_earnings_yield", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_fcf_yield", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_dividend_yield", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_shareholder_yield", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_total_yield", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_roe", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_roc", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_roic", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_gross_margin", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_fcf_margin", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_piotroski", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_accruals", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_sue", "type": "PositiveSmallIntegerField", "help_text": "Within-universe rank on SUE score (earnings momentum)." }, { "name": "rank_eps_growth_1y", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_eps_growth_5y", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_revenue_growth_1y", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_momentum_12m", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_momentum_12m_ex1m", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "rank_relative_strength", "type": "PositiveSmallIntegerField", "help_text": "" }, { "name": "value_composite", "type": "DecimalField", "help_text": "Equal-weighted value factor percentile." }, { "name": "quality_composite", "type": "DecimalField", "help_text": "Equal-weighted quality factor percentile." }, { "name": "momentum_composite", "type": "DecimalField", "help_text": "Equal-weighted momentum factor percentile." }, { "name": "growth_composite", "type": "DecimalField", "help_text": "Equal-weighted growth factor percentile." }, { "name": "yield_composite", "type": "DecimalField", "help_text": "Equal-weighted yield factor percentile." }, { "name": "svqf_composite", "type": "DecimalField", "help_text": "Greenblatt Magic Formula: equal-weight(rank_earnings_yield + rank_roc). SVQF = Shareholder Value + Quality + Financials." }, { "name": "vc1_composite", "type": "DecimalField", "help_text": "Value Composite 1 (O'Shaughnessy): P/B + P/E + P/S + P/CF + EV/EBITDA" }, { "name": "vc2_composite", "type": "DecimalField", "help_text": "Value Composite 2: VC1 + shareholder yield" }, { "name": "vc3_composite", "type": "DecimalField", "help_text": "Value Composite 3: VC1 + total yield (buyback-inclusive)" }, { "name": "trending_value_composite", "type": "DecimalField", "help_text": "O'Shaughnessy Trending Value (4th ed flagship): cheapest VC2 decile ranked by 6-month momentum (descending). Rank 1 = best candidate within the VC2-cheapest cohort. Null when ticker is outside the VC2 cheapest decile." }, { "name": "overall_composite", "type": "DecimalField", "help_text": "Strict O'Shaughnessy blend: 50% value + 25% momentum + 25% quality (re-ranked)." }, { "name": "factor_coverage", "type": "DecimalField", "help_text": "Fraction (0-1) of core factor inputs populated." }, { "name": "signal_confidence", "type": "DecimalField", "help_text": "Composite confidence score (0-1) from coverage and freshness." }, { "name": "cornerstone_value_rank", "type": "PositiveSmallIntegerField", "help_text": "O'Shaughnessy Cornerstone Value rank within Market Leaders universe. 1 = highest dividend yield among Market Leaders (excl. utilities). Null if not a Market Leader." }, { "name": "cornerstone_growth_rank", "type": "PositiveSmallIntegerField", "help_text": "O'Shaughnessy Cornerstone Growth rank within qualifying stocks. Filters: P/S < 1.5, positive EPS growth 1Y and 5Y CAGR. Ranked by 12M price return. Null if stock fails any filter." }, { "name": "tiny_titans_rank", "type": "PositiveSmallIntegerField", "help_text": "O'Shaughnessy Tiny Titans rank within micro-cap / low P/S universe. Size: 0.5\u00d7\u20135\u00d7 universe min_market_cap_usd (~$25M\u2013$250M USD). Filter: P/S < 1.0. Ranked by 12M price return. Null if outside size range or P/S too high." }, { "name": "all_cap_buyback_rank", "type": "PositiveSmallIntegerField", "help_text": "O'Shaughnessy All-Cap Buyback Yield rank within full universe. Rank 1 = highest net buyback yield (repurchases \u2212 issuances) / mcap. Dilutive companies rank last. Null only if not in ranking universe." }, { "name": "small_cap_core_rank", "type": "PositiveSmallIntegerField", "help_text": "O'Shaughnessy Small Cap Core rank within small-cap universe segment. Small-cap: mcap \u2265 universe min_market_cap AND < universe average mcap. Ranked by VC2 (cheapest = rank 1). Null if outside small-cap size range." }, { "name": "is_cornerstone_value", "type": "BooleanField", "help_text": "True if cornerstone_value_rank \u2264 10 (top 10% of Market Leaders by dividend yield, excl. utilities). Proxy for OS top-50 selection." }, { "name": "is_cornerstone_growth", "type": "BooleanField", "help_text": "True if cornerstone_growth_rank \u2264 10 (top 10% of qualifying stocks by 12M relative strength). Proxy for OS top-50 selection." }, { "name": "is_tiny_titan", "type": "BooleanField", "help_text": "True if tiny_titans_rank \u2264 10 (top 10% of micro-cap low-P/S stocks by 12M momentum). Proxy for OS top-25 selection." }, { "name": "is_all_cap_buyback", "type": "BooleanField", "help_text": "True if all_cap_buyback_rank \u2264 10 (top 10% of universe by net buyback yield)." }, { "name": "is_small_cap_core", "type": "BooleanField", "help_text": "True if small_cap_core_rank \u2264 10 (top 10% of small-cap segment by VC2 composite)." } ], "FinancialPeriod": [ { "name": "id", "type": "BigAutoField", "help_text": "" }, { "name": "ticker", "type": "ForeignKey", "help_text": "" }, { "name": "period_end_date", "type": "DateField", "help_text": "Fiscal period end date (e.g. 2023-12-31 for FY2023)." }, { "name": "period_type", "type": "CharField", "help_text": "" }, { "name": "fiscal_year", "type": "PositiveSmallIntegerField", "help_text": "e.g. 2023. Null for quarterly rows." }, { "name": "fiscal_quarter", "type": "PositiveSmallIntegerField", "help_text": "1\u20134. Null for annual rows." }, { "name": "provider", "type": "ForeignKey", "help_text": "" }, { "name": "currency_reported", "type": "CharField", "help_text": "Currency as returned by provider (e.g. GBP, GBX, USD, EUR)." }, { "name": "fetched_at", "type": "DateTimeField", "help_text": "" }, { "name": "is_restated", "type": "BooleanField", "help_text": "True if provider issued a restatement of a previously fetched period." }, { "name": "raw_data", "type": "JSONField", "help_text": "Complete provider response for this period. Full audit trail." }, { "name": "revenue", "type": "DecimalField", "help_text": "" }, { "name": "cost_of_revenue", "type": "DecimalField", "help_text": "" }, { "name": "gross_profit", "type": "DecimalField", "help_text": "" }, { "name": "research_and_development", "type": "DecimalField", "help_text": "" }, { "name": "selling_general_admin", "type": "DecimalField", "help_text": "" }, { "name": "other_operating_expenses", "type": "DecimalField", "help_text": "" }, { "name": "total_operating_expenses", "type": "DecimalField", "help_text": "" }, { "name": "ebit", "type": "DecimalField", "help_text": "Operating income / EBIT" }, { "name": "depreciation_amortisation", "type": "DecimalField", "help_text": "" }, { "name": "ebitda", "type": "DecimalField", "help_text": "" }, { "name": "interest_expense", "type": "DecimalField", "help_text": "" }, { "name": "interest_income", "type": "DecimalField", "help_text": "" }, { "name": "other_non_operating", "type": "DecimalField", "help_text": "" }, { "name": "pretax_income", "type": "DecimalField", "help_text": "" }, { "name": "tax_provision", "type": "DecimalField", "help_text": "" }, { "name": "effective_tax_rate", "type": "DecimalField", "help_text": "" }, { "name": "net_income", "type": "DecimalField", "help_text": "" }, { "name": "net_income_continuing_ops", "type": "DecimalField", "help_text": "" }, { "name": "net_income_to_common", "type": "DecimalField", "help_text": "After preferred dividends" }, { "name": "eps_basic", "type": "DecimalField", "help_text": "" }, { "name": "eps_diluted", "type": "DecimalField", "help_text": "" }, { "name": "shares_basic", "type": "BigIntegerField", "help_text": "" }, { "name": "shares_diluted", "type": "BigIntegerField", "help_text": "" }, { "name": "cash_and_equivalents", "type": "DecimalField", "help_text": "" }, { "name": "short_term_investments", "type": "DecimalField", "help_text": "" }, { "name": "net_receivables", "type": "DecimalField", "help_text": "" }, { "name": "inventory", "type": "DecimalField", "help_text": "" }, { "name": "other_current_assets", "type": "DecimalField", "help_text": "" }, { "name": "total_current_assets", "type": "DecimalField", "help_text": "" }, { "name": "net_ppe", "type": "DecimalField", "help_text": "Net property, plant & equipment" }, { "name": "goodwill", "type": "DecimalField", "help_text": "" }, { "name": "intangible_assets", "type": "DecimalField", "help_text": "" }, { "name": "goodwill_and_intangibles", "type": "DecimalField", "help_text": "Goodwill + intangibles combined. Used for tangible book value (tangible_equity = total_equity - goodwill_and_intangibles). Populated by the yfinance extractor \u2014 tries the combined row first, then sums goodwill + intangible_assets as fallback." }, { "name": "long_term_investments", "type": "DecimalField", "help_text": "" }, { "name": "other_non_current_assets", "type": "DecimalField", "help_text": "" }, { "name": "total_non_current_assets", "type": "DecimalField", "help_text": "" }, { "name": "total_assets", "type": "DecimalField", "help_text": "" }, { "name": "short_term_debt", "type": "DecimalField", "help_text": "" }, { "name": "accounts_payable", "type": "DecimalField", "help_text": "" }, { "name": "deferred_revenue_current", "type": "DecimalField", "help_text": "" }, { "name": "other_current_liabilities", "type": "DecimalField", "help_text": "" }, { "name": "total_current_liabilities", "type": "DecimalField", "help_text": "" }, { "name": "long_term_debt", "type": "DecimalField", "help_text": "" }, { "name": "deferred_revenue_lt", "type": "DecimalField", "help_text": "" }, { "name": "other_non_current_liabilities", "type": "DecimalField", "help_text": "" }, { "name": "total_non_current_liabilities", "type": "DecimalField", "help_text": "" }, { "name": "total_liabilities", "type": "DecimalField", "help_text": "" }, { "name": "total_debt", "type": "DecimalField", "help_text": "" }, { "name": "preferred_stock", "type": "DecimalField", "help_text": "Preferred stock value \u2014 deducted for true common equity ROE" }, { "name": "minority_interest", "type": "DecimalField", "help_text": "Non-controlling interest \u2014 added to EV calculation" }, { "name": "retained_earnings", "type": "DecimalField", "help_text": "" }, { "name": "total_equity", "type": "DecimalField", "help_text": "" }, { "name": "shares_outstanding", "type": "BigIntegerField", "help_text": "" }, { "name": "operating_cash_flow", "type": "DecimalField", "help_text": "" }, { "name": "stock_based_compensation", "type": "DecimalField", "help_text": "Non-cash SBC charge. SBC/revenue = earnings quality signal." }, { "name": "deferred_tax_cf", "type": "DecimalField", "help_text": "" }, { "name": "change_in_working_capital", "type": "DecimalField", "help_text": "" }, { "name": "capital_expenditure", "type": "DecimalField", "help_text": "Stored as negative value (cash outflow)" }, { "name": "acquisitions", "type": "DecimalField", "help_text": "Acquisition spend \u2014 separate from organic capex" }, { "name": "other_investing", "type": "DecimalField", "help_text": "" }, { "name": "investing_cash_flow", "type": "DecimalField", "help_text": "" }, { "name": "dividends_paid", "type": "DecimalField", "help_text": "Stored as negative value" }, { "name": "share_repurchases", "type": "DecimalField", "help_text": "Stored as negative value" }, { "name": "shares_issued", "type": "DecimalField", "help_text": "Proceeds from new equity issuance" }, { "name": "net_debt_issued", "type": "DecimalField", "help_text": "+ve = net borrowing, -ve = net repayment" }, { "name": "other_financing", "type": "DecimalField", "help_text": "" }, { "name": "financing_cash_flow", "type": "DecimalField", "help_text": "" }, { "name": "free_cash_flow", "type": "DecimalField", "help_text": "Provider pre-computed if available; else OCF + capex" }, { "name": "net_change_in_cash", "type": "DecimalField", "help_text": "" } ] }, "field_groups": { "snapshot": { "identity": [ "week_end_date", "source_primary", "financials_period_end", "financials_age_days", "has_full_data", "completeness_score", "is_included_in_ranking", "is_market_leader", "is_published", "computed_at", "batch_id" ], "size": [ "price_close", "market_cap", "market_cap_usd", "enterprise_value", "shares_outstanding", "fx_rate_to_usd" ], "valuation": [ "pe_ratio", "pb_ratio", "ptbv_ratio", "ps_ratio", "pcf_ratio", "pfcf_ratio", "ev_ebitda", "ev_ebit", "ev_sales", "ev_fcf", "earnings_yield", "fcf_yield", "price_to_sales", "price_to_book", "price_to_cashflow", "ebitda_to_ev", "sales_yield" ], "yield": [ "dividend_yield", "buyback_yield", "shareholder_yield", "debt_paydown_yield", "total_yield" ], "quality": [ "gross_margin", "operating_margin", "net_margin", "ebitda_margin", "fcf_margin", "roe", "roa", "roic", "roc_greenblatt", "asset_turnover", "cash_conversion", "accruals_ratio", "sbc_to_revenue", "piotroski_f_score", "altman_z_score", "earnings_stability_5y", "revenue_stability_5y", "eps_surprise_avg", "sue_score", "gross_profit_to_assets", "external_financing" ], "leverage_and_risk": [ "debt_to_equity", "net_debt_to_ebitda", "debt_to_assets", "interest_coverage", "current_ratio", "quick_ratio", "net_debt", "local_beta", "volatility_252d", "volatility_60d", "max_drawdown_12m", "risk_adjusted_momentum" ], "growth": [ "revenue_growth_1y", "revenue_growth_3y_cagr", "revenue_growth_5y_cagr", "eps_growth_1y", "eps_growth_3y_cagr", "eps_growth_5y_cagr", "fcf_growth_1y", "book_value_growth_1y", "revenue_growth", "earnings_growth" ], "momentum": [ "price_return_1m", "price_return_3m", "price_return_6m", "price_return_9m", "price_return_12m", "price_return_12m_ex1m", "momentum_6m", "momentum_12m", "momentum_12_1", "distance_from_52w_high", "distance_from_52w_low", "relative_strength" ], "raw_ttm": [ "revenue_ttm", "gross_profit_ttm", "ebit_ttm", "ebitda_ttm", "net_income_ttm", "eps_diluted_ttm", "operating_cash_flow_ttm", "capital_expenditure_ttm", "fcf_ttm", "dividends_paid_ttm", "share_repurchases_ttm", "shares_issued_ttm", "interest_expense_ttm", "cash_and_equivalents", "total_current_assets", "total_current_liabilities", "net_ppe", "total_assets", "total_debt", "total_equity", "net_working_capital", "book_value_per_share", "retained_earnings", "preferred_stock", "minority_interest", "tangible_book_value", "tangible_book_per_share" ], "ranks": [ "universe_ticker_count", "rank_pe", "rank_pb", "rank_ptbv", "rank_ps", "rank_pcf", "rank_ev_ebitda", "rank_ev_ebit", "rank_earnings_yield", "rank_fcf_yield", "rank_dividend_yield", "rank_shareholder_yield", "rank_total_yield", "rank_roe", "rank_roc", "rank_roic", "rank_gross_margin", "rank_fcf_margin", "rank_piotroski", "rank_accruals", "rank_sue", "rank_eps_growth_1y", "rank_eps_growth_5y", "rank_revenue_growth_1y", "rank_momentum_12m", "rank_momentum_12m_ex1m", "rank_relative_strength" ], "composites": [ "value_composite", "quality_composite", "momentum_composite", "growth_composite", "yield_composite", "svqf_composite", "vc1_composite", "vc2_composite", "vc3_composite", "trending_value_composite", "overall_composite", "quality_value_composite", "os_score", "value_percentile", "quality_percentile", "momentum_percentile", "factor_coverage", "signal_confidence", "os_score_delta" ], "strategy_ranks": [ "cornerstone_value_rank", "cornerstone_growth_rank", "tiny_titans_rank", "all_cap_buyback_rank", "small_cap_core_rank", "is_cornerstone_value", "is_cornerstone_growth", "is_tiny_titan", "is_all_cap_buyback", "is_small_cap_core", "trending_value_rank", "veiled_value", "earnings_consistent_5y" ] }, "financial_period": { "income_statement": [ "revenue", "cost_of_revenue", "gross_profit", "ebit", "ebitda", "pretax_income", "tax_provision", "net_income", "net_income_to_common", "eps_basic", "eps_diluted", "shares_basic", "shares_diluted" ], "balance_sheet": [ "cash_and_equivalents", "total_current_assets", "total_assets", "short_term_debt", "long_term_debt", "total_debt", "total_liabilities", "total_equity", "shares_outstanding", "goodwill_and_intangibles" ], "cash_flow": [ "operating_cash_flow", "capital_expenditure", "free_cash_flow", "dividends_paid", "share_repurchases", "shares_issued", "net_debt_issued" ] } }, "factor_catalog": { "Composite": [ { "key": "os_score", "field": "os_score", "label": "OS Composite", "format": ".3f", "description": "Strict O'Shaughnessy blend: 50% value + 25% momentum + 25% quality", "sort_direction": "desc" }, { "key": "value_pct", "field": "value_percentile", "label": "Value %ile", "format": ".3f", "description": "Value percentile rank", "sort_direction": "desc" }, { "key": "quality_pct", "field": "quality_percentile", "label": "Quality %ile", "format": ".3f", "description": "Quality percentile rank", "sort_direction": "desc" }, { "key": "momentum_pct", "field": "momentum_percentile", "label": "Momentum %ile", "format": ".3f", "description": "Momentum percentile rank", "sort_direction": "desc" }, { "key": "qv_composite", "field": "quality_value_composite", "label": "QV Composite", "format": ".3f", "description": "Quality \u00d7 Value geometric mean", "sort_direction": "desc" } ], "Value": [ { "key": "pe_ratio", "field": "pe_ratio", "label": "P/E Ratio", "format": ".1f", "description": "Price / Earnings", "sort_direction": "asc" }, { "key": "earnings_yield", "field": "earnings_yield", "label": "Earnings Yield", "format": ".4f", "description": "E/P (inverted P/E)", "sort_direction": "desc" }, { "key": "price_to_sales", "field": "price_to_sales", "label": "P/S Ratio", "format": ".2f", "description": "Price / Sales", "sort_direction": "asc" }, { "key": "price_to_cashflow", "field": "price_to_cashflow", "label": "P/CF Ratio", "format": ".2f", "description": "Price / Operating Cash Flow", "sort_direction": "asc" }, { "key": "sales_yield", "field": "sales_yield", "label": "Sales Yield", "format": ".4f", "description": "Revenue / Price", "sort_direction": "desc" }, { "key": "fcf_yield", "field": "fcf_yield", "label": "FCF Yield", "format": ".4f", "description": "Free Cash Flow / Price", "sort_direction": "desc" }, { "key": "price_to_book", "field": "price_to_book", "label": "P/B Ratio", "format": ".2f", "description": "Price / Book Value", "sort_direction": "asc" }, { "key": "ebitda_to_ev", "field": "ebitda_to_ev", "label": "EBITDA/EV", "format": ".4f", "description": "O'Shaughnessy's best value factor", "sort_direction": "desc" }, { "key": "shareholder_yield", "field": "shareholder_yield", "label": "SH Yield", "format": ".4f", "description": "Dividend + net buyback / mktcap", "sort_direction": "desc" }, { "key": "buyback_yield", "field": "buyback_yield", "label": "Buyback Yield", "format": ".4f", "description": "Net share repurchase / mktcap", "sort_direction": "desc" }, { "key": "dividend_yield", "field": "dividend_yield", "label": "Div Yield", "format": ".4f", "description": "Annual dividend / Price", "sort_direction": "desc" } ], "Quality": [ { "key": "roe", "field": "roe", "label": "ROE", "format": ".4f", "description": "Return on Equity", "sort_direction": "desc" }, { "key": "roa", "field": "roa", "label": "ROA", "format": ".4f", "description": "Return on Assets", "sort_direction": "desc" }, { "key": "net_margin", "field": "net_margin", "label": "Net Margin", "format": ".4f", "description": "Net Income / Revenue", "sort_direction": "desc" }, { "key": "operating_margin", "field": "operating_margin", "label": "Op Margin", "format": ".4f", "description": "Operating Income / Revenue", "sort_direction": "desc" }, { "key": "gross_profit_to_assets", "field": "gross_profit_to_assets", "label": "GPA", "format": ".4f", "description": "Novy-Marx Gross Profit/Assets", "sort_direction": "desc" }, { "key": "debt_to_equity", "field": "debt_to_equity", "label": "D/E Ratio", "format": ".2f", "description": "Total Debt / Equity", "sort_direction": "asc" }, { "key": "current_ratio", "field": "current_ratio", "label": "Current Ratio", "format": ".2f", "description": "Current Assets / Liabilities", "sort_direction": "desc" }, { "key": "accruals_ratio", "field": "accruals_ratio", "label": "Accruals", "format": ".4f", "description": "Lower = higher earnings quality", "sort_direction": "asc" }, { "key": "external_financing", "field": "external_financing", "label": "Ext Financing", "format": ".4f", "description": "Net issuance / assets \u2014 lower=better", "sort_direction": "asc" }, { "key": "earnings_stability", "field": "earnings_stability", "label": "Earn Stability", "format": ".3f", "description": "CV of quarterly NI \u2014 lower=more stable", "sort_direction": "asc" }, { "key": "revenue_growth", "field": "revenue_growth", "label": "Rev Growth", "format": ".4f", "description": "YoY revenue change", "sort_direction": "desc" }, { "key": "earnings_growth", "field": "earnings_growth", "label": "Earn Growth", "format": ".4f", "description": "YoY earnings change", "sort_direction": "desc" }, { "key": "piotroski_f_score", "field": "piotroski_f_score", "label": "F-Score", "format": "d", "description": "Piotroski 0\u20139 (9=best)", "sort_direction": "desc" }, { "key": "capital_allocation_quality", "field": "capital_allocation_quality", "label": "Cap Alloc Q", "format": ".3f", "description": "Capital allocation quality (0-1)", "sort_direction": "desc" }, { "key": "enhanced_quality", "field": "enhanced_quality", "label": "Enh Quality", "format": ".4f", "description": "Quality composite (accrual-adjusted)", "sort_direction": "desc" } ], "Momentum": [ { "key": "momentum_6m", "field": "momentum_6m", "label": "Mom 6M", "format": ".4f", "description": "6-month price return", "sort_direction": "desc" }, { "key": "momentum_12m", "field": "momentum_12m", "label": "Mom 12M", "format": ".4f", "description": "12-month price return", "sort_direction": "desc" }, { "key": "momentum_12_1", "field": "momentum_12_1", "label": "Mom 12-1", "format": ".4f", "description": "12M return ex. last month", "sort_direction": "desc" }, { "key": "risk_adj_mom", "field": "risk_adjusted_momentum", "label": "Risk-Adj Mom", "format": ".2f", "description": "12-1 Momentum / Volatility", "sort_direction": "desc" }, { "key": "trending_value_rank", "field": "trending_value_rank", "label": "TV Rank", "format": "d", "description": "Trending Value rank", "sort_direction": "asc" }, { "key": "os_score_delta", "field": "os_score_delta", "label": "OS \u0394", "format": ".4f", "description": "OS score change vs prior snapshot", "sort_direction": "desc" } ], "Risk": [ { "key": "volatility_252d", "field": "volatility_252d", "label": "Vol 252d", "format": ".4f", "description": "Annualised 252-day vol", "sort_direction": "asc" }, { "key": "volatility_60d", "field": "volatility_60d", "label": "Vol 60d", "format": ".4f", "description": "Annualised 60-day vol", "sort_direction": "asc" }, { "key": "max_drawdown_12m", "field": "max_drawdown_12m", "label": "Max DD 12M", "format": ".4f", "description": "Max drawdown in 12 months", "sort_direction": "asc" } ], "Value Comp": [ { "key": "vc1_score", "field": "vc1_score", "label": "VC1", "format": "d", "description": "Value Composite 1 (1=cheapest)", "sort_direction": "asc" }, { "key": "vc2_score", "field": "vc2_score", "label": "VC2", "format": "d", "description": "VC1 + SH Yield (1=cheapest)", "sort_direction": "asc" }, { "key": "vc3_score", "field": "vc3_score", "label": "VC3", "format": "d", "description": "VC1 + Buyback Yield (1=cheapest)", "sort_direction": "asc" } ], "Growth": [ { "key": "earnings_consecutive_years", "field": "earnings_consecutive_years", "label": "EPS Streak", "format": "d", "description": "Years of consecutive EPS growth", "sort_direction": "desc" } ], "Sector": [ { "key": "sector_pe_zscore", "field": "sector_pe_zscore", "label": "Sector P/E Z", "format": ".2f", "description": "P/E z-score within sector (neg=cheap)", "sort_direction": "asc" }, { "key": "sector_pb_zscore", "field": "sector_pb_zscore", "label": "Sector P/B Z", "format": ".2f", "description": "P/B z-score within sector", "sort_direction": "asc" }, { "key": "sector_value_pct", "field": "sector_value_pct", "label": "Sector Val%", "format": ".3f", "description": "Value percentile within sector", "sort_direction": "desc" }, { "key": "sector_quality_pct", "field": "sector_quality_pct", "label": "Sector Qual%", "format": ".3f", "description": "Quality percentile within sector", "sort_direction": "desc" } ], "Size": [ { "key": "market_cap", "field": "market_cap", "label": "Market Cap", "format": ".0f", "description": "Market capitalisation (local currency)", "sort_direction": "desc" }, { "key": "price", "field": "price", "label": "Price", "format": ".2f", "description": "Share price (local currency)", "sort_direction": "desc" }, { "key": "enterprise_value", "field": "enterprise_value", "label": "Ent Value", "format": ".0f", "description": "Enterprise Value (local currency)", "sort_direction": "desc" } ], "Signal": [ { "key": "signal_confidence", "field": "signal_confidence", "label": "Confidence", "format": ".3f", "description": "Signal reliability (0\u20131)", "sort_direction": "desc" }, { "key": "factor_coverage", "field": "factor_coverage", "label": "Coverage", "format": ".3f", "description": "Factor completeness (0\u20131)", "sort_direction": "desc" } ] }, "preset_catalog": { "os_top": { "key": "os_top", "name": "OS Top Picks", "description": "Highest OS composite \u2014 balanced value, quality, momentum", "filters": { "os_score__gte": "0.65", "signal_confidence__gte": "0.5" }, "sort": "-os_score", "screener_url": "https://sharemaestro.com/factors/screener/?preset=os_top", "api_url": "https://sharemaestro.com/factors/api/presets/os_top/", "screener_api_url": "https://sharemaestro.com/factors/api/screener/?preset=os_top" }, "trending_value_vc2": { "key": "trending_value_vc2", "name": "Trending Value (VC2)", "description": "O'Shaughnessy's #1 strategy \u2014 cheapest VC2 decile + 6M momentum", "filters": { "vc2_score__lte": "10", "trending_value_rank__isnull": false, "trending_value_rank__lte": "25" }, "sort": "trending_value_rank", "screener_url": "https://sharemaestro.com/factors/screener/?preset=trending_value_vc2", "api_url": "https://sharemaestro.com/factors/api/presets/trending_value_vc2/", "screener_api_url": "https://sharemaestro.com/factors/api/screener/?preset=trending_value_vc2" }, "deep_value": { "key": "deep_value", "name": "Deep Value", "description": "Low P/E, high earnings yield, strong F-Score", "filters": { "pe_ratio__lte": "15", "pe_ratio__gt": "0", "earnings_yield__gte": "0.05", "piotroski_f_score__gte": "6" }, "sort": "-earnings_yield", 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OSAM showed this subset outperforms in 90%+ of periods.", "primary_sort": "-os_score", "limit": 50, "screener_preset": "veiled_value", "page_url": "https://sharemaestro.com/factors/veiled-value/", "api_url": "https://sharemaestro.com/factors/api/strategies/veiled-value/", "chart_config": { "x": "pb", "y": "ey", "xl": "Price/Book (higher = more veiled)", "yl": "Earnings Yield", "colour": "shy", "cl": "Shareholder Yield", "size": "os", "sl": "OS Score", "quads": [ "Low E/Y\nLess Veiled", "High E/Y\nMore Veiled \u2014 Best", "High E/Y\nLess Veiled", "Low E/Y\nMore Veiled" ] }, "card_metrics": [ { "label": "Val%", "field": "value_percentile", "primary": true }, { "label": "P/B", "field": "price_to_book", "primary": false }, { "label": "E/Y", "field": "earnings_yield", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "sector_relative", "name": "Cheapest in Sector", "slug": "sector-relative", "group": "value", "tagline": "Best value within each sector \u2014 neutralises cross-sector P/E distortion", "thesis": "Comparing tech P/E to utility P/E is meaningless. Sector-relative value finds the cheapest names within their own peer group. This surfaces idiosyncratic mispricing rather than sector-level cheapness.", "primary_sort": "-sector_value_pct", "limit": 50, "screener_preset": "sector_value_leaders", "page_url": "https://sharemaestro.com/factors/sector-relative/", "api_url": "https://sharemaestro.com/factors/api/strategies/sector-relative/", "chart_config": { "x": "secval", "y": "y", "xl": "Sector Relative Value (0..1)", "yl": "Quality Percentile", "colour": "mom", "cl": "Momentum Percentile", "size": "os", "sl": "OS Score", "quads": [ "High Quality\nLess Sector-Cheap", "High Quality\nSector-Cheap \u2014 Best", "Low Quality\nSector-Cheap", "Low Quality\nLess Sector-Cheap" ] }, "card_metrics": [ { "label": "SecVal", "field": "sector_value_pct", "primary": true }, { "label": "OS", "field": "os_score", "primary": false }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "P/E", "field": "pe_ratio", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "Mom%", "field": "momentum_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false } ] } ] }, { "key": "quality", "label": "Quality", "description": "Profitable, well-managed businesses with strong fundamentals.", "strategies": [ { "key": "piotroski_bargains", "name": "Piotroski Bargains", "slug": "piotroski-bargains", "group": "quality", "tagline": "F-Score \u2265 7 with top-half value \u2014 the academic quality screen", "thesis": "Joseph Piotroski's 9-point fundamental strength test applied to cheap stocks. Each point tests profitability, leverage, or operating efficiency. A score of 7+ means the business is fundamentally improving.", "primary_sort": "-piotroski_f_score", "limit": 50, "screener_preset": "piotroski_bargains", "page_url": "https://sharemaestro.com/factors/piotroski-bargains/", "api_url": "https://sharemaestro.com/factors/api/strategies/piotroski-bargains/", "chart_config": { "x": "x", "y": "fscore", "xl": "Value Percentile", "yl": "F-Score", "colour": "y", "cl": "Quality %", "size": "os", "sl": "OS Score", "quads": [ "High F-Score\nLow Value", "High F-Score\nCheap", "Low F-Score\nCheap", "Low F-Score\nLow Value" ] }, "card_metrics": [ { "label": "F-Score", "field": "piotroski_f_score", "primary": true }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "E/Y", "field": "earnings_yield", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "D/E", "field": "debt_to_equity", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "quality_compounders", "name": "Quality Compounders", "slug": "quality-compounders", "group": "quality", "tagline": "High ROE, high margins, low debt, growing revenue", "thesis": "Long-duration compounders that reinvest at high rates of return. The quality factors here \u2014 ROE > 15%, margins > 10%, D/E < 1.0 \u2014 identify businesses with durable competitive advantages.", "primary_sort": "-roe", "limit": 50, "screener_preset": "quality_compounders", "page_url": "https://sharemaestro.com/factors/quality-compounders/", "api_url": "https://sharemaestro.com/factors/api/strategies/quality-compounders/", "chart_config": { "x": "roe", "y": "margin", "xl": "Return on Equity", "yl": "Net Margin", "colour": "revg", "cl": "Revenue Growth", "size": "os", "sl": "OS Score", "quads": [ "High Margin\nLow ROE", "High Margin\nHigh ROE", "Low Margin\nHigh ROE", "Low Margin\nLow ROE" ] }, "card_metrics": [ { "label": "ROE", "field": "roe", "primary": true }, { "label": "Marg", "field": "net_margin", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "RevG", "field": "revenue_growth", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "OS", "field": "os_score", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "Val%", "field": "value_percentile", "primary": false } ] }, { "key": "capital_allocators", "name": "Capital Allocators", "slug": "capital-allocators", "group": "quality", "tagline": "Best capital allocation quality \u2014 managers who deploy cash well", "thesis": "Not all shareholder yield is created equal. This strategy surfaces companies that fund buybacks internally (not with debt), buy back at attractive valuations, and maintain strong fundamentals.", "primary_sort": "-capital_allocation_quality", "limit": 50, "screener_preset": "alpha_within_value", "page_url": "https://sharemaestro.com/factors/capital-allocators/", "api_url": "https://sharemaestro.com/factors/api/strategies/capital-allocators/", "chart_config": { "x": "shy", "y": "roe", "xl": "Shareholder Yield", "yl": "Return on Equity", "colour": "fcfy", "cl": "FCF Yield", "size": "os", "sl": "OS Score", "quads": [ "High ROE\nLow SH Yield", "High ROE\nHigh SH Yield", "Low ROE\nHigh SH Yield", "Low ROE\nLow SH Yield" ] }, "card_metrics": [ { "label": "SHY", "field": "shareholder_yield", "primary": true }, { "label": "FCF%", "field": "fcf_yield", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "BBK", "field": "buyback_yield", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "consistent_earners", "name": "Consistent Earners", "slug": "consistent-earners", "group": "quality", "tagline": "5+ years of consecutive EPS growth + value overlay", "thesis": "O'Shaughnessy's growth signal. Companies that have grown earnings every year for 5+ years demonstrate execution consistency. Combined with a value floor, this avoids overpaying for growth.", "primary_sort": "-eps_growth_5y_cagr", "limit": 50, "screener_preset": "earnings_consistency", "page_url": "https://sharemaestro.com/factors/consistent-earners/", "api_url": "https://sharemaestro.com/factors/api/strategies/consistent-earners/", "chart_config": { "x": "x", "y": "eg5", "xl": "Value Percentile", "yl": "EPS Growth 5Y CAGR", "colour": "eg1", "cl": "EPS Growth 1Y", "size": "os", "sl": "OS Score", "quads": [ "Strong 5Y Growth\nExpensive", "Strong 5Y Growth\nCheap", "Weak 5Y Growth\nCheap", "Weak 5Y Growth\nExpensive" ] }, "card_metrics": [ { "label": "EPS 5Y", "field": "eps_growth_5y_cagr", "primary": true }, { "label": "EPS 1Y", "field": "eps_growth_1y", "primary": false }, { "label": "Stab5Y", "field": "earnings_stability_5y", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "OS", "field": "os_score", "primary": false }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "Mom12", "field": "momentum_12_1", "primary": false } ] } ] }, { "key": "growth", "label": "Growth", "description": "Revenue and earnings growth at reasonable prices.", "strategies": [ { "key": "cornerstone_growth", "name": "Cornerstone Growth", "slug": "cornerstone-growth", "group": "growth", "tagline": "P/S < 1.5, 5yr earnings consistency, strongest momentum", "thesis": "O'Shaughnessy's growth strategy. Start with consistent earners, filter for reasonable sales multiples (P/S < 1.5), then rank by 12-1 momentum. Growth at a reasonable price with trend confirmation.", "primary_sort": "cornerstone_growth_rank", "limit": 50, "screener_preset": "cornerstone_growth", "page_url": "https://sharemaestro.com/factors/cornerstone-growth/", "api_url": "https://sharemaestro.com/factors/api/strategies/cornerstone-growth/", "chart_config": { "x": "ps", "y": "m12_1", "xl": "Price/Sales", "yl": "Momentum 12-1", "colour": "revg", "cl": "Revenue Growth", "size": "os", "sl": "OS Score", "quads": [ "Strong Mom\nExpensive", "Strong Mom\nCheap P/S", "Weak Mom\nCheap P/S", "Weak Mom\nExpensive" ] }, "card_metrics": [ { "label": "RevG", "field": "revenue_growth", "primary": true }, { "label": "Mom%", "field": "momentum_percentile", "primary": false }, { "label": "E/Y", "field": "earnings_yield", "primary": false }, { "label": "OS", "field": "os_score", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false } ] }, { "key": "garp", "name": "GARP", "slug": "garp", "group": "growth", "tagline": "Growth at a Reasonable Price \u2014 revenue growth + moderate P/E", "thesis": "The balanced approach: find companies growing revenue at 10%+ per year but still trading at reasonable P/E (\u226425). The quality gate ensures we're buying real growth, not accounting tricks.", "primary_sort": "-revenue_growth", "limit": 50, "screener_preset": "garp", "page_url": "https://sharemaestro.com/factors/garp/", "api_url": "https://sharemaestro.com/factors/api/strategies/garp/", "chart_config": { "x": "revg", "y": "pe", "xl": "Revenue Growth", "yl": "P/E Ratio", "colour": "y", "cl": "Quality %", "size": "mom", "sl": "Momentum %", "quads": [ "High P/E\nLow Growth \u2014 Overpriced", "High P/E\nHigh Growth \u2014 Priced In?", "Low P/E\nHigh Growth \u2014 GARP Sweet Spot", "Low P/E\nLow Growth \u2014 Stale" ] }, "card_metrics": [ { "label": "RevG", "field": "revenue_growth", "primary": true }, { "label": "P/E", "field": "pe_ratio", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Mom%", "field": "momentum_percentile", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] } ] }, { "key": "momentum", "label": "Momentum", "description": "Riding price trends with risk controls.", "strategies": [ { "key": "risk_adj_momentum", "name": "Risk-Adjusted Momentum", "slug": "risk-adj-momentum", "group": "momentum", "tagline": "Momentum 12-1 \u00f7 Volatility \u2014 a Sharpe-like momentum score", "thesis": "Raw momentum rewards volatile stocks. Dividing by volatility penalises erratic returns and rewards smooth, consistent trends. This is the Sharpe ratio applied to price momentum.", "primary_sort": "-risk_adjusted_momentum", "limit": 50, "screener_preset": "momentum_leaders", "page_url": "https://sharemaestro.com/factors/risk-adj-momentum/", "api_url": "https://sharemaestro.com/factors/api/strategies/risk-adj-momentum/", "chart_config": { "x": "vol", "y": "m12_1", "xl": "Volatility 252d", "yl": "Momentum 12-1", "colour": "y", "cl": "Quality %", "size": "os", "sl": "OS Score", "quads": [ "Strong Mom\nHigh Vol \u2014 Risky", "Strong Mom\nLow Vol \u2014 Sweet Spot", "Weak Mom\nLow Vol \u2014 Sleepy", "Weak Mom\nHigh Vol \u2014 Avoid" ] }, "card_metrics": [ { "label": "RAM", "field": "risk_adjusted_momentum", "primary": true }, { "label": "Mom12", "field": "momentum_12_1", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "OS", "field": "os_score", "primary": false }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "momentum_leaders", "name": "Momentum Leaders", "slug": "momentum-leaders", "group": "momentum", "tagline": "Strongest 12-1 momentum with controlled risk", "thesis": "Pure price trend. Select names with 12-1 momentum \u2265 15% and volatility \u2264 50%. The volatility cap prevents chasing speculative spikes.", "primary_sort": "-risk_adjusted_momentum", "limit": 50, "screener_preset": "momentum_leaders", "page_url": "https://sharemaestro.com/factors/momentum-leaders/", "api_url": "https://sharemaestro.com/factors/api/strategies/momentum-leaders/", "chart_config": { "x": "m12_1", "y": "vol", "xl": "Momentum 12-1", "yl": "Volatility 252d", "colour": "ram", "cl": "Risk-Adj Mom", "size": "x", "sl": "Value %", "quads": [ "High Vol\nWeak Mom", "High Vol\nStrong Mom", "Low Vol\nStrong Mom", "Low Vol\nWeak Mom" ] }, "card_metrics": [ { "label": "Mom12", "field": "momentum_12_1", "primary": true }, { "label": "Mom6", "field": "momentum_6m", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "OS", "field": "os_score", "primary": false }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] } ] }, { "key": "income", "label": "Income", "description": "Dividend yield and total shareholder return.", "strategies": [ { "key": "shareholder_yield", "name": "Shareholder Yield", "slug": "shareholder-yield", "group": "income", "tagline": "Dividends + buybacks + debt paydown \u2014 O'Shaughnessy's total cash return", "thesis": "Dividends alone miss half the picture. Shareholder yield adds net buybacks and debt reduction. O'Shaughnessy found total shareholder yield a better predictor of future returns than dividends alone. Pure ranking by yield \u2014 no quality gate \u2014 as in the original book.", "primary_sort": "-shareholder_yield", "limit": 50, "screener_preset": "shareholder_yield", "page_url": "https://sharemaestro.com/factors/shareholder-yield/", "api_url": "https://sharemaestro.com/factors/api/strategies/shareholder-yield/", "chart_config": { "x": "shy", "y": "fcfy", "xl": "Shareholder Yield", "yl": "FCF Yield", "colour": "fscore", "cl": "F-Score", "size": "os", "sl": "OS Score", "quads": [ "High FCF\nLow SH Yield", "High FCF\nHigh SH Yield", "Low FCF\nHigh SH Yield", "Low FCF\nLow SH Yield" ] }, "card_metrics": [ { "label": "SHY", "field": "shareholder_yield", "primary": true }, { "label": "Div%", "field": "dividend_yield", "primary": false }, { "label": "BBK", "field": "buyback_yield", "primary": false }, { "label": "FCF%", "field": "fcf_yield", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "high_yield", "name": "High Yield", "slug": "high-yield", "group": "income", "tagline": "Top dividend and FCF yields for income investors", "thesis": "Pure income screen. Dividend yield \u2265 3% backed by FCF yield \u2265 4%. The FCF floor ensures dividends are covered by cash generation, not funded by debt.", "primary_sort": "-dividend_yield", "limit": 50, "screener_preset": "high_yield", "page_url": "https://sharemaestro.com/factors/high-yield/", "api_url": "https://sharemaestro.com/factors/api/strategies/high-yield/", "chart_config": { "x": "divy", "y": "fcfy", "xl": "Dividend Yield", "yl": "FCF Yield", "colour": "fscore", "cl": "F-Score", "size": "de", "sl": "Debt/Equity", "quads": [ "High FCF\nLow Div \u2014 Cash Hoarder", "High FCF\nHigh Div \u2014 Well Covered", "Low FCF\nHigh Div \u2014 Yield Trap?", "Low FCF\nLow Div" ] }, "card_metrics": [ { "label": "Div%", "field": "dividend_yield", "primary": true }, { "label": "FCF%", "field": "fcf_yield", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "D/E", "field": "debt_to_equity", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] } ] }, { "key": "universe", "label": "Universe", "description": "Strategies defined by market-cap universe membership.", "strategies": [ { "key": "market_leaders", "name": "Market Leaders", "slug": "market-leaders", "group": "universe", "tagline": "O'Shaughnessy large-cap quality universe", "thesis": "Market Leaders: above-average market cap, shares outstanding, cash flow per share, and revenue. Non-utility. This is the quality large-cap universe that feeds Cornerstone Value and other conservative strategies.", "primary_sort": "-os_score", "limit": 50, "screener_preset": "market_leaders_value", "page_url": "https://sharemaestro.com/factors/market-leaders/", "api_url": "https://sharemaestro.com/factors/api/strategies/market-leaders/", "chart_config": { "x": "x", "y": "y", "xl": "Value Percentile", "yl": "Quality Percentile", "colour": "mom", "cl": "Momentum %", "size": "os", "sl": "OS Score", "quads": [ "High Quality\nExpensive", "Cheap +\nHigh Quality", "Cheap +\nLow Quality", "Expensive +\nLow Quality" ] }, "card_metrics": [ { "label": "OS", "field": "os_score", "primary": true }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Mom%", "field": "momentum_percentile", "primary": false }, { "label": "ROE", "field": "roe", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "tiny_titans", "name": "Tiny Titans", "slug": "tiny-titans", "group": "universe", "tagline": "O'Shaughnessy micro-caps: $25M\u2013$250M, low P/S, momentum", "thesis": "The highest-alpha, highest-risk strategy. Micro-cap stocks are less covered, less liquid, and more volatile \u2014 but the size premium combined with value and momentum has historically produced outsized returns.", "primary_sort": "tiny_titans_rank", "limit": 50, "screener_preset": "tiny_titans", "page_url": "https://sharemaestro.com/factors/tiny-titans/", "api_url": "https://sharemaestro.com/factors/api/strategies/tiny-titans/", "chart_config": { "x": "ps", "y": "m12_1", "xl": "Price/Sales", "yl": "Momentum 12-1", "colour": "vol", "cl": "Volatility", "size": "os", "sl": "OS Score", "quads": [ "Strong Mom\nExpensive", "Strong Mom\nCheap P/S", "Weak Mom\nCheap P/S", "Weak Mom\nExpensive" ] }, "card_metrics": [ { "label": "OS", "field": "os_score", "primary": true }, { "label": "Val%", "field": "value_percentile", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Mom%", "field": "momentum_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "Conf", "field": "signal_confidence", "primary": false }, { "label": "F", "field": "piotroski_f_score", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] }, { "key": "small_cap_value", "name": "Small Cap Value", "slug": "small-cap-value", "group": "universe", "tagline": "Small/micro caps with strong value \u2014 size + value premium", "thesis": "The academic double premium: small size + deep value. Higher alpha potential but requires the F-Score quality gate to avoid the elevated bankruptcy risk in small-cap value.", "primary_sort": "-value_percentile", "limit": 50, "screener_preset": "small_cap_value", "page_url": "https://sharemaestro.com/factors/small-cap-value/", "api_url": "https://sharemaestro.com/factors/api/strategies/small-cap-value/", "chart_config": { "x": "x", "y": "fscore", "xl": "Value Percentile", "yl": "F-Score", "colour": "mom", "cl": "Momentum %", "size": "os", "sl": "OS Score", "quads": [ "High F-Score\nExpensive", "High F-Score\nCheap", "Low F-Score\nCheap", "Low F-Score\nExpensive" ] }, "card_metrics": [ { "label": "Val%", "field": "value_percentile", "primary": true }, { "label": "P/E", "field": "pe_ratio", "primary": false }, { "label": "P/B", "field": "price_to_book", "primary": false }, { "label": "F-Score", "field": "piotroski_f_score", "primary": false }, { "label": "E/Y", "field": "earnings_yield", "primary": false }, { "label": "Qual%", "field": "quality_percentile", "primary": false }, { "label": "Vol", "field": "volatility_252d", "primary": false }, { "label": "\u0394", "field": "os_score_delta", "primary": false } ] } ] }, { "key": "defensive", "label": "Defensive", "description": "Low-volatility and capital preservation.", "strategies": [ { "key": "low_volatility", "name": "Low Volatility", "slug": "low-volatility", "group": "defensive", "tagline": "Lowest volatility with positive momentum \u2014 the defensive allocation", "thesis": "The low-volatility anomaly: less volatile stocks have historically delivered better risk-adjusted returns than the market. 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