New valuation factors are now available (includes some changes to existing ones)

Dear All,

We have released new valuation factors that offer both functions and pre-built factors. Some of the factors are brand new, others are just additions to existing ones to make them all consistent. All these factors now include a function like Factor(offset,type), and several pre-built factors for TTM,Q,PQ, etc. These factors are located in FUNDAMENTALS->RATIOS->VALUATION

Brand NEW
EV2EBITDA – Enterprise value to EBITDA
EV2Sales – Enterprise value to Sales
PEInclRD – Price to Earnings Incl R&D (aka Innovation PE)
Pr2CFInclRD – Price to Cash Flow Incl R&D (aka Innovation Pr2CF)
Pr2NetFrCashFl – Price to Net Free Cash Flow

Added to existing
PEExclXor – Price to Earnings (PE) Excl Xor
PEInclXor – Price to Earnings (PE) Incl Xor
Pr2Book – Price to Book Value
Pr2CashFl – Price to Cash Flow
Pr2FrCashFl – Price to Free Cash Flow
Pr2Sales – Price to Sales
Pr2TanBk – Price to Tangible Book Value

We added the following valuation ‘yield’ factors.
These are single factors and are located in FUNDAMENTALS->RATIOS->YIELD

EBITDAYield – EBITDA yield
FCFYield – Free Cash flow yield
OCFYield – Operating cash flow yield
OpIncYield – Operating income yield
ShareholderYield – ShareholderYield

We made the following changes to existing factors.

EarnYield was modified to use the same scale as these other yield functions. For example, EarnYield for AAPL was returning .03 and now it is 3.03. We replaced the existing EarnYield in your formulas with EarnYieldOld which returns the value in the original scale.

FCF is now calculated as “OperCashFl-Capex” instead of “OperCashFl-Capex-DivPaid”. New ‘NetFCF’ factors have been created that use the original FCF formula. We replaced existing FCF factors in user’s formulas with these new ‘’NetFCF’ factors.

We changed the logic for PTM factors that include price in the numerator. The new logic uses an average 3 month price following the end of the PTM quarters. There are other subtle differences that will be explained in the documentations. This change might cause some differences in your results, but we think it’s more correct. The existing factors that are affected by this are Pr2SalesPTM, Pr2CashFlPTM, PEExclXorPTM, Pr2FrCashFlPTM. If you must have the previous version of this factor you can use FHist like this: FHist (“Pr2SalesTTM”,52)

Let us know of any issues or questions.

We will update the documentation for the factors in the next few days.

The ranking default “direction” (the arrow I mean) in those new factors, it is correct?

new factors.JPG

The ranking default was indeed inverted for PEInclRD, it should have been lower is better. Now it’s fixed, thanks for reporting it.

Thank you for adding these, Marco. I have noticed that there are no options for Q, ANN, etc for FCFYield. Also no factor. Only TTM is provided (assumed actually because the title of the factor does not embed TTM). and just wondering if they actually exist but documentation is lagging?

Congratulations to p123 for its continuing efforts to extend and improve both its data and functionality. Very much appreciated!


Playing with the new EarnYield by itself in an RS, I see this weird inversion. The 20 year, 10 year, and 5 year clearly shows this.
The pics are not in order but are labeled.
Why would this happen?

Can you please include a screenshot of the settings you are using on the Performance tab? When I run it with the default settings, I am not seeing the same results.

Sure thing. Is this good?

I don’t have your custom microcap universe, but when I run the rank performance with all your other settings and the P123 Microcap universe, the results look good with the higher buckets getting higher returns. Did you check to make sure that you have the EarnYield factor set to ‘higher is better’? Same for the node that EarnYield is in.

The only thing that changed with EarnYield was the scale. Earnyield is 100*EarnYieldOld. If you want to compare the results, you can use EarnYieldOld which still runs, but is not in the reference.