Price-blind (no value, no momentum) strategies

Research
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Nisser -

I use both ratios frequently. (NetIncBXorTTM - OperCashFlTTM)/AstTotTTM, with lower values being better, almost always improves my backtested results. Very few of my systems exclude it. I’m sorry the formula doesn’t seem to work for you–I don’t know how to explain that.

Two other accrual-related formulae I use a lot are (AstTotQ - CashEquivQ - LiabTotQ + DbtTotQ)/AstTotQ, with lower ratios better, and the three-year version of the NetInc - OperCashFl formula.

I’ll be publishing an article about the former ratio–net operating assets to total assets–on Seeking Alpha in the next week or so. It’s my favorite balance sheet ratio.

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Cool, I’m looking forward to it because this is what I get when I test those factors in isolation; it doesn’t do well.

accrual ratio.pdf (231 KB)