Financial Quality Composite Regime-dependent component

Not yet exposed via its own dedicated API endpoint - see the callout below.

A 6-criterion quality/distress composite (ROA level, ROA trend, leverage trend, current ratio trend, dilution, asset turnover trend) - deliberately not the classic 9-criterion Piotroski F-Score, which 3 of its own criteria can't be tested at real coverage levels (see the Signal Library). This composite needs none of that data, and reaches 71-93% real coverage per criterion instead.

The real result

Tested against 12,242 real factor observations across 431 companies, 223 monthly rebalance dates from 2011-11-01 to 2026-08-03 - the largest real evidence base of any signal tested so far. Mean rank correlation is -0.012 - higher "quality" scores predicted slightly lower forward 1-year returns over this real sample, the opposite of the naively expected direction. Stated plainly, not explained away.

Quality scorecard

Dimension	Score
Sign consistency	80.0%
Signal strength	0.020
Horizon consistency	100% (single horizon tested)
Crisis robustness	100%
OOS stability	100%

Why "regime-dependent," not "core factor": sign consistency (80.0%) clears our regime-dependent-component bar but falls just short of the stricter core-factor threshold. Every other dimension is strong or perfect - a real, walk-forward-consistent, crisis-robust relationship, just not our strictest tier.

Not yet queryable via its own endpoint: this composite currently exists as a validated calculation used by our internal research harness, not yet wired into its own GET /companies/{ticker}/... route. Flagged here honestly rather than documenting an endpoint that doesn't exist yet.

Full validation methodology: FACTOR_VALIDATION_METHODOLOGY.md.

Free early access to the API: Get API access →