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Dennis Thiessen
2026-07-23 17:37:43 +02:00
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reports/fundamentals-splitsafe-20260723-153520-factor-ic.csv
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window,signal,mean_ic,ic_t_stat,ic_positive_pct,mean_quintile_spread,weeks,avg_cross_section,reliable
train,net_debt_to_ebitda,0.0141,0.46,61.9,0.0098,21,183.9,True
train,growth,0.0006,0.02,47.6,0.0044,21,406.8,True
train,revenue_growth_yoy,0.0006,0.02,47.6,0.0044,21,406.8,True
train,fcf_margin,-0.006,-0.29,38.1,-0.0044,21,365.3,True
train,balanced,-0.0075,-0.2,47.6,-0.003,21,305.9,True
train,quality,-0.0185,-0.72,47.6,-0.0092,21,318.2,True
train,operating_margin,-0.0288,-1.36,28.6,-0.0131,21,333.3,True
validation,balanced,0.0597,1.18,55.6,0.013,9,312.9,False
validation,growth,0.0485,0.95,55.6,0.0205,9,416.7,False
validation,revenue_growth_yoy,0.0485,0.95,55.6,0.0205,9,416.7,False
validation,fcf_margin,0.0268,0.84,66.7,0.0003,9,368.0,False
validation,quality,0.0144,0.6,44.4,-0.0019,9,323.1,False
validation,net_debt_to_ebitda,0.0066,0.12,55.6,0.0104,9,184.6,False
validation,operating_margin,-0.0056,-0.18,44.4,-0.0058,9,338.3,False
test,growth,0.0053,0.14,46.2,0.0046,13,429.3,True
test,revenue_growth_yoy,0.0053,0.14,46.2,0.0046,13,429.3,True
test,net_debt_to_ebitda,-0.0082,-0.19,61.5,-0.0043,13,195.5,True
test,balanced,-0.0318,-0.67,46.2,-0.0123,13,318.9,True
test,operating_margin,-0.0436,-1.52,38.5,-0.0279,13,349.5,True
test,fcf_margin,-0.0535,-1.99,30.8,-0.0307,13,380.4,True
test,quality,-0.055,-1.63,30.8,-0.0288,13,332.2,True
full,growth,0.0116,0.55,47.6,0.0069,42,415.5,True
full,revenue_growth_yoy,0.0116,0.55,47.6,0.0069,42,415.5,True
full,net_debt_to_ebitda,0.006,0.29,54.8,0.0037,42,187.9,True
full,balanced,-0.0042,-0.18,47.6,-0.0032,42,311.2,True
full,fcf_margin,-0.0161,-1.04,35.7,-0.0123,42,370.5,True
full,quality,-0.0242,-1.45,38.1,-0.014,42,323.6,True
full,operating_margin,-0.0252,-1.74,33.3,-0.017,42,339.2,True
1 window signal mean_ic ic_t_stat ic_positive_pct mean_quintile_spread weeks avg_cross_section reliable
2 train net_debt_to_ebitda 0.0141 0.46 61.9 0.0098 21 183.9 True
3 train growth 0.0006 0.02 47.6 0.0044 21 406.8 True
4 train revenue_growth_yoy 0.0006 0.02 47.6 0.0044 21 406.8 True
5 train fcf_margin -0.006 -0.29 38.1 -0.0044 21 365.3 True
6 train balanced -0.0075 -0.2 47.6 -0.003 21 305.9 True
7 train quality -0.0185 -0.72 47.6 -0.0092 21 318.2 True
8 train operating_margin -0.0288 -1.36 28.6 -0.0131 21 333.3 True
9 validation balanced 0.0597 1.18 55.6 0.013 9 312.9 False
10 validation growth 0.0485 0.95 55.6 0.0205 9 416.7 False
11 validation revenue_growth_yoy 0.0485 0.95 55.6 0.0205 9 416.7 False
12 validation fcf_margin 0.0268 0.84 66.7 0.0003 9 368.0 False
13 validation quality 0.0144 0.6 44.4 -0.0019 9 323.1 False
14 validation net_debt_to_ebitda 0.0066 0.12 55.6 0.0104 9 184.6 False
15 validation operating_margin -0.0056 -0.18 44.4 -0.0058 9 338.3 False
16 test growth 0.0053 0.14 46.2 0.0046 13 429.3 True
17 test revenue_growth_yoy 0.0053 0.14 46.2 0.0046 13 429.3 True
18 test net_debt_to_ebitda -0.0082 -0.19 61.5 -0.0043 13 195.5 True
19 test balanced -0.0318 -0.67 46.2 -0.0123 13 318.9 True
20 test operating_margin -0.0436 -1.52 38.5 -0.0279 13 349.5 True
21 test fcf_margin -0.0535 -1.99 30.8 -0.0307 13 380.4 True
22 test quality -0.055 -1.63 30.8 -0.0288 13 332.2 True
23 full growth 0.0116 0.55 47.6 0.0069 42 415.5 True
24 full revenue_growth_yoy 0.0116 0.55 47.6 0.0069 42 415.5 True
25 full net_debt_to_ebitda 0.006 0.29 54.8 0.0037 42 187.9 True
26 full balanced -0.0042 -0.18 47.6 -0.0032 42 311.2 True
27 full fcf_margin -0.0161 -1.04 35.7 -0.0123 42 370.5 True
28 full quality -0.0242 -1.45 38.1 -0.014 42 323.6 True
29 full operating_margin -0.0252 -1.74 33.3 -0.017 42 339.2 True