Data Dictionary: Enhanced Value Screens

This point-in-time backtest dataset contains enhanced value screens or factors, which capture proprietary data found only in the footnotes and Management Discussion & Analysis sections of financial filings. These factors incorporate all of the adjustments featured in the HBS & MIT Sloan paper "Core Earnings: New Data and Evidence" and others. The authors plan to publish their findings on the incremental alpha generation of these other adjustments in a subsequent paper.


We deliver the real-time version of thisdata through our API in the Enhanced Value Screens endpoint.


Backtest Dataset Sample & General Information

Download a sample of the backtest data for this dictionary.


This documentation details the common fields in a backtest dataset file.

Datapoints

Name
Description
Datapoint
Average Invested Capital
Average Invested Capital over the year, adjusted for acquisitions. The denominator of our ROIC calculation.
CAPITAL_INVESTED_ADJUSTED
EBIT/EBT
Operating earnings before interest and taxes.
EBIT
EBITDA/EBTDA
Operating earnings before interest, taxes, depreciation and amortization.
EBITDA
Economic Book Value (EBV)
Economic book value measures the no-growth value of the company based on the current Net Operating Profit After Tax (NOPAT) of the business.
BOOK_VALUE_ECONOMIC
Economic Earnings
Represents the true cash flows available to equity investors.
ECONOMIC_PROFIT
Enterprise Value*
Represents the total value of the company. Enterprise value takes into effect all assets and liabilities that constitute the value of the company. Simply, it is the amount of money needed to purchase the entire company and pay off all debtors and other stakeholders.
ENTERPRISE_VALUE
FCF (Free Cash Flow)
Equals NOPAT less incremental change in working capital less incremental change in fixed assets.
FREE_CASH_FLOW
NOPAT (Net Operating Profit After Tax)
NOPAT (Net Operating Profit After Tax)
NOPAT
NOPBT (Net Operating Profit Before Tax)
NOPBT (Net Operating Profit Before Tax)
NOPBT
ROIC (Return On Invested Capital)
ROIC (Return On Invested Capital)
ROIC

*Indicates the datapoint is affected by stock price.