Methodology

Quantifies the real change in equity after adjusting for stock-based compensation dilution and buyback offsetting. Decomposes reported equity changes into organic earnings versus shareholder transfers.

Burry, M. (2025). "Tragic Algebra." Scion Asset Management / Substack.

Ranks stocks by a composite of Earnings Yield (EBIT / Enterprise Value) and Return on Capital (EBIT / Net Fixed Assets + Working Capital). Screens exclude financials, utilities, and companies with negative EBIT or market cap below $50M.

Greenblatt, J. (2005). The Little Book That Beats the Market. John Wiley & Sons.

Nine-point binary scoring system measuring financial strength across profitability (ROA, CFO, delta ROA, accruals), leverage/liquidity (delta leverage, delta current ratio, equity issuance), and operating efficiency (delta gross margin, delta asset turnover).

Piotroski, J.D. (2000). "Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers." Journal of Accounting Research, 38, 1-41.

Discriminant model predicting bankruptcy probability using five financial ratios: working capital / total assets, retained earnings / total assets, EBIT / total assets, market value of equity / total liabilities, and sales / total assets.

Altman, E.I. (1968). "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy." The Journal of Finance, 23(4), 589-609.

Takes the current market price as given and solves for the implied growth assumptions. Revenue growth follows a decay model (g_t = g_0 * d^t). Can solve for implied decay rate, terminal margin, or discount rate. Results are compared against base rates from Bessembinder and McKinsey cohorts.

Mauboussin, M.J. & Rappaport, A. (2021). Expectations Investing: Reading Stock Prices for Better Returns (Revised ed.). Columbia Business School Publishing.

Eight-variable probit model detecting the likelihood of earnings manipulation. Variables include Days Sales in Receivables Index, Gross Margin Index, Asset Quality Index, Sales Growth Index, Depreciation Index, SGA Index, Leverage Index, and Total Accruals to Total Assets.

Beneish, M.D. (1999). "The Detection of Earnings Manipulation." Financial Analysts Journal, 55(5), 24-36.

Estimates the value of a company based on sustainable current earnings, independent of growth assumptions. Compares EPV to asset reproduction value to assess franchise strength.

Greenwald, B., Kahn, J., Sonkin, P., & van Biema, M. (2001). Value Investing: From Graham to Buffett and Beyond. John Wiley & Sons.

Quantitative framework detecting language divergence in SEC 10-K, 10-Q, and 20-F filings. Extends two published academic methodologies: cosine-similarity filing comparison (Cohen-Malloy-Nguyen) and finance-specific sentiment scoring (Loughran-McDonald). Operates as a two-stage system: detect divergence, then investigate meaning.

Extended from Cohen-Malloy-Nguyen's longitudinal cosine-similarity method: we add peer-group cross-sectional divergence, conspicuous-stability detection, and a dual-gate flag-trigger architecture. Loughran-McDonald dictionary (2025 edition, 86,553 words) used for sentiment classification.

Cohen, L., Malloy, C. & Nguyen, Q. (2020). "Lazy Prices." The Journal of Finance, 75(3), 1371-1415. • Loughran, T. & McDonald, B. (2011). "When Is a Liability Not a Liability?" The Journal of Finance, 66(1), 35-65.

Computes 80 technical indicators across a peer group, evaluates signal quality via Expected Value and Discriminative Signal Ratio, with Alphalens factor analysis. Walk-forward out-of-sample validation confirms signal persistence. Stratified EV analysis conditions signals on fundamental regimes.

Original methodology.

Conservative intrinsic value estimate: sqrt(22.5 * EPS * BVPS). Provides a floor valuation combining earnings and asset value.

Graham, B. & Dodd, D. (1934). Security Analysis. McGraw-Hill.

Combines dividend yield, net buyback yield, and debt paydown yield to measure total capital returned to shareholders as a percentage of market capitalisation.

Priest, W.W. & McClelland, L.H. (2007). "Total Shareholder Yield." Epoch Investment Partners.