InsidersTradesSigma
A transparent ranking of listed companies on the value and quality of their fundamentals, computed from public financials. A complementary lens, independent from insider signals.
This is a transparent fundamental screen, not a backtested strategy. It ranks companies on the value and quality of their public accounts. No return, CAGR or Sharpe is promised or implied (no backtest exists for this ranking). It is a research starting point, not investment advice. It is distinct from our insider signals, which follow a separate methodology and performance evidence.
Each company is scored on two pillars, Value and Quality. For every metric we take the company's percentile rank within the universe (percentiles are robust to extreme values, unlike a mean). A pillar score is the mean of its available percentiles; the composite (0 to 100) is the weighted mean of the present pillars (Value 40%, Quality 40%, Growth 20% once available). A company is ranked only if it has at least 4 real metrics; missing data is excluded, never invented. Companies with implausible fundamentals (margins > 100%, investment funds) are screened out. Eligible universe: 22,466 companies; 20,264 ranked.
| Pillar | Metric | Formula | Reading |
|---|---|---|---|
| Value | FCF yield | free cash flow / market cap | cash generated per unit of market cap; higher = cheaper |
| Value | Earnings yield | net income / market cap | inverse of P/E; higher = cheaper |
| Value | EV / EBITDA | (market cap + debt) / EBITDA | enterprise value vs operating profit; lower = cheaper |
| Quality | ROE | return on equity (Yahoo) | return on shareholder capital; higher = better |
| Quality | Gross margin | gross profit / revenue | pricing power; higher = better |
| Quality | Net margin | net income / revenue | bottom-line profitability; higher = better |
| Quality | Debt / EBITDA | total debt / EBITDA | leverage; lower = safer |
Limits: annual fundamentals from Yahoo Finance, sometimes delayed or incomplete; no sector adjustment (banks, insurers and utilities carry atypical margin structures); the Growth pillar is off until a historical revenue series is available. Use as a research filter, alongside your own analysis.