Hi everyone,
New to the site, but a friend and I have been recently discussing building equity filters for some of our strategies and we are looking to quantify some data on FactSet. We want to make a case that shows for example 40%+ gross margins produced excess returns over these past 20+ years and we could assume to use that filter going forward to weed out stocks below that.
We are looking back at 20+ years of annual data of different fundamental catalysts such as F score, gross margin, roe, etc… For example if we have 2004 F Score or Gross margin would you capture performance from 3/14/04-3/15/05 (we are using report dates) or 3/14/05-/3/15/06 forward looking as the 2004 F Score / Gross margin is coming out from the annual report. The final 2004 number wouldn’t be released until March 05(annual report), but thinking you would want to see how it performed during the year. We were also looking into doing two or three year averages of F score or something and then following it with 2-3 year performance such as 2004-2005 average F score with 3/14/06-3/15/08 or would you do 3/14/04 - 3/15/06.
Any suggestions or feedback would be much appreciated!