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Accruals
Cash-backed earnings: −(net income − operating cash flow) ÷ assets. Higher = cleaner earnings.
As of 2026-08-31 · 93 names held · backtest spans 238 months
Trailing returns
1W
+0.04%
S&P 500 TR +0.45%
1M
+5.47%
S&P 500 TR +2.72%
3M
+6.15%
S&P 500 TR +1.41%
6M
+11.28%
S&P 500 TR +12.32%
YTD
+18.45%
S&P 500 TR +13.14%
1Y
+23.39%
S&P 500 TR +20.38%
5Y
+80.97%
S&P 500 TR +82.47%
10Y
+313.40%
S&P 500 TR +316.17%
SINCE
+1319.54%
S&P 500 TR +733.44%
from 2006-11-01
2006-11-01 to 2026-08-31 · 4987 sessions
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4987) − 1 | +14.35% | +11.31% |
Annualized volatility daily-return stdev × √252 | +22.52% | +19.61% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.64 | 0.58 |
Max drawdown worst peak-to-trough on the cumulative series | -51.79% | -55.25% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | 0.43 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 56% (133/238) | — |
How it's computed
What. For each ticker we take the most recently reported net_income, subtract operating_cash_flow, and scale by total_assets. That difference is the *accrual* — the slice of reported profit not yet converted to cash. We negate it, so firms whose earnings are backed by real cash rank in the top quintile and firms whose earnings outrun their cash rank at the bottom.
Why it has worked. Sloan (1996) documented the "accrual anomaly": high-accrual firms reliably underperform low-accrual firms over the following year. The intuition is that accruals are more subjective and reversible than cash — heavy accruals often signal aggressive revenue recognition or earnings management that later unwinds. It's one of the most robust earnings-quality signals in the literature.
Caveats. Coverage depends on cash-flow-statement data, which Synapse reports less consistently than the income statement — names missing operating_cash_flow drop out of the screen. Financials are a poor fit (the operating-cash-flow concept is muddier for banks), so the top quintile tilts away from the sector.
Current sector mix
| Sector | Names | % of screen | |
|---|---|---|---|
| Information Technology | 25 | 26.9% | |
| Industrials | 21 | 22.6% | |
| Consumer Discretionary | 13 | 14.0% | |
| Health Care | 10 | 10.8% | |
| Energy | 6 | 6.5% | |
| Financials | 5 | 5.4% | |
| Communication Services | 5 | 5.4% | |
| Consumer Staples | 3 | 3.2% | |
| Materials | 2 | 2.2% | |
| Unknown | 1 | 1.1% | |
| Real Estate | 1 | 1.1% | |
| Utilities | 1 | 1.1% |
Current top quintile (93 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| EXPE | Expedia Group, Inc. | Industrials | 14.9% | 3.14 |
| CBOE | Cboe Global Markets, Inc. | Financials | 14.2% | 3.14 |
| LYV | Live Nation Entertainment, Inc. | Consumer Discretionary | 10.5% | 3.14 |
| VEEV | VEEVA SYSTEMS INC | Health Care | 9.5% | 3.14 |
| FIX | COMFORT SYSTEMS USA INC | Industrials | 8.2% | 3.14 |
| FICO | FAIR ISAAC CORP | Industrials | 7.0% | 3.14 |
| APD | Air Products & Chemicals, Inc. | Materials | 6.7% | 3.01 |
| MRK | Merck & Co., Inc. | Health Care | 6.3% | 2.82 |
| MRNA | Moderna, Inc. | Health Care | 6.2% | 2.75 |
| TTD | Trade Desk, Inc. | Information Technology | 6.1% | 2.72 |
| ABNB | Airbnb, Inc. | Industrials | 5.8% | 2.54 |
| INTU | INTUIT INC. | Information Technology | 5.7% | 2.50 |
| FTNT | Fortinet, Inc. | Information Technology | 5.5% | 2.41 |
| NTAP | NetApp, Inc. | Information Technology | 5.1% | 2.22 |
| UAL | United Airlines Holdings, Inc. | Industrials | 5.1% | 2.21 |
| CRWD | CrowdStrike Holdings, Inc. | Information Technology | 5.0% | 2.18 |
| NOW | ServiceNow, Inc. | Information Technology | 4.9% | 2.14 |
| DVN | DEVON ENERGY CORP/DE | Energy | 4.7% | 2.04 |
| VRSN | VERISIGN INC/CA | Information Technology | 4.5% | 1.92 |
| CRM | Salesforce, Inc. | Information Technology | 4.3% | 1.85 |
| DDOG | Datadog, Inc. | Information Technology | 4.1% | 1.73 |
| CCL | Carnival Corp Ltd. | Industrials | 4.0% | 1.70 |
| CMG | CHIPOTLE MEXICAN GRILL INC | Consumer Discretionary | 4.0% | 1.68 |
| TKO | TKO Group Holdings, Inc. | Consumer Discretionary | 3.8% | 1.60 |
| FDS | FACTSET RESEARCH SYSTEMS INC | Information Technology | 3.8% | 1.59 |
| EQT | EQT Corp | Energy | 3.8% | 1.59 |
| HOOD | Robinhood Markets, Inc. | Financials | 3.7% | 1.56 |
| KR | KROGER CO | Consumer Staples | 3.6% | 1.51 |
| UBER | Uber Technologies, Inc | Industrials | 3.5% | 1.46 |
| CNC | CENTENE CORP | Health Care | 3.5% | 1.45 |
| VRSK | Verisk Analytics, Inc. | Information Technology | 3.4% | 1.41 |
| ADSK | Autodesk, Inc. | Information Technology | 3.4% | 1.40 |
| FFIV | F5, INC. | Information Technology | 3.4% | 1.40 |
| URI | UNITED RENTALS, INC. | Industrials | 3.3% | 1.36 |
| XYZ | Block, Inc. | 3.2% | 1.32 | |
| GDDY | GoDaddy Inc. | Information Technology | 3.2% | 1.30 |
| LOW | LOWES COMPANIES INC | Consumer Discretionary | 3.1% | 1.29 |
| DPZ | DOMINOS PIZZA INC | Consumer Staples | 3.1% | 1.28 |
| RDDT | Reddit, Inc. | Communication Services | 3.1% | 1.28 |
| ANET | Arista Networks, Inc. | Information Technology | 3.1% | 1.27 |
| NCLH | Norwegian Cruise Line Holdings Ltd. | Industrials | 3.0% | 1.21 |
| WDAY | Workday, Inc. | Information Technology | 2.9% | 1.20 |
| VRT | Vertiv Holdings Co | Information Technology | 2.8% | 1.14 |
| WBD | Warner Bros. Discovery, Inc. | Communication Services | 2.8% | 1.12 |
| DOW | DOW INC. | Materials | 2.6% | 1.05 |
| INTC | INTEL CORP | Information Technology | 2.6% | 1.04 |
| FANG | Diamondback Energy, Inc. | Energy | 2.6% | 1.02 |
| EBAY | EBAY INC | Industrials | 2.6% | 1.02 |
| HD | HOME DEPOT, INC. | Consumer Discretionary | 2.5% | 1.01 |
| ORLY | O REILLY AUTOMOTIVE INC | Consumer Discretionary | 2.5% | 1.00 |
| NVR | NVR INC | Consumer Discretionary | 2.5% | 1.00 |
| TSLA | Tesla, Inc. | Consumer Discretionary | 2.4% | 0.94 |
| ODFL | OLD DOMINION FREIGHT LINE, INC. | Industrials | 2.4% | 0.94 |
| JBHT | HUNT J B TRANSPORT SERVICES INC | Industrials | 2.4% | 0.93 |
| TROW | PRICE T ROWE GROUP INC | Financials | 2.4% | 0.92 |
| VLO | VALERO ENERGY CORP/TX | Energy | 2.3% | 0.91 |
| HAS | HASBRO, INC. | Consumer Discretionary | 2.3% | 0.91 |
| GPN | GLOBAL PAYMENTS INC | Financials | 2.3% | 0.90 |
| ABBV | AbbVie Inc. | Health Care | 2.3% | 0.89 |
| ON | ON SEMICONDUCTOR CORP | Information Technology | 2.3% | 0.88 |
| PANW | Palo Alto Networks Inc | Information Technology | 2.3% | 0.88 |
| MRVL | Marvell Technology, Inc. | Information Technology | 2.2% | 0.87 |
| LMT | LOCKHEED MARTIN CORP | Industrials | 2.2% | 0.86 |
| IT | GARTNER INC | Information Technology | 2.2% | 0.85 |
| DIS | Walt Disney Co | Consumer Discretionary | 2.2% | 0.83 |
| DLTR | DOLLAR TREE, INC. | Consumer Discretionary | 2.1% | 0.82 |
| RCL | ROYAL CARIBBEAN CRUISES LTD | Industrials | 2.1% | 0.80 |
| ACN | Accenture plc | Information Technology | 2.1% | 0.80 |
| COO | COOPER COMPANIES, INC. | Health Care | 2.1% | 0.79 |
| DASH | DoorDash, Inc. | Industrials | 2.1% | 0.79 |
| ELV | Elevance Health, Inc. | Health Care | 2.0% | 0.77 |
| RSG | REPUBLIC SERVICES, INC. | Industrials | 2.0% | 0.76 |
| FERG | Ferguson Enterprises Inc. /DE/ | Consumer Discretionary | 2.0% | 0.76 |
| COIN | Coinbase Global, Inc. | Financials | 2.0% | 0.75 |
| TMUS | T-Mobile US, Inc. | Communication Services | 2.0% | 0.75 |
| AMD | ADVANCED MICRO DEVICES INC | Information Technology | 2.0% | 0.74 |
| TRMB | TRIMBLE INC. | Health Care | 2.0% | 0.73 |
| BDX | BECTON DICKINSON & CO | Health Care | 1.9% | 0.72 |
| CHTR | CHARTER COMMUNICATIONS, INC. /MO/ | Communication Services | 1.9% | 0.70 |
| CPRT | COPART INC | Consumer Discretionary | 1.9% | 0.70 |
| UPS | UNITED PARCEL SERVICE INC | Industrials | 1.9% | 0.70 |
| MCO | MOODYS CORP /DE/ | Industrials | 1.9% | 0.70 |
| EOG | EOG RESOURCES INC | Energy | 1.8% | 0.68 |
| SYY | SYSCO CORP | Consumer Staples | 1.8% | 0.67 |
| PSA | Public Storage | Real Estate | 1.8% | 0.66 |
| CMCSA | COMCAST CORP | Communication Services | 1.8% | 0.66 |
| AKAM | AKAMAI TECHNOLOGIES INC | Industrials | 1.8% | 0.64 |
| RMD | RESMED INC | Health Care | 1.8% | 0.64 |
| AES | AES CORP | Utilities | 1.8% | 0.63 |
| GD | GENERAL DYNAMICS CORP | Industrials | 1.7% | 0.63 |
| COP | CONOCOPHILLIPS | Energy | 1.7% | 0.62 |
| WM | WASTE MANAGEMENT INC | Industrials | 1.7% | 0.61 |
| TEL | TE Connectivity plc | Information Technology | 1.7% | 0.60 |