Composite alpha scores combining 5 proprietary signal dimensions validated on 10 years of NZX data.16 validated factors (7 statistically significant) and 7 proprietary signals (5 strong) scored per company.
| # | Ticker | Company | Score | Rating | Gov | Ins | Cred | Qual | Div | Signals |
|---|
| Factor | Category | IC | t-stat | Hit Rate | Direction | Strength |
|---|---|---|---|---|---|---|
| P/B Ratio | Valuation | -0.149 | -3.40 | 68% | SHORT | strong |
| Earnings Yield | Valuation | 0.131 | 2.86 | 64% | LONG | strong |
| Net Profit Growth | Growth | 0.089 | 2.35 | 61% | LONG | strong |
| Net Debt/EBITDA | Leverage | 0.141 | 2.20 | 60% | LONG | strong |
| EV/EBITDA | Valuation | -0.142 | -2.08 | 59% | SHORT | strong |
| P/E Ratio | Valuation | -0.078 | -2.08 | 58% | SHORT | strong |
| Net Margin | Profitability | 0.114 | 2.06 | 58% | LONG | strong |
| Return on Equity | Profitability | 0.095 | 1.92 | 57% | LONG | moderate |
| FCF Yield | Cash Flow | 0.088 | 1.85 | 56% | LONG | moderate |
| Dividend Cover | Dividends | 0.082 | 1.78 | 55% | LONG | moderate |
| Revenue Growth | Growth | 0.075 | 1.72 | 55% | LONG | moderate |
| EBITDA Margin | Profitability | 0.071 | 1.65 | 54% | LONG | moderate |
| Current Ratio | Leverage | 0.068 | 1.62 | 54% | LONG | moderate |
| OCF/Net Income | Cash Flow | 0.065 | 1.58 | 53% | LONG | moderate |
| Interest Cover | Leverage | 0.062 | 1.55 | 53% | LONG | moderate |
| P/S Ratio | Valuation | -0.058 | -1.52 | 52% | SHORT | moderate |
2+ directors resigning within 30 days. Event study on 1,242 board changes.
Resignation clusters 5x worse than single departures. Strongest proprietary signal found.
Composite of guidance accuracy (40%), tone consistency (30%), insider alignment (30%).
Bottom quartile (lowest credibility): -7.97% avg 1yr. Score range 15-85, mean 46.8.
Management tone in earnings calls (optimistic/cautious/mixed/defensive/neutral).
Tone level 2x more predictive than tone shift. Defensive tone: -1.80% avg 90d.
3+ directors trading same direction within 7 days.
Contrarian signal — sell clusters more informative than buys. NZ insiders sell to diversify.
Auditor changes, critical phrase emergence, risk word density shifts.
Big4→Non-Big4: -13.32%. Upgrading to Big4 also signals trouble: -18.46%.
Financial strength (F8-9 long) and distress prediction (Z<1.8 short).
Quality factors work better as avoidance signals (short distressed) than long signals on NZX.
9-factor model predicting 20%+ DPS reduction. 1-year lead time.
Risk score separation: cuts avg 36.9 vs non-cuts avg 26.4. F1=0.400.
Data sourced from publicly available records. Our datasets may not be complete. Automated analysis can produce errors. If you believe any data on this page is incorrect, please contact us at hello@nzxplorer.co.nz. For informational purposes only. Not investment advice.
