Fundamental Base Rate
Probability· DE: Fundamental-Grundrate
How often a company's fundamental metric (operating margin, return on assets, revenue growth) STAYS in the top (or bottom) quartile of its fiscal year after k years there — measured on US SEC filers from their own 10-K as first reported, against the unconditional rate of the same period. Survivorship-free by construction: firms that later stopped filing stay in the sample, and a conservative variant counts every one of them as "did not hold". No prices, no returns: it says whether a metric persists, never what the stock does next.
Calculation
Panel from the SEC companyfacts bulk file (tag-rules-v1: period from `end`, never `fy`; own 10-K as first reported; declared tag priority per metric). Quartiles per fiscal year over all firms with a value (annual percentiles, inflation-neutral). p = share of k-year top-quartile runs still in the top quartile in year k+1, on non-overlapping windows; q = share in that quartile in the outcome year over all windows of equal length; Δ = p − q with a 95 % firm-cluster bootstrap CI (1,000 draws). Banks excluded, REITs a separate group. A power arm (AR(1) with ρ = 0.3, 20 draws) must detect persistence and ρ = 0 must not, before any number is shown.
Unit & source
probability_0_1 · tradingstrategies.work fundamental base rates (SPEC-fundamental-grundraten-v1, SEC EDGAR XBRL) methodology
Related terms
Knowledge objects measuring this
Definitions are for research and education. Metrics describe market conditions — not financial advice or a buy/sell signal.