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SEC Fundamental Sieve Solvency & Balance Sheet Sieve v2.9

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K
Carrying Capacity (K)
Total Assets Scale ($M)
Carrying Capacity (K)

Total Assets in Millions. Represents the maximum scaling boundary for the firm before structural market friction and capital capacity degradation occur.

D/A
Debt / Assets Ratio
Ceiling ≤ 0.40
Leverage Boundary (D/A ≤ 0.40)

Hard solvency ceiling. Firms exceeding 0.40 debt-to-assets trigger automated capital preservation position shaves.

NM
Operating Margin
Hurdle ≥ +8.5%
Profitability Sieve (NM ≥ 8.5%)

Quarterly Net Operating Margin hurdle. Filters out unprofitable cash-burning firms regardless of price momentum.

FCF
Free Cash Flow
Yield & Solvency Sieve
Free Cash Flow Calibration

Validates real operational cash generation from quarterly SEC filings (comp.fundq) to prevent accounting accrual distortion.

25/15
HWM CPPI Floor
Auto Allocation Shave
Dynamic High-Water Mark (HWM) CPPI Preservation Rule

Enforces a strict 25% position haircut if D/A > 0.40, a 15% haircut if Net Margin < 8.5%, and a 40% compound shave if both fail.

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SEC Fundamental Sieve Balance Sheet & Solvency Sieve [point-in-time fundamental screening with zero restatement bias]

Popperian Falsification Protocol: Built deliberately to break, stress-test, and invalidate quantitative signals prior to live capital deployment.

POINT-IN-TIME SEC FILINGS ALTMAN & BENESH FILTERS ZERO POST-EARNINGS DRIFT
📅 Point-in-Time Accounting

Balance sheet metrics computed strictly using as-reported SEC 10-K/10-Q filing dates, completely eliminating restatement lookahead.

🔬 Forensic Solvency Sieve

Altman Z-Score, Beneish M-Score, and Piotroski F-Score hurdles systematically screen out distress and accounting manipulation.

🚫 Distress Bankruptcy Filter

Identifies structural insolvency early to avoid unborrowable hard-to-borrow names and high borrow fee traps.

💧 Operating Cash-Flow Rigor

Strict cash-flow coverage hurdles ensure that selected companies have verifiable liquidity to weather credit market freezes.

⚖️ Debt-Equity Transmission

Synchronizes corporate bond yields with equity options skew to detect capital structure distress before equity markets reprice.

⚠️ Mandatory Research & Accuracy Disclosure
EPOCH CALIBRATION Data Validity Horizon: 2026-09-02 16:30:00 UTC (Cash Session)
SEC 17a-4 Air-Gap Compliant • Deterministic Python/CUDA Kernel • Zero Algorithmic Parser Math Estimation • Quoted values assumed unverified until SEC XBRL audited
Academic & Quantitative Research Only

STRICT RESEARCH NOTICE • ASSUMPTION OF INACCURACY: All models, simulations, algorithmic signals, parameter values, factor regressions, and analytical outputs presented across this platform are provided strictly for quantitative and academic research purposes only. All data points, financial metrics, and market values are assumed to be unverified and inaccurate until independently audited and verified against official regulatory filings (SEC XBRL) and primary exchange trade records. Nothing on this website constitutes investment, legal, tax, or financial advice.

Balance Sheets Joined
5,690 Firms
SEC Fundamental Sieve Quarterly fundq
Median Carrying K
$1,041.3M
Total Assets Scale
Safe Leverage Zone
1,316 (23.1%)
Debt/Assets ≤ 0.40
Margin Hurdle Passed
1,017 (17.9%)
Net Margin ≥ 8.5%
Capital At Risk
3,664 Firms
Failing Both Screens

Fundamental Solvency Screener (Top 200 by Assets K)

Point-in-time Debt/Assets and Net Operating Margin solvency validation

Ticker Carrying K ($M) Debt / Assets Net Margin Sharpe Status
Debt-to-Assets Distribution LEVERAGE BUCKETS
Net Margin Distribution OPERATING PROFIT