Our September 2026 factor run tests every pre-IPO fundamental we hold against forward returns, across IPOs priced in the last 12 months. Only factors that survive Benjamini-Hochberg correction for multiple testing are reported as robust — with dozens of variables tested at once, a plain significance threshold would surface noise.
3M forward returns
Measured across IPOs priced in the last 12 months. The table ranks factors by the absolute size of their Information Coefficient — the rank correlation between the factor and the return that followed.
| Variable | n | IC | p | Q5−Q1 spread | Robust |
|---|---|---|---|---|---|
| Interest coverage (EBIT / interest) | 34 | 0.528 | 0.004 | 117.454 | ✓ |
| Stock-based comp / revenue % | 22 | -0.486 | 0.003 | -30.609 | ✓ |
| Direct listing (0/1) | 137 | -0.437 | <0.001 | -55.826 | ✓ |
| Op. cash flow / revenue % | 50 | 0.339 | 0.052 | 39.831 | |
| Goodwill / assets % | 30 | 0.332 | 0.062 | 42.016 | |
| Direct listing < $1000M cap (0/1) | 136 | -0.327 | <0.001 | -49.719 | ✓ |
| Free cash flow / revenue % | 50 | 0.326 | 0.060 | 39.831 | |
| Altman Z'' (distress) | 76 | 0.312 | 0.010 | 75.872 | ✓ |
Strongest pre-IPO factors vs 3M return (IPOs priced in the last 12 months)
Multivariate fit (3M)
Cross-validated Elastic Net (n=135, α=11.13, CV R²=0.006), standardized coefficients:
| Variable | Coefficient |
|---|---|
| Direct listing (0/1) | -2.2101 |
| Direct listing < $1000M cap (0/1) | -1.4214 |
| Debt / equity | 1.2355 |
| Return on assets % | 1.0446 |
| Net margin % | 1.0380 |
| EGC opted out of extended transition (0/1) | 0.9106 |
6M forward returns
Measured across IPOs priced in the last 12 months. The table ranks factors by the absolute size of their Information Coefficient — the rank correlation between the factor and the return that followed.
| Variable | n | IC | p | Q5−Q1 spread | Robust |
|---|---|---|---|---|---|
| Interest coverage (EBIT / interest) | 32 | 0.672 | <0.001 | 338.231 | ✓ |
| Stock-based comp / revenue % | 21 | -0.634 | 0.087 | -91.085 | |
| SG&A growth % (YoY) | 32 | 0.524 | 0.053 | 223.646 | |
| Op. cash flow / revenue % | 48 | 0.474 | 0.032 | 165.538 | |
| Piotroski F-score (0-8) | 25 | 0.472 | 0.013 | 215.228 | |
| Free cash flow / revenue % | 48 | 0.468 | 0.039 | 158.601 | |
| Cash runway (months) | 37 | 0.415 | 0.086 | 200.182 | |
| Intangibles / assets % | 28 | -0.395 | 0.039 | -151.136 |
Strongest pre-IPO factors vs 6M return (IPOs priced in the last 12 months)
Multivariate fit (6M)
Elastic Net shrank every coefficient to zero.
What this does not prove
These are historical associations across a sector-neutralized cross-section, not a trading rule. Sample sizes are small by quantitative-research standards, the IPO universe turns over quickly, and a factor that clears the significance bar in one month can fail it the next.