Hello everyone.
I am creating a strategy using Factset's debt_eq_af.latest fundamental variable. It also has a screen for stocks larger than 300M and excludes OTCs. The results seem a bit too good to be true but I have checked for leverage and it doesn't go beyond 1.
You can see in the corresponding backtest which returns almost 700% since '03. Am I missing something here? The stocks with the highest Debt/Equity outperform stocks with lowest debt/equity. I understand there might be some valid economical reasons for this but I'd like someone to clarify.
Thanks in advance.