A FCF/EV screen - finding a winning horse

When I wrote about Price-to-Sales, I called it the King of Value Factors quoting Jim O'Shaughnessy, who found that this was the best-performing Value factor for US stocks from 1951-2003. What was notable was how badly the decile with the highest Price-to-Sales did. This generated just a 3% compound return, less than inflation for the period:

One thing is clear from this long-term study: investors really don't want to be in the highest Price-to-Sales stocks. However, 2003 is a long time ago and reflects a general market nadir, which may have undue influence on the results. When Gray and Carlisle did their pretty exhaustive study into which value factor performed the best, using 1971-2011 data, Price to Sales didn't even make the running.

Reader @iwright7 pointed out in the comments that there have been some more recent studies than this. For example, in 2014, Jim O'Shaughnessy’s son Patrick suggested screening for EV/FCF lt;10 as a good Value metric. He also quoted the following research called An Update on the Valuation Metric Horserace: 2011-2015, also by Wes Gray, with Jack Vogel,...