For those of you interested in the empirical evidence for the type of Factors that make up Stockranks there is a new US paperback just published; Your Complete Guide to Factor-Based Investing by Berkin and Swedroe. It's not a wildly entertaining read, but they do make the case for many of the criteria at the core of the Stockrank system. I read it in a day and I think is well worth the £10.50 price tag.

Of those factors that pass their rigorous analysis; Low Beta, Small Size, Value, Momentum and Profitability/Quality get the most attention. Momentum is the most potent factor. 

There are lots of reviews of academic papers and a summary of US data calculating the average % odds of factor underperformance over the last 90 years.

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Several other factors find their way into an Appendix and the one I found most interesting is Appendix F which the authors call Time-Series Momentum (Trend Following), largely because of new research evidence for persistency and out-performance. One aspect for me to take more notice of in future!

A recommended read for interested Stockrankers- Ian

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