In my first post in this series Part 1: Some Analysis of 2020 Using Back Testing and Stockopedia Rankings in a Breakout Strategy, I introduced my Quality Breaking Out (QBO) Strategy and back testing approach, and analysed its performance in 2020 through the COVID slump.
In the second, Part 2: Is Momentum More Profitable Than Quality?, I explored the Stockopedia ranking based primary selection criteria for the Tradeable World.
In the third, Part 3: Do Elephants Ever Gallop, and Does Liquidity Help Profits Flow?, I explored Size and Liquidity as criteria for the Tradeable World.
In this post I’ll build on Part 3, and look at the influence the Market listing has on the QBO Tradeable World definition.
Key findings:
- Overall, AIM listed instruments are more volatile than Main Market listed instruments, however...
- Sticking to high Stockopedia Quality ranked instruments reduces the risk significantly, and...
- AIM listed instruments yield higher average gains than the Main Market, though the win rate and average losses are more favourable on the Main Market
Background and Approach
I have not previously looked at the impact of Market listing, other than forming an experiential opinion that AIM (Alternative Investment Market) listed instruments tend to be a bit more 'volatile' and 'risky' than the Main Market. In this post I want explore that opinion further to see if there is any truth in it.
Main Market
The Main Market is described on the London Stock Exchange web site as "a Regulated Market which requires a company to produce a prospectus approved by the Financial Conduct Authority (FCA) to enable its securities to be admitted to trading".
Admitted instruments are expected to have a "Corporate Governance statement", and for a Premium listing to follow the UK Corporate Governance Code.
The admission fees (and ongoing annual listing fees) are linked to MarCap, and increase incrementally as the MarCap increases up to a Maximum Fee applicable at a MarCap of £500m and greater.
AIM
AIM is described on the London Stock Exchange web site as "a market for smaller and growing companies".
Admitted instruments are expected follow "Expected market practice" and adhere to "AIM Rules".
The admission fees (and ongoing annual listing fees) are also linked to MarCap, and again increase incrementally as the MarCap increases up to a Maximum Fee applicable at…
