TOP PERFORMING STOCK RANKS

1st May '18 by WarrantStar

13 comments 5926 reads

Hello Everybody.
I have just been conducting some research on here into which stock ranks have been performing best in the market. I found it interesting, and it occurred to me that others might too. So here we go!
Here is what I did. I went on the "Ranks" tab above. Then to "performance" Then I made the following selections: UK, Value Rank, >£100m, Quarterly, Quintiles, 1 month. Then I noted the % change in the month for the top quintile (ie 80 to 100). Then I repeated the exercise for each of Quality, Momentum & Growth Ranks.
My findings were:
V = +6.82%
Q = +3.46%
M = +4.19%
G = +3.33%
My conclusion is that, for last month, for companies of market cap >£100m, the best performance would generally have been obtained by owning shares with high value rank & high momentum rank. I have been collecting these figures for a while and this is the first time for me that the value rank came out top.
What do you all make of this?

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Boros10

1st May '18

Very interesting. At some point in every cycle value has its day. During the dot com bubble money flowed out of value stocks into blue sky internet stocks causing the former to become very cheap. This corrected in the early noughties. With quality and growth stocks now being priced for perfection (with any misses being severely punished by the market) maybe it is the time to re-visit value. Of course, we need to be wary of value traps and also of holding onto winning value stocks too long ( generally I believe buy and hold makes less sense with value stocks).

covkid

Good to see that they all show a profit !!

WarrantStar

Yes Covkid, They are all positive this time. But there are some negative figures in earlier time frames.

Mechanical Bull

The FTSE 100 climbed 6.8% in March and so while all the factors show a profit, all but one has under-performed the market.

Unfortunately, in the last 5 weeks my high StockRank portofolio has been under-performing both the overall market and the basket of 90+ Stockranks. I've been doing some research into why this might have happened so I'll be posting about this shortly.

Hi Mechanical Bull.
Just for clarification. The above performance comparison was between the following:
Value rank 80 to 100
Quality rank 80 to 100
Momentum rank 80 to 100
Growth rank 80 to 100.
My portfolio is also underperforming recently and I attribute this to having few shares with a high value rank.
Anyway, I will be very interested to read your post in due course.

Rusty2

The FTSE was up 6.8% in March? I don't think so, according to the charts I can see it was down slightly.

whitmad

Interesting post but I'm not sure how useful retrospective checks of stock ranks are. Something might have a high momentum rank now because its price has recently increased, or a high value rank because it has fallen after a profit warning. More useful perhaps to run a screen, wait a month and then see how that basket has performed. I don't think we can screen against historic ranks, unfortunately

I use a strategy based very much on ranks myself. I use QR>75, SR>80 and a large set of filters based on red flags, combined with some personal prejudice, a sprinkling of macro factors, and perhaps a little too much whim. High VR I have always found problematic, It seems that very often, high VR stocks are cheap for a good reason, but it is often not easy to tell.

So far I'm up 7.5% since 6th April, but I wouldn't read too much into anything over such a short interval.

Hi Whitmad. Yes. I'm not sure either how useful retrospective checks of stock ranks are. But a few points worth bearing in mind are: 1) It's based on all the shares with Value rank 80 to 100. 2) It's the first time in about 15 months & 19 sets of analysis, that Value rank has been the top performer. 3) Trends tend to continue until they reverse. It might reverse again next month and so have been a blip. Or the new value trend may continue for ages. In which case it would be worth paying attention to. Of course I don't know one way or the other. But I will keep an eye on it.

Apologies, I meant April!

I was thinking "last month" forgetting it was 1 May

jonesj

I wouldn't evaluate any strategy over a month, but get much more excited when studies are conducted over a century or more.
Obviously my forward investing time horizon is much less than a century, but 100~150 years of past data might give better clues about what could happen in the next 20~30 years than 1 month.

mmarkkj777

16th Jun '18

I know that a few months is not a lot of back-data (it would really be a lot of work to go back decades for this), but nevertheless I think Warranstar has made an interesting observation here, that in this short-ish timeframe and this sub-set of samples (the top 80-100 ranked stocks), Value stocks have come out on top for the first time.

Please post again Warranstar, what were the results for May?

Hi Mark, As it happens, I just did the exercise again this morning in a similar way to my original post, but this time looking at the last 1 month, and the last 3 months. So this data is up to date.

1 month 3 months
V -1.63 4.83
Q 1.05 4.06
M 1.95 6.94
G 0.61 4.11

My tentative conclusions from this are that the best performance would generally have been obtained by owning shares with high momentum rank. High quality and high growth rank shares would also have done well. For value rank the jury is out, with high value rank being positive over 3m but negative over 1m.
Personally the last month has been a lot better for my investments, than the prior couple of months. This is in tune with the above data with the predominant style in my portfolio being High Flyer.

17th Jun '18

Thanks Warranstar.

Really interesting. I wonder if they are cyclical, and what factors cause the shift.

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WarrantStar

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