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Lucas's Latest Blogs

Primary Health Properties - Share price sharply down today (-5% at pixel time) - just wondering if the reading of the convertible bond issue is so negative or do we think there are other unrelated factors?

Can anybody recommend proper portfolio tools which provide: 1. daily valuations with a full history 2. dividends and other corporate actions 3. daily, monthly, quarterly, annual performance attribution for stocks, styles, sub-portfolio, strategies and overall 4. full import / export 5. performance benchmarking against chosen index 6. full performance metrics - annual returns, cumulative returns, monthly, vol, sharpe, skew, kurtosis, tracking error, drawdowns, leverage. etc..…

Lucas's Latest Comments

yes, it's relative - as the name suggest, these are rankings, i.e. relative positions of the stock against a peer group for a given factor. there is quite a good explanation how they are calculated in the manual / help sections.

Ed, editorial is a nice addition, but the only reason I am subscribing is: data, ranks and screens (and portfolios which are linked to these...) - please focus your efforts and improvements on those elements. Rigour, accuracy, completeness, speed, coverage and depth of your quantitative offering - this is the real differentiator for this fantastic service that you and the team have built. Please keep…

Ed, it would be interesting to see similar analysis / commentary and charts for the US version of QVM performance. I still don’t understand how SP outperforms almost all deciles.

yep - that's what keeps me worried. if we are saying QVM effect is not persistent in the US - do we understand why?

Ben, good article. You used the UK version of the QVM performance chart. I wonder what happens with the QVM effect in the US? Somehow, S&P seems to be beating most of the QVM deciles which is strange - unless the benchmark does not correspond to the QVM universe which must be the case given that the lowest market cap in SP500 is probably much…

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