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Here is a chart of the deciles of performance across all shares with a market cap greater than about £80M Year-to-Date: The big drop in sentiment occurred in October but we can see that upward progress had begun to stall from June onwards. Now what is interesting is to compare your own portfolio against these deciles and characterise its performance in terms of the percentage…

(Looking at the behaviour of stock fundamentals beyond two sigma.) Motivation The genesis of this post was watching all the high-QM low-V stocks diving in the recent fall. All the backtest data says that you can't have too much quality or momentum when times are good. But how much is too much when things get a bit tricky?Some time ago I wrote a post about…

Something happened in June Many of us running a rules-based portfolio have noticed a recent slump in performance since June which has also afflicted the NAPS portfolios which are well documented on this site. NAPS portfolios have performed well over the last few years, but this year something interesting has happened, as illustrated in the graph below. This graph shows the 2018 NAPS and SNAPS…

THE IDEA Suppose we want to build a screener using a set of rules to create a portfolio which meets some criteria. (For example: good performance over the next year.) These rules look like: metric > value or metric < value.  So they divide the stocks into two sets: the stocks we keep and the stocks we reject - hopefully in a way which meets…

A recent question in another thread about how Q V M evolve over time prompted  me to have another look. I have in the past played with 3D representations but it is probably easier to see using good old-fashioned plots.So purely for interest here are the time evolutions of four stocks I have data for, each of which has a different experience over the last…



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Interesting to see the VFTSE graph.  If this is based on "implied" (i.e. future) volatility then it does not look very different from a plot based on historical volatility: As dscollard mentioned it does not seem to be very predictive. I created my plot by calculating the volatility on each date over the previous 20 working days which seemed to match Graham's VFTSE graph quite…

To be easily google-able you need your company name to be a made-up word these days. I think this drives many of these fanciful names.

I thought it was interesting to see how much Joules had dropped from its 52w high and I recall Mark Minervini saying that when a market leader puts in a major top, there is a 80% chance it will drop 50% and and a 50% chance it will drop 80%. So I had a quick look at some recent high performers and quite a few…

That's the trouble with very low quality stocks. It may be down -60% over a year, but the annual volatility is a crazy 80% which makes it a difficult stock to work with - short or long!

Apologies if I missed it, but is this UK markets only and does it include dividends/re-investments? This is UK only, mkt cap > £80M ignoring dividends. why are there only 9 groups if they are deciles? They are percentile points at 10%, 20%, ..., 90%. Can I just check how your deciles in the first chart are created?I should have been clearer on this because…

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