This space is reserved for Nick Ray to introduce himself.
I first came to the thoughts in this post when I noticed that for the universe of stocks that I track, the median Quality Rank was about 63 rather than 50 as you would expect. So I decided to have a look at how the QVM ranks change with Market Cap, as my universe is limited to stocks with Market Caps over about £90m. Jim…
An examination of H2 2018 Anyone who was invested during 2018 cannot have failed to notice that everything was going really very nicely until about September - and then everything fell off a cliff. Interestingly, NAPS2018 seemed to start to show weakness from about June 2018, but the rest of us caught up later and eventually the stocks which seemed to have the highest momentum…
One of the simplest models of stock prices is geometric brownian motion (GBM). This model gives rise to the idea of characterising a stock's performance by its mean annual return and volatility - which most of us are very familiar with. But do we have a good grasp of what different values for volatility feel like? How much volatility are we comfortable with in a…
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…
I don't run a "counterfactual portfolio" based on sells, but I do run several portfolios created using different screens or other rules to compare their performance against my real portfolio as a sanity check. At the moment we seem to be in a period where factor-based methods as a whole are performing very similarly to the index. There is very little "edge" to be had…
The gross profit figures are on the income statement under accounts. (Side-note: the operating profit does not seem to be gross profit minus expenses on IND's accounts.) You can drill down into the quality rank for a stock by clicking on the quality rank value in any table it appears in (but not from the stock report.) (edit to add: does not work on new…
It looks like Indigovision (LON:IND) is being flattered by its F score and the "gross profits to assets" score in the Quality Rank. It has a good gross profit which gets completely wiped out every year and very few assets so gross profit/assets does well and the F score loses two points because Indigovision (LON:IND) does not actually make any profit but it is doing…
I had another look, this time forcing Q V M to all be above some minimum value. Using the rule that the stock must have a continuous record from 2016 to now there is only one stock where Q V and M all stay above 50 and that is Bloomsbury Publishing (LON:BMY) where worst case (Q,V,M) are at different times (64, 59, 51). Nothing does…
I'm going to guess the answer is "no". I have data on some stocks back to 2016. So if you are curious my list of the best performers in terms of maintaining a high stock rank seem to be these: Persimmon (LON:PSN)Bloomsbury Publishing (LON:BMY)Games Workshop (LON:GAW)Ocean Wilsons Holdings (LON:OCN)Barratt Developments (LON:BDEV)Plus500 (LON:PLUS)RM (LON:RM.) I don't track the smaller caps and I have only sorted using…
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