This space is reserved for Nick Ray to introduce himself.
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…
I wonder if this is the first time you have had a stock turn bad on you? It is natural to look around for extra rules to use to avoid it happening again, but it is impossible to prevent. As soon as new information is available to the market it will respond. You cannot avoid being occasionally caught by unexpected losses. If the information to…
As a quick check, you can get Stockopedia to create the plot for you including the intermediate values.You need a CSV with headings like the following example and with one line per buy or sell. So if your data has the buy and sell on the same line you'll need to do a bit of manipulation to get the required format on a new sheet…
What system did you use to do the plotting?
I think it very much depended on exactly when you bought into NAPS. There was quite strong performance in early January but things have slowed down or stopped since mid-January.
SIGB pays out its profits in huge dividends. When a dividend is paid the share price drops by the same amount. So check your dividend payments in your trading account. You should find that you are not out of pocket overall.
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