That is, the difference in value ratios between value and growth stocks. This can be used to determine whether the underperformance of the value factor is due to "decay" or to widening value spreads.
I use this:
close_d(0,$spallpv)/close_d(210,$spallpv) > close_d(0,$spallpg)/close_d(210,$spallpg)There are a lot of variations you could try, but that's the basic principle.
I mean value spreads instead of the factor momentum of value factors
I apologize for not reading your question carefully. This can be done pretty easily using the Aggregate Series. You have to first come up with a definition of value and growth stocks and choose a value ratio. You would then use a rule like UnivMedian("valueformula","valueratio") - UnivMedian("growthformula","valueratio").
I want to define a value stock as a stock with a price to sales ratio below the median and a growth stock as a stock with a price to sales ratio above the median, so what formula should I write.
It's a bit complicated. Here's what you do. Create an aggregate series with the following rule:
UnivMedian ("1", "Pr2SalesTTM")Call it, say, "medval." Go to the Chart tab and update it with daily raw values for the entire period you're interested in and then save it.
Create another aggregate series with the following rule:
UnivMedian ("Pr2SalesTTM > Close (0, GetSeries (`medval`))", "Pr2SalesTTM") - UnivMedian ("Pr2SalesTTM < Close (0, GetSeries (`medval`))", "Pr2SalesTTM")That'll enable you to chart the spread you need.
