I am attempting to incorporate more industry factors into my ranking systems, and ran across some unusual behavior.
In particular, I am looking at the variation in certain financial metrics by industry. I am attempting to accomplish this as follows
Define a Custom Formula such as
$EPSPctChgPYQInd_FHist = FHist(“EPS%ChgPYQInd”,CTR)
and then in the ranking system calculate a LoopStdDev as follows
LoopStdDev(“$EPSPctChgPYQInd_FHist”,20,0,13,0,0)
This calculation appears to work just fine, and in general gives me the results I would expect. However, for certain industry groups I am not getting the same result for every company in the industry. For example, if I run this calculation for the AERODEF industry the majority of the companies within the industry return a value of 16.85, but approximately 24% of the companies return a different result with calculated std devs ranging from 5.42 to 21.18.
I can’t come up with an explanation for this… except maybe companies that have changed Industry classification within the time period effecting the way the calculation works, but that doesn’t seem to be the way you would want the engine to handle that circumstance.
Anyone from P123 have an explanation??
Thanks,
Daniel