Dear All,
We released several new Factors and functions. The main area we expanded deals with volatility: we added support for relative volatility which is better suited when comparing size dependent factors.
We added three new ratios to measure a company’s efficiency and profitability which are directly related to their “economic moat” (a term popularized by Warren Buffett).
Lastly we added three additional line item factors, some utility functions and a weekly version of RSI.
Please find details of this release below. We have much more to come including a full suite of regression functions (coming next), and an ambitious foray into AI (coming soon after). Let us know what you think.
Cheers,
The Portfolio123 Team
Volatility Functions
We added the following Standard Deviation (SD) and Relative Standard Deviation (RSD) functions. RSD is a more appropriate way to compare volatilities of certain factors. For example, ranking stocks based on EPS SD alone makes little sense since stocks with fewer shares will have larger EPS’s and larger volatilities; but using RSD normalizes away the share count.
FHistStdDev(“formula”, …)
SD of ‘formula’ sampled multiple times in the past.
FHistRelStdDev(“formula”, …)
RSD of ‘formula’ sampled multiple times in the past.
LoopRelStdDev(“formula(CTR)”, …)
RSD of ‘formula’ sampled multiple times using an offset.
We calculate Relative Standard Deviation as follows: RSD = 100 * (SD/Abs(mean))
We added an “annualize” option to these functions
PctDev(samples,bars[,offset,min_samples,annualize])
PctAvg(samples,bars[,offset,min_samples,annualize])
See the full description for more information and the exact formula for each.
Volatility Factors - Technical
We added the following price volatility factors. The volatilities have been annualized to make the factors more comparable.
TRSD1YD: 1 year annualized daily volatility
TRSD30D: 1 month annualized daily volatility
TRSD60D: 2 months annualized daily volatility
TRSD90D: 3 months annualized daily volatility
TRSD3YM: 3 years annualized monthly volatility
TRSD5YM: 5 years annualized monthly volatility
TRSD3YD: 3 years annualized daily volatility
TRSD5YD: 5 years annualized daily volatility
Line Items Factors
We added three additional line item factors: two RSD factors , and one growth factor comparing TTM values to those of a quarter earlier.
{Item}RSD%TTM
Evaluates the RSD of the item sampled 10 times in past 5 years
{Item}RSD%ANN
Evaluates the RSD of the item sampled 10 times in past 10 years
{item}Gr%PQTTM
Calculates the momentum of TTM vs 1Q ago
See the full description for more information and the exact formula for each.
New Moat Factors
We added three new “economic moat” ratios.
SGA2GP: Selling General and Administrative costs to Gross Profit is a profitability ratio that assesses how much of the net revenues are absorbed by indirect costs. Companies that consistently spend under 30% of their Gross Profit on SG&A have a wide moat, and don’t need to spend a lot on overhead to operate.
DepAmort2GP: Depreciation & Amortization to Gross Profit is an efficiency ratio. When DepAmort is consistently less than 10% of Gross Profit, it’s a sign that the company doesn’t need a lot of capital expenditure assets to maintain its competitive advantage and has a moat.
NI2CapEx: Net income to Capital Expenditures is an efficiency ratio that assesses how much of the company profits are reinvested into capital expenditure. For companies with average to low growth rates, a high Net Income to CapEx indicates that a higher portion of profits can be rewarded to shareholders or used to reduce debt, rather than being tied up to maintain the cash needs of a business.
Miscellaneous
We added the following miscellaneous functions:
RSI_W(weeks, …) : Calculates weekly RSI
IsNeg(A, B): returns B if A is negative
IsNegOrNA(A, B): returns B if A is negative or NA
IsZero(A, B): returns B if A is zero
BetaFunc(period,…) now allows up to 1300 samples for 5Y daily Betas