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