All,
Recently I posted a message titled “Sell rule for a stock falling below a certain rank” (see Sell rule for a stock falling below a certain rank) regarding what different folks used for selling stock based on Rank, with the sell rule “Rank < 60” appearing to be the most common. I received a good bit of feedback from that post.
I decided to do more detailed research using 3 different versions of the sell rule (“Rank < 95”, “Rank < 60”, and “Rank < 40”) using a portfolio of 50 stocks across 6 different stock universes. The universes studied were (1) the S&P 500, (2) the S&P 1500, (3) Pr 1000, (4) Pr 2000, (5) Pr3000, and (6) Easy-to-trade. The period of study was “01/01/02 - 07/02/22”. I chose that period because I wanted to see the effects across the periods that included post Internet Bubble burst, the Great Recession and the subsequent market until the very recent past.
I looked at all of the Core factor ranking systems, namely Growth, Low Volatility, my version of Momentum (with a frog-in-the-pan component), Quality, Sentiment, Value, and Combination. I got some surprising results, with some ranking systems’ performances getting better with larger stock universes while others getting worse, etc. But without any more delay, here are the different ranking systems, different sell rules, and different stock universes:
(The other ranking systems in a subsequent post.)
