Short Interest Ratio ranking system performance Europe

Hi,
I understand that the Short Interest Ratio is not available for European stocks. If you create a ranking system containing just this factor, and select a European Universe, then all stocks are ranked equal, as you’d expect. However, if you download performance data, there is a top bucket that performs differently to the others. This isn’t what I expected. Shouldn’t they all be the same? Any European Sim containing short interest in the ranking system must be suspect IMO.

10 character bump

I just tried this with Easy to Trade Europe. All stocks are in the best bucket, the other buckets have 0 rerurn because they are empty.

ok thanks. I have always assumed that there were equal numbers of stock in each bucket, but I guess you’re right in this special case.

I find the “Save Log” feature on the Ranking System / Performance settings page to be very helpful to debug these kinds of cases. When you check that box, there will be a “View Log” button on the performance results page that let’s you look at the composition of each bucket for each rebalancing period.

For example, when I run a single node SIRatio ranking system on Easy to Trade Europe, you can see all stocks going in the top bucket:

RANK PERFORMANCE LOG 06/08/23-08:05:07

Rank ID              382691
Period               01/01/2001 - 12/31/2018
Rank Buckets         20
Slippage %           0.0000%
Transaction Type     Long
Universe ID          73977
Minimum Price        3.00
Chart Type           Annualized Returns

Note: Details show up to 30 stocks per bucket in format *SYM:Start:End:Ret%
      where * indicates a stock entering a bucket and Start and End are
      close prices fully adjusted as of the latest date.


*************************************************************************************
*** Rebal Dates 12/30/2000 - 01/27/2001
*************************************************************************************
Bucket  Rank      Perf%         #Stocks  Slippage%     Details...
1       0         0.0000        0        0.0000
2       5         0.0000        0        0.0000
3       10        0.0000        0        0.0000
4       15        0.0000        0        0.0000
5       20        0.0000        0        0.0000
6       25        0.0000        0        0.0000
7       30        0.0000        0        0.0000
8       35        0.0000        0        0.0000
9       40        0.0000        0        0.0000
10      45        0.0000        0        0.0000
11      50        0.0000        0        0.0000
12      55        0.0000        0        0.0000
13      60        0.0000        0        0.0000
14      65        0.0000        0        0.0000
15      70        0.0000        0        0.0000
16      75        0.0000        0        0.0000
17      80        0.0000        0        0.0000
18      85        0.0000        0        0.0000
19      90        0.0000        0        0.0000
20      95        5.3401        2053     0.0000        *DVD^09:DEU:9.09:16.58:82.35% *NUO^15:NLD:13.78:11.44:-16.96%                             *BCOR^06:SWE:378.95:359.30:-5.19%                           *CAI:ITA:1.04:1.36:30.45%     *R^06:ITA:13.37:12.67:-5.20%  *PWG^02:GBR:5.75:6.58:14.31%  *CEF^12:DEU:38.67:37.23:-3.73%                              *BFP^05:GBR:2.95:1.78:-39.66% *ERM^22:GBR:2.99:2.79:-6.61%  *KCR:FIN:2.76:3.37:22.22%     *EID^13:GBR:2.26:0.83:-63.17% *ELK^05:NOR:127.82:138.47:8.33%                             *BFI^07:ITA:9.55:10.85:13.60% *ELAN.B:SWE:96.34:100.45:4.26%                              *TRR^05:ESP:5.64:8.21:45.61%  *STLAM:ITA:3.45:3.57:3.50%    *COL.N^07:ESP:0.89:0.90:1.19% *AT^21:ITA:4.81:4.66:-3.08%   *VIL:FRA:1.53:1.46:-4.36%     *GRS^10:FRA:57.00:64.05:12.37%                              *ISON^07:CHE:21.00:16.00:-23.81%                            *FFGRP:GRC:21.65:12.84:-40.69%                              *ATO:FRA:49.10:64.14:30.63%   *FTC:GBR:0.61:0.50:-17.65%    *KPH^20:DEU:6.86:8.16:18.95%  *FRE:DEU:8.66:7.59:-12.39%    *SCA.B:SWE:7.02:7.25:3.27%    *CPI:GBR:1.99:2.12:6.68%      *BHP^22:GBR:0.98:1.08:10.38%  *ANTO:GBR:0.38:0.36:-5.63%   (2023 more)

*************************************************************************************
*** Rebal Dates 01/27/2001 - 02/24/2001
*************************************************************************************
...
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thanks feldy. another feature I didn’t know about!