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!
This page summarize short data for some of the most "investable" markets in Europe.
All the short data can be pulled free from the different authorities. Would be awesome if P123 would start collecting data.
And I'm sure if P123 would sponsor the guys at shorteurope.com with a coffee, they would share their saved Short history as well.
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I removed almost all factors related to sentiment, including short interest but also estimates/recommendations. For example for Polish stocks, there is 0% of stocks with CurQEPSMean and 15% with CurFYEPSMean ....
Most of the stocks with nonzero CurFYEPSMean are large caps...this is problematic if you trade small caps.
Short interest should have been removed from the Europe Core Ranking System since it's all NAs. We are removing it now to avoid confusion. It should have no impact.