TopFactors for all stocks - last 2 years only

Research
1

The attached file contains the ‘top factor’ data for ranking system performance charts that covered only the last 2 years. The idea is that this will give us better insight as to what is working lately.
This was Jerry’s idea. If anybody has other requests, please feel free to post them. I cant promise that I’ll run them all, but I can do some that the group thinks would be benefitial. Also, if anybody has some promising factors or formulas that are not in the spreadsheet, please let me know and I’ll add them.

Port123 factors list-July06 Last 2 years only.xls (975 KB)

2

Dan, you the man. I’m sure that I speak for others in saying that I wish there was some way to express my appreciation. Maybe Marco could do something for us, like starting a Member of the Month/Year page honoring great contributors such as Dan & Denny.

3

thanks Dan. great contribuation to the community

4

Thanks Dan. There are many public models that have very good returns for small and mid cap(<5000) stocks. However the good performance seems rare for large cap( >5000) stocks. Can you please post the data for the russell 1000 universe or the largecap universe?
Thanks again
Huprikar

5

huprikar,
I’m gathering the data for the prussel 1000. I should have it in a day or two.
In the past, I’ve gathered the top factor data for large caps and created ranking systems based on it, but the returns were never very good. My thought is that there are too many sophisticated investors trading them so P123 doesnt give me a big advantage like I get with the small caps. I decided a while back that my plan is to focus on small/micro caps since they have the most ineffecient pricing. Then I short the russel 2000 to smooth out the equity curve. So far, so good. That said, maybe the group can come up with a good system for the prussel 1000. If so, please share your findings.

1 Like
6

Seems there is a problem with the attachment - error message indicated a directory rather than a file

no other posts indicating a problem??

Andy

1 Like
7

Hi Dan,

Thank you so much for providing the factor data.

I am just wondering with the recent fix of Rank Performance tool, is the data you have provided recently still pertty much accurate (or relative effectiveness of each factor remains the same)?

Furthermore, I am hoping that you can provide the top factors for mid cap stocks in the future . Hope that is not too much trouble for you. I hope the members can together create some midcap ranking systems and simulation models. I don’t think we will go anywhere without your help to begin with:)

Tony

8

I get an error message when trying to open the attachement. Any suggestions?

Thanks

1 Like
9

Thanks Dan!!

Marco et. el. I get the following error:
The error messsage is:
Can’t find a file to be downloaded (or maybe it’s a directory). (AttachID=271)

TIA
MJ

10

All - the attached spreadsheet is the data for the Prussel 1000.

Port123 factors list-July06 Prussel1000.xls (1010 KB)

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Tony - I’ll get the results for the MidCaps sometime this week. It only takes about 30 minutes of my time, but it ties up my computer. Definately worth it if we can create some good ranking systems.

1 Like
12

Thanks Dan for the Russell data

Cheers

13

The Top Factor data for the Midcap universe is attached. Enjoy.

Port123 factors list-July06 Midcaps.xls (1020 KB)

14

Gads, what a prolific and generous guy is our Dan. Marco, how about putting Dan’s spreadsheets in the Knowledge Base or Tools section, so they get more ongoing visibility than if they were just buried in a forum archive.

It will be interesting now to see not only which factors are best for a given universe, but how they differ.
J

15

Thank you so much Dan! I will try to come up with a couple interesting midcap Ranking systems to share with the community.

16

Thanks Dan! I created a ranking system from the spreadsheet. I’d be interested in seeing the sims that can be created.

http://www.portfolio123.com/rank_details2.jsp?rankid=24070

17

Hi Andrew,

Thank you for the new mid cap ranking system. Here is a sim I have created:

http://www.portfolio123.com/port_summary.jsp?portid=169084

It has return of 45% and max downturn of 25%. I guess the result is OK for a mid cap model… nothing too exciting.

I also run 43 sequential 2 year sims with starting date of 4 weeks apart on Stefano Excel Add-In. And the results,

Annualized Return:
mean: 44.6
median: 42
Maximun: 76.85
Minimun: 19.82

Max Downturn
mean: -20.15
median: -17.43
Maximun: -27.59
Minimun: -13.4

18

Dan,

Thanks so much for sharing the spreadsheets. I’ve spent a lot of time reviewing them. I had two questions:

  1. Have you tested how the return predictability of certain factors have changed over time?

  2. Have you run tests during specific bull/bear markets to determine if certain factors are more/less relevancy based on the market environment?

Thanks again,

Andrew

19

Andrew,
I have not done any research to see how the return predictability of certain factors have changed over time. I have noticed that the same factors seem to pop up in top 25.

Regarding the bull/bear - I did some of those a while ago (year or more), but the results were not very good. I looked around but I cant find the Excel sheets. Maybe after we get a few more years of data that would be worth doing again.

20

I’m sure Dan has done something great. If only I knew how to interpret it.

I see a graph and lots and lots of numbers. And names of ranking factors. If I knew how to make heads or tails of it, I’m sure it would have great value. Perhaps some words of explanation?