The StockRank Performance Pages allow subscribers to chart and query the performance record of the StockRanks since their launch across different variations. Our hope is that subscribers will gain confidence in these approaches through the transparency we provide. This page updates the morning after every market trading day (usually Tuesday to Saturday).
The default chart on the page shows a set of lines which track the performance of different buckets of stocks according to their StockRanks. To date the best performing set has been the stocks ranked 90 or more (which is always coloured in the darkest shade of green), while the worst performing set of stocks has been those ranked 10 or less (coloured deep red).
If the StockRanks are performing well, then high ranking stocks should be outperforming low ranking stocks. If this is the case then a broadening ‘spread’ between the green lines (high ranked) and the red lines (low ranked) would be expected.
While the StockRanks since launch have performed well, a broadening spread should not be expected at all times. Every stock market strategy can be expected to go through prolonged periods of underperformance. Caveat emptor !
The blue line on the chart represents the best benchmark for the region in question allowing for easy comparison… the S&P 500 in the USA, FTSEurofirst 300 in Europe and the FTSE All Share in the UK.
At the top of the chart you’ll see a thin bar of filters which provide deeper drill downs into the data.
The currently available filters include:
The first three filters should be self explanatory. If you don’t know about the different StockRanks we provide please see the overview in this section. We are though often asked for clarification on the rebalancing periods and bucket breadth.
For decile based buckets we split the market into portfolios with cutoffs every StockRank of 10. So the first bucket has a rank of between 0 and 10, then 10-20, 20-30… up to the top ‘decile’ full of stocks ranked between 90 and 100. Quintile portfolios split the market into five groups (0-20, 20-40 etc), while Vigintile groups split the market into twenty groups (0-5,5-10… up to 95-100).
With quarterly rebalancing a set of new portfolios is created every three months. For example the 90-100 portfolio is ‘bought’ and held for 3 months. At the quarterly rebalancing date any stocks that are below the 90 mark are then ‘sold’, while new candidates are ‘bought’. Of the stocks that are still ranked between 90 and 100 the winner positions are pared back, while the loser positions are increased until the whole portfolio is equal weighted.
We try to make these performance results as accurate as possible but it’s important that we state the rules of engagement for these tests :