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Portfolio123 » List all forums » Forum: Ranking Systems and Factors/Functions » Thread: Ranking System vs. SPX |
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dcnelson
Advanced Member
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In one of my ranking systems every bucket out-performs the SPX dramatically over the full duration of the data set. Could use some help explaining this. I realize the SPX is cap weighted but it seems like something else is going on here. ---------------------------------------- 
Ranking System vs. SPX.jpg
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marco
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What ranking system? Your universe is SP500, where most stocks pay dividends. The benchmark cannot be changed in this tool (we'll change that soon) and it is always the SP500 index , mktcap weighted, w/no dividends. The legend in the perf graph is incorrect. dividends are included in the buckets Try this: Run a screen backtest with similar settings and only one rule: Rank <5 This will show you the lowest bucket. Don't forget to set slippage=0. What do you get? ---------------------------------------- Portfolio123 Staff ---------------------------------------- [Edit 1 times, last edit by marco at Jul 18, 2012 8:31:18 PM] |
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dcnelson
Advanced Member
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Interesting when you look at just the bottom bucket Rank < 5 Massively underperforms 1999- March 2009 then outperforms from 2009- present. Interestingly both the top and bottom buckets outperform. This system isn't great for the SPX universe. The results on the full data set are closer to normal. See attached ----------------------------------------
Screen Rank ��� 5.jpg
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Screen Rank ��� 5.jpg
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SPX Rank - Mar 09.jpg
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Spx Rank 2009-2012.jpg
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Full Data Set.jpg
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---------------------------------------- [Edit 1 times, last edit by dcnelson at Jul 20, 2012 12:28:53 PM] |
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dcnelson
Advanced Member
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Previous doesn't have descriptions. First and second chart (dupe) are a screen backtest of Rank < 5 where the universe is the SPX Third is Rank Backtest of the SPX 1999- March 2009 (Bottom) Fourth is Rank Backtest of the SPX 2009-present Fifth is Rank Back test of the Full dataset including all stocks. This Particular system isn't great for the SPX but was trying to figure out why all buckets rank above the SPX when you limit the universe to just those stocks. I am assuming it is dividends but not sure. |
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Ranking System vs. SPX
