New single factor results for 1999-2013

Research
1

I rewrote my single factor scripts and reran them using the factors and forumlas that I had from a few years back. Settings were:
Dates 1/2/99 – 1/5/13
Rebalance Freq: 4 wks
Percentile NAs Negative
200 buckets
Slippage 0%
Universe: Setup to focus on small caps since that is where the inefficiencies are.
AvgDailyTot(30) > 200000
mktcap >= 25 and mktcap <= 1000
Industry!=FSMISC //eliminate closed-end funds
Min Price $1
Sector: ALL

The results are attached. The Data tab is the raw results that the script captured. The Charts tab is the one you want to look at. Each row starts with the factor tested and then has the returns per bucket and some methods I used to rank them to try to find the best factors. When you click on a row, the graph at the top changes to show the results for the row you clicked on (you may need to change your Excel security settings to allow the VB code to run).

If anybody sees any errors, please let me know. I had to rewrite the script from scratch and there could be errors. If there are, they would be things like the spreadsheet says to rank by Industry but the results match what you would get if you ranked by Universe.

These results are just a rough version using the factors and forumulas I had available. I’m going to write another post later about forming a group to work on adding new factors and formulas to the list, improving the analysis, etc.

[P123] see below for attachment

2

Dan, Denny and Others
Let me express my deepest gratitude for your unselfish sharing of your work.
I also wish to express my thanks and gratitude to those who have contributed freely the results of their hard work.
Without everybody’s contribution it would very difficult for me to achieve any reasonable results and expand my knowledge.
Emil

3

Dan:

It was a pleasant surpirse to see your post and spreadsheet. Thanks for sharing your work and results.

Glenn

4

Dan: many thanks for sharing this work. Very helpful. I got a lot out of the last one you posted some time ago.

I’m happy to be a part of a group to advance this type of analytics if you’re looking for members.

Again, thanks

5

Great information. This must have taken a huge amount of work. Thank you for posting.

It appears there is an error in the data table for the graph. The first data point references column “H” but there is no data in that column. As a result, the last column for bin 20 is left off the graph.
Need to make the first column “i” and go from there.

Rick

6

Thanks Rick. I fixed the graph and attached the new one to this post.

Port123 single factors 2013_OldFactors.xls (3.02 MB)

7

Dan:

Your updated spreadsheet is a GREAT way to start the new year.

Thank you.

Brian

8

Thanks Dan!

It would be interesting to compare the old list of factors using the exact same settings as a previous test. Maybe the microcaps list here . This would help us understand which factors changed under Compustat.