Portfolio123 now has ValueLine ranks for the SmallCap &Midcap survey

Dear All,

We are happy to now have ValueLine Ratings for their product SmallCap & Midcap Survey (about 1,800 stocks at any given point in time). The following new factors are available under MISC->RANKING

ValueLine Performance Rank: VLPerf , VLPerf1W , VLPerf2W , VLPerf3W , VLPerf4W
ValueLine Safety Rank: VLSafety, VLSafety1W, VLSafety2W, VLSafety3W, VLSafety4W
ValueLine Technical Rank: VLTechnical, VLTechnical1W, VLTechnical2W, VLTechnical3W, VLTechnical4W

The ratings are weekly and are updated MONDAY morning around 8AM

For example VLPerf=1 returns all stocks rated 1 , or about 100 stocks at any given point in time.

We hope you find this useful in creating new systems. ValueLine is still highly regarded and the data we received looked very clean. We are not getting their more popular product the “Investment Survey” that covers 1700 of the largest companies. That one was too expensive, and we feel that the SmallCap&Midcap might actually be a better fit for P123

You can find more info in their document The Value Line Investment Survey Small and Mid-Cap Edition . We will also follow up with some examples and another introductory document.

Let us know what you think. We’re trying this data out for a year.

NOTE1: Our own Marc Gerstein & Paul DeMartino both worked at ValueLine
NOTE2: We are not allowing launching of R2G using these ratings yet. The ratings update after we process the rebalances, so we will have to create a new process that rebalance R2G & Live Models around 8-9AM on Mondays

Hi Marco:

Will there be an easy way to create a custom universe of just the stocks that have ValueLine Ratings?

Brian

Great!

Screen with all stocks (max No. stocks =0) does indeed return about 100 stocks with buy rule VLPerf = 1. With slippage = 0 and weekly rebalance returns 24.86% Annualized.

Note: this is probably better than Zacks Rank 1 (about same annualized) if you consider that Zacks universe includes microcaps and I think even OTC stocks (must have an analyst).

Thanks Marco!

Jim

Marco - rebalancing on Mondays is already later than I would like. I can’t see pushing it later for this as we are already seeing glitches impacting the rebalancing time.
Steve

Awesome!!! Great add. Thank you Marco.

Rob

Yes, this can certainly be done and I suspect it may turn out to be an especially interesting way to use the ranks.

Note, too the 1W, 2W, etc. variations that are included. When I was at Value Line, we often heard from subscribers about successes they experienced, not so much by focusing only on the stocks ranked 1, but on stocks that rise in rank, from 2 to 1, from 3 to 2, etc. So experiment! Eve n when I was at VL and working intensely with its screener, we never had anything remotely resembling what we have at P123 in terms of testing, the ability to combine rank data with other things (i.e., a rank-based screen or set of buy-sell rules and our own ranking systems). This should be interesting!

Will this delay Monday morning update?

Would changing the rebalance day to Tuesday help?

I know the P123 tradition is Monday. That made a lot of sense in the past (back in the days of Reuter’s data) because we could have fully updated rankings by sometime on Sunday. That gave time to reflect upon picks (check news, etc.). But with Compustat data, there seems to be no advantage to rebalancing on Monday rather than Tuesday.

Or am I overlooking some “freshness” advantage to the data available on Monday?

Brian

We’re not changing monday rebalances. We will most likely have a separate late rebalance for ports using VL data

Marco,

Thank you for expanding our options.

Scott

Is it correct to say that there is no survivorship bias in the ValueLine data?

Thanks, this gives us another angle to explore…

Bob

This is very cool. The valueline ranking has a long history, and even the academic community refer to it as an “anomaly” as it is in blatant contradiction of efficient market hypothesis -see this link for details

I also note that if you do a google search for value line anomaly, you can find more literature, such as this investment book that again refers to the “anomaly”.

“Anomaly” is an interesting word - it is code for “it actually works”. The main religion of financial academic is that all markets are 100% efficient 100% of the time. Any evidence to the contrary is considered to be blasphemy and then marked as an “anomaly” to be explained away or quietly shoved under the rug. Keep your eyes out for the word “anomaly” - this is a great endorsement!

Don’t want to spoil the party. But If I put a meaningful liquidity rule into the screen (VLPerf=1) and AvgDailyTot(20) > 1 Mill. & Close >2, the return decreases siginificantly and there is not much difference to the SP500 or other index.

Any issue when back testing when using the Value Line rank? Portfolio rebalance occurs on Monday and VL rank is updated on Tuesday. Does the historical data match? i.e. Historical VL data not available until Tuesday.

They distribute the data on Monday 8 AM Central. I’m assuming it has always been that way.

For sure they must have have Mondays when the data was late, but overall the backtest should be ok trading on Monday

Any thoughts on getting STAR rankings or “fair value” scores from S&P ?

Can I use this VL rule in a sell rule?

Yes

Is this feature disabled for trial uses of portfolio123?

Should be ok for trial users.