Factors testing spreadsheet

I found the attached spreadsheet posted in the message board archives (I found it in early 2014, but the spreadsheet appears to have been made around 2007). I hadn’t looked at in a while, but I just came across it again on my hard drive. I can’t remember where I found it in the message board or who created it.

What I’m wondering is if anyone has updated this through 2014 or if there is a similar factor analysis tool where you can do a similar analysis (rank the universe of factors based on various criteria.)

Thanks!


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

I believe what you have was created by ‘danparquette’. You may want to contact him directly to see if there is an update. Please let us know.

thanks, Debbie

Dan reran the Excel file in January 2013. You can see it here:

http://www.portfolio123.com/mvnforum/viewthread_thread,5755#27218

And here is process description:

http://www.portfolio123.com/mvnforum/viewthread_thread,1742_offset,20#7356

Awesome! Thanks so much for pointing me to the new file. The link was to an excel file for 25<mkt cap<1000mln. Does anyone know if he posted one for mid caps and/or large caps? Just curious if the factor scores are similar.

My reading of the sheet is that the strongest factor buckets (grouping them together in buckets since many of them are correlated) are:

valuation (fcf/ebitda, price/fcf, fcf/mkt cap, projected pe next fy, etc)
volume (recent volume acceleration)
sentiment (short interest ratio)
growth (fcf growth yoy)
efficiency (operating margin increasing)
profitability/quality (ROI, cash ROIC, ROE, ROA)
momentum (px as % of 52w high; pct from 200avg, sma 50 vs 200)
analyst revisions (curr eps est vs 8 weeks ago)

Curious if others read it the same way, and if I missed anything major. Also, any thoughts on whether volume acceleration is related/correlated to momentum? Also interesting how institutional ownership seems to have no significance. Thanks again!