FRANK in SERIES?

Research
1

I am trying to create a series that shows the AVG PE ratio of the lowest decile in a universe. The problem is that when you use FRANK within UNIVAVG it has nested quotes and it does not work. Is there a way around it? I thought someone had mentioned a way but I could not find the post anymore.

I’m trying to do something like:

UnivAvg(“FRANK(“PEEXCLXORTTM”)<10)”,“PeExclXorTTM”)

Thanks!

2

I think you can use custom formulas to work around this issue.

3

Thanks wwasilev,
I have tried, but it does not seem to work for FRANK.
Even using a simple custom formula: FRANK(“PeExclXORTTM”) I get error ERROR: Could not find uid 116 in function FRank – map size is 0.
Any other thoughts? Thanks!

4

Buongiorno iAvanti!

Here is a painful work-around that allows you to compute a single, current average value of your variable:

  1. Go to Tools / Universe / New and create and save the custom universe with your variable.
  2. Run your new Universe screen and copy all the tickers in the output.
  3. Go to Tools / Lists / New, copy all the tickers into the list box, save the list and copy the name of your new list.
  4. Go to Screen / New / Stock Screen and enter:
    Rule1: InList(" Your_New_List_Name ")
    Rule2: Enter your variable here (e.g., PeExclXORTTM)
  5. Run the screen and select “Screen Factors” for the output.
  6. Download the output in Excel and compute the average.
  7. Go out for a long run…

All the best, D

5

Instead of downloading and computing the average manually, you may use Aggregate.

ShowVar(@avg, Aggregate("PeExclXorTTM", #Previous))

The function defaults to excluding the outer 16.5% from the average.
If you want to do a simple average, you must specify it as follows:

ShowVar(@avg, Aggregate("PeExclXorTTM", #Previous, #Avg, 0))

You can see the result in the ‘Screen Factors’ report.
Either screen a custom universe or precede this rule by any sort of rule which filters the stocks for which you want to compute the average.

Take a look at this screen.

6

Thanks for both your suggestions, what I am trying to get to is the series, not just the current number, so as to see how the numbers have evolved over time.

After trying, I managed to get there by creating a custom universe with all the rules in one line, and the next line being FRANK + #Previous.
That way, the universe is already filtered for the ones I wanted to plot.
The problem is that I would like to plot the ten percentiles for the formula over time, and for this I have to constantly modify the ranking, but I guess this is better than nothing.

Thanks!