I have a “simple” ranking system (generified factor names):
Note I am ranking formulas “A” and “B”, as well as ranking system “DisconnectBetweenRevEngAndPerformance” as “Higher” valued.
Now I investigate with Reverse Engineering. Weekly price performance relative to S&P 500:
[size=3]–> +30% results:[/size]
[size=3]–> -30% results:[/size]
So to recap, the overall ranking system (“DisconnectBetweenRevEngAndPerformance+”) shows:
[size=3]+30%: Avg Rank=44.54 StdDev=28.20[/size]
[size=3]-30%: Avg Rank=59.57 StdDev=24.31[/size]
So the +30% results have a much lower average rank (44.54) vs the -30% results (59.57). So I would expect to need to reverse the ranking system method - Lower values ranked more highly.
However, when I run the Ranking Performance Tool, I see that Higher ranked results give best performance:
(The results page doesn’t show it here, but take my word for it - the overall ranking system is still ranked as “Higher”)
Note this is for the same period, both set to weekly evaluation/rebalancing.
Any ideas what could be going on here?