It has come to our attention that some users have been advised to flip an arrow on a composite node or on a ranking system so that the arrow points down (for going short) without also being told that if the ranking method is Percentile NAs Negative, then stocks with lots of NAs will rise to the top in the process.
Why?
Because composite nodes cannot change the ranks of the underlying nodes. Instead they aggregate them and compute new ranks based on them. So if a stock gets a rank of 20 because it has N/A for the factor in question, the composite node will keep that score of 20, thus making it rank high when you flip the arrow to point downwards.
If you are creating a short system by flipping an arrow on a composite node or ranking system and you don’t want all the stocks with NAs to rise to the top, then we advise you to set the ranking method to Percentile NAs Neutral.
For more information, please see https://www.portfolio123.com/doc/side_help_item.jsp?id=29, especially the last paragraph.