I have been testing a number of different ranking systems/simulations and can’t explain why similar factors give different ranking results.
For example, these two factors give a different ranking:
Book2Price: BookVal(0, QTR , KEEPNA )/SharesFD(0, QTR)/close(0), Higher Values
Pr2BookQ: inbuilt factor, Lower Values
These two factors are just the inverse of each other and should yield similar results. The only difference should be that if book value were negative, the first ranking should correctly rank those with a negative book value at the bottom. However, when I run a screen, I get the following results:
Ticker # NA’s Final Stmt 100% Stock Rank
book2PrQ Pr2BookQ
1
OGZPY[5D][1Y] 0 N 99.97 99.94 99.50
2
SDRL[5D][1Y] 0 Y 99.94 99.36 99.97
3
NBGGY[5D][1Y] 0 Y 99.92 99.97 99.19
4
DB[5D][1Y] 0 Y 99.89 99.52 99.64
5
GNW[5D][1Y] 0 Y 99.86 98.94 99.92
6
AEG[5D][1Y] 0 Y 99.83 99.58 99.22
7
RBS[5D][1Y] 0 Y 99.80 99.80 98.68
8
BCS[5D][1Y] 0 Y 99.80 99.75 98.74
9
SCGLY[5D][1Y] 0 Y 99.75 99.69 98.66
10
MTU[5D][1Y] 0 Y 99.72 99.92 98.24
As you can see, there are different ranks for each factor which maybe explained by some negative book values in the Universe but if I look at the individual components of the calculation for the first stock, OGZPY, I get the following results:
Ticker Name Last Rank MktCap @P2BQ @BkValue @ShFD @bkpSh @close @bk2Pr Pr2BookQ BVPSQ
OGZPY Gazprom PJSC 4.1 99.972 47102.8477 0.2957 159456.5156 11500 12.5878 4.1 3.3819 0.2957 12.5878
Portfolio123 calculates book value per share as 12.5878 but the calculation of book value divided by common shares (fully diluted) yields 13.86 (159456.5156/11500). What is causing that difference. Interestingly, Portfolio123 correctly calculates the book value per share as 0.2957 i.e.(4.1/13.86).
Can anyone help me understand why the ranking results are different for the two factors - is it just due to negative book values and also why is the book value per share calculated as 12.5878 as opposed to 13.86.
Many thanks
Paul