Can we boost performance by getting rid of a couple of bad industries? Certainly. Can we do it via the SCTR? Maybe.
Before we get started, we want to understand what perfect prediction could bring us.
This chart is what would happen, from 2000, if we could magically throw out the bottom 20% of these 11 sectors (usually 3), in terms of future performance next quarter.…
Shorting stocks is hard to do profitably. Very hard. That said, adding a short component to portfolios can reduce drawdown. Long/Short portfolios are also useful to see if factors are important for good investment performance.
To model a long/short portfolio with maximum control, use the islongshort macro.…
These screenshots will start embarrassingly simple, and get more elaborate. So stay tuned…
First, lets find large companies!
Now, within that set of companies we want to find companies with decent valuation:
That’s nice, but we have some companies with really tiny PE values:
Let’s filter them out (using add term on the <, and dragging and dropping the terms):
This is nice, but where did I get those 3 and 12 from. …
People look at net income, otherwise known as just earnings, as well as Free Cash Flow to decide whether they like a company. Why? Net income is the “real” income the firm makes, but it has one weakness: it doesn’t actually track money coming into (or out of) the firm.…
Tyler has worked with us for about 4 years: doing anything that needed doing. From testing (tedious but critical) to creating new strategies that manage risk and optimize returns, to writing articles (137 of them!), handling customer issues and more. He has also created much of the course work that students use to learn investing, including the Equities Lab 101 course on every account.…
Learn how to benchmark your strategy versus various benchmarks, ranging from indexes, to stocks and other strategies.
Cutting to the chase, imagine you have a simple screen that finds reasonable large cap companies. That screen is literally “import ohlson_o_score < -3 and mc > 10b”
OK, what is a death cross, and what do I mean by “it doesn’t work”? A death cross is a (very) vivid name for a short term moving average slipping below a longer term moving average. Technical analysts love to sell when they see death crosses, and buy when they see golden crosses.…
How to analyze a factor without ranking in Equities Lab
Create a screen
Everything starts with creating a screen. So, onward!
Name your screen
Screeners with names can be found later. If you want to put your screens into categories, simply put MyCoolCategory: at the front.
Limit your stocks
You can type “Market Cap > 500m” here.
This how-to shows how to create a strategy in Equities Lab, and how to do some basic analysis of it. For humor value, we take the point of view of a children’s book character, named Amelia Bedelia, who has no common sense. We have all felt this way sometimes.
A quantitative mutual fund is a screener.