Released: Enhanced Data Accuracy For StockRank Return Tracking

6th Nov '23 by Edward Croft

16 comments 5350 reads

The StockRanks are one of the most popular research tools on the site. Since their launch in 2013, subscribers have repeatedly told us how much they’ve helped them make faster and better-informed decisions with less need to crunch the data themselves.

With ten years of published StockRanks history, we decided it was time to review their history and deliver a range of improved educational resources to help you make the most of them. We have conducted an extensive research study, written a 30,000 word ebook, and intend to deliver a range of video tutorials and masterclasses.

As part of the research process, our data and engineering team implemented some significant improvements to the comprehensiveness of our archive prices data, upon which the return tracking of the StockRanks rests. These improvements have been shipped and are discussed in depth here.

Improving the quality of data

Since introducing the StockRanks, we've archived the data we publish for every share daily. The Learn → StockRanks section showcases the return history of shares across various deciles of ranking. Over many years, this data has affirmed the dominance of higher-ranked shares over lower-ranked ones in most markets around the world.

As we researched the data history, we identified a proportion of delisted stocks from the earlier years whose price histories had become unavailable. Our data and engineering team worked with our data providers, the London Stock Exchange / Refinitiv, to access and recover the price data for those shares and ensure completeness. As part of this project, we also improved the symbol mapping of shares that had undergone complex corporate actions.

With this data work now complete, you can benefit from:

Improved Return Tracking: The recovery of the missing prices improves the accuracy of the return tracking of the StockRanks across all regions.
Enhanced Data: The symbology and prices databases are improved across all regions, from North America through Europe to Asia and Australasia. We have aimed to make this data as survivorship free as possible. This is a solid foundation for new features based on this data in future.
Complete StockRank Histories: Two weeks ago we released the first wave of this work, which ensured the StockRanks charts on StockReports were complete for shares where symbology changes due to complex corporate actions had interrupted the time series.
Upcoming Educational Material: Our stream…

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chilligg

6th Nov '23

nice work, the devil is always in the detail!

doctor dave

More Folios please?!!

Rich S

7th Nov '23

Are you able to expand the data set for Australia using historical data?

Edward Croft

@RichS - our approach at this stage is to only use our published rankings and financial ratios from our own database. Australia started in 2016 so our archives start there. The issue with computing historical ratios backwards in time is that companies restate their financial statements and do other annoying things, so you get look-ahead bias.

M48

Ed, it’s hard to look at this and not be impressed by the results of your ranking system. From time to time, I see slightly grumbly comments about specific bugbears but take a step back Stocko is a fantastic resource. Anything in my portfolio with a ranking lower than, say, 80 is going to have to take a long hard look at themselves today.

One question though, this is the first time I’ve looked at the trend charts and the penny has dropped they are based on quarterly rebalancing. If I look at other trends ‘from inception’ on things like the Guru screens, are these using a quarterly rebalance method too? Sorry if this is obviously laid out somewhere.

You can also look at semi-annual and annual rebalancing periods using the dropdown menus. The quarterly seems to perform better for QVM, but obviously transaction costs would drag resulting performance down in the real world. I started working on a study that showed that annual rebalancing actually worked "best" (marginally) after transaction costs in the real world. Personally, that's the timeframe I tend to use for most holding periods.

We only defaulted to quarterly rebalancing periods in the charts as that's what many index providers use, and AAII used them in America. We didn't know they would outperform. Quarterly is also the default on the GuruScreens.

Of course, rebalancing periods should really be coupled with the ideal periodicity for the "factors" being targeted. Momentum tends to persist for 3m to 1y, whereas Value needs longer. You can test this in Learn using the ValueRank - quarterly rebalancing struggles, but annual rebalancing significantly outperforms quarterly. I think the momentum loading creates a bit more alpha for shorter holding periods.

From a naive perspective, QV seems to perform terribly using the default quarterly charts... but we did an internal study at one point that showed it did really well over 2 years. From that perspective, the GuruScreens would be better if we adapted the holding periods to the factors in this way.

Always too much to do!

Rusty2

Transactions costs vary considerably, depending where you live, which broker you use, spread on the shares, tax etc. If you live in the US then transactions costs are almost zero, on US shares. If you live the UK then likely to be more expensive, on UK small caps typically around 3%, on European shares can be higher, on US shares I only pay 0.5%, spreads are very tight.

On Guru screens is the rebalancing done on 1st January and then every 3 months?
It would be useful to know which stocks are actually in the screen after the rebalance.

epo001

We all know why this is, disc space! I assume that a folio isn't actually processed until it is opened. A 'simple' solution would be to allow subscribers to backup folios locally and re-upload them again. This would let us cycle through our folios while keeping the number stored with Stockopedia limited. But the number should be doubled regardless.

Similarly we should be able to backup and upload screen rules so as to archive old screens for posterity.

Monty Carlo

When will stockopedia be including dividends?

littledavesab

Hi slightly off topic perhaps but are there any functionality on seasonal trends on S'pedia. I was looking at another website (free trial period only) which analyses seasonal trends and it is remarkable how these can play out on stocks as diverse as Lloyds and Rio.

No, but do share the website - keen to have a look.

Buy a bigger disc with our subscriptions then! (What's a disc?)

8th Nov '23

Hi its https://app.seasonax.com/login - Mainly US I think but certainly FT100 & other info. Didnt want to just post the details without knowing if ok with you.

Looking at AQX as an example it shows strong seasonality increase from 12/10 to 15/11. Rather more muted this year as you would expect but a moderate rise is occurring.

Not sure if its more for short term traders but it looks like the kind of thing you would probably find interesting!

PitBullCH

13th Nov '23

It's the #1 disapointment with my Stockpedia sub so far - most similar sites don't have such a restriction on folio/portfolio numbers, and the current restrictions causes me to have such b*st*rd mixed tracking folio nightmares as pharma + industrials, IT + O&G - save me please !!!

Has Sharepad got unlimited folios?

Getting hacked off with Stockopedia, too many errors and out of date information.

Seema Vidyarthi

28th Nov '23

Could you please spell out something which is India specific?

Released: Enhanced Data Accuracy for StockRank Return Tracking

Improving the quality of data

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Edward Croft

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