Released: Longer StockRank Histories Available On StockReports

16th Oct '23 by Alex Naamani

19 comments 6471 reads

Dear Investors,

DIY investors have been able to use the StockRanks for around ten years in order to see a stock’s exposure to the factors that drive price returns, namely Quality, Value and Momentum. Over those ten years, we have amassed a substantial archive of historical StockRank data. You’ll see this most notably on the StockReports. Under the price history, every stock has a chart that shows how the StockRank has changed over time.

After months of hard work and conversation with our data provider, we are delighted to announce that a full StockRank history is now available on the StockReports. Understanding the relationship between the StockRank and a stock's price can help you use the ranks more effectively when making investment decisions. You'll find some rules of thumb for this towards the end of the article.

See a full StockRank history on all stocks

Until now, a minority of StockReports displayed truncated StockRank histories due to complex corporate actions or ticker changes. This happened because our data provider, Refinitiv, assigned different identifiers (known as RICs) to securities before and after the corporate action. This did not affect all stocks, but it did affect a number of popular companies, including Sanderson Design and Reach on the London Stock Exchange.

Following discussions with Stockopedia analysts, Refinitiv now provide a constant identifier for each stock that remains the same, even if the ticker changes. We have adapted our data processes to take advantage of this, meaning that you can see the StockRank history going back to 2014.

What does this mean for you?

This latest improvement provides a more nuanced insight into the relationship between a StockRank and a stock’s price movement. While this relationship is of course unique for every stock, higher-ranked stocks have historically had a higher probability of outperformance over time. This phenomenon is most reliably captured by an approach like the NAPS, which is agnostic to the individual stocks selected by the system. However, there are some rules of thumb that may help those who prefer bottom-up stock picking to take advantage of the StockRanks to tip the odds in your favour.

For those seeking a very hands-off approach to buy and sell timing, Ed has spoken in the past about the very simple “90/70 Rule” (explained in the…

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bobsandy12

16th Oct '23

As always...great...well done and thank you

Samsgrandad

That might come in handy Alex but what for me is a big irritation is when the latest accounts aren't listed. I spoke to Ed sometime back about a missing set of interims for AGFX which I was told took ages to be corrected by your data provider, this seemed to be a result of a year end change. I have just gone through my PF checking for interims and VELocity Composites had interims published on Jul11 2023 but they have yet to appear on the Stock report. It really is a pain when a quick check results in a lengthy detour. Can a regular screen of all stocks be carried out to check for missing data.

Thanks

Rusty2

There are similar issues with some stocks that had their Full year results on 1st January, 2023, see Greggs (LON:GRG) and 4imprint (LON:FOUR) are 2, they are still not on Stockopedia. The analyst forecasts are for 2022 and 2023. This is taking so long to resolve just because of a date, think results came out with 31.12.22 date. I know of 4 stocks with this issue but there maybe more.

How can we compare and judge stocks if the data is out of date or incorrect?

epo001

Stockopedia is an information supplier and this is an improvement in the quality of that information, so well done Alex.

topturkey

17th Oct '23

Can you add the correlation of stock rank and share price as a metric so we know which stocks this indicator works well for?

Epitychia

Hi, this is a big breakthrough.

I am an academic researching the market. Is it possible to obtain this data in excel form so that i can do some research on the connection between stock rank and share price. Many thanks.

DWit199

It's great that the StockRank history is now maintained correctly after an event but unfortunately the news history is still incomplete for some shares, a couple of examples being ME International (LON:MEGP) and Videndum (LON:VID.

Will this be addressed?

What information do you require?

Alex Naamani

Hi,

This is an interesting idea. It is not something we provide at the moment, but if you are interested in the correlation between the StockRank and the price history, you may find this article interesting.

The analysis looks at the starting StockRank and the subsequent price returns. The following charts illustrate the pattern. On a stock-by-stock basis, there is a lot of randomness, although there is nevertheless a positive correlation between the rank and the price returns (i.e. a correlation of 0.22). If you group stocks into portfolios, the correlation becomes much stronger (i.e. 0.89). As always, diversification is the only free lunch.

We can see the details below. It looks like complete chaos at a first glance, but notice the clustering towards the top-right and the bottom-left corners. Low rank stocks generated lower returns than high rank stocks. The second chart shows what happens when you group stocks into portfolios. Note that the y-axis is a price performance rank, not price performance per se.

Best,

Hi all,

Thanks for taking the time to respond.

I can provide a bit more detail and context. The archives I mentioned have StockRank data, but also other fundamental metrics, like the P/E, ROCE and so on. Our line of thinking is to use these archives to enhance the product. The correlation between the StockRank and share price would be an interesting idea. I also like the idea of a data feed that enables users to do their own analysis. If you can think of any other enhancements, feel free to post them here. We are all ears. Feedback is collated internally.

While I am not in a position to commit to any specifics, it is worth noting that many of our users have expressed a strong interest in a feature that allows them to backtest their own screeners, and our archives could potentially facilitate this capability. It's important to note that the specifics of these enhancements have not been finalised. A range of options are on the table, so now is a good time to bring new ideas forward.

We aim to implement product enhancements, while also giving attention to the data quality concerns that have been raised, for example, around the timeliness of financial statements and the completeness of news coverage. It is all a balancing act and, as always, each option comes with its own set of pros and cons. We focussed on the archives partly because it addresses data quality while, at the same time, laying the foundations for potential product enhancements.

Alex

Simply the stock rank for each company and the share price on a daily basis on an excel or CSV format.

Hey, I'm afraid this is not something we support at the moment. You are not the first person to ask for this though, so we will of course keep monitoring demand for what is essentially the StockRank history in a downloadable format.

Frank Holland

18th Oct '23

Its nice to see Stockopedia constantly improving. Well done to the team.

Alphaflight

Meh. I'd still like to see more than 10 portfolios. Some of us like to look at sectors rather than individual stocks.

Tomas Gomez

Great feature thank you. Would it ever be possible to develop a system like ADVFN traffic light system for picking out good bad and ugly words from long trading updates and other reports? Thanks

GIROMay

19th Oct '23

Agree with other people here who would like to have option of more than 10 Folios, please

wildshot

Tomas Gomez, have you tried the "Highlight This" extension in Google Chrome which can do this for you if you define the settings. You can also specify which websites it works on. Although I must admit I also use the ADVFN traffic light because their RNS feed page is easier to read.

NorwaySpruce

20th Oct '23

Thanks for noting the 'Highlight This' extension, I had not heard of it. I'm not a Chrome user as I don't want Google spying on me. But, this is also available as a Firefox add on. Very handy.

Haraldos

25th Oct '23

Great stuff.

Released: Longer StockRank histories available on StockReports

See a full StockRank history on all stocks

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Alex Naamani

19 comments

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