Portfolio123 Ranking Systems

NOTES:  

  • TTM = year-to-year change in Trailing 12 Months,
  • PYQ = Change in quarter vs. Prior Year Quarter

 

BASIC RANKING SYSTEMS

These are multi-factor ranking systems each of which addresses a single basic investment style.

Basic: Value

  • Factors Based on Income Stream (65% of Ranking System)
    • Earnings (50% of Category)
        • Price/TTM EPS, lower is better (33.3% of subcategory)
        • Price/Estimated EPS for Current fiscal year, lower is better (33.3% of subcategory)
        • PE to Growth, lower is better (33.3% of subcategory)
    • Other (50% of Category)
        • Price to TTM Sales, lower is better (50% of subcategory)
        • Price to TTM Free Cash Flow lower is better (50% of subcategory)
  • Factors Based on Assets (35% of Ranking System)
      • Latest Price/Book Value, lower is better (100% of subcategory)

Basic Quality

  • Margins (25% of Raking System)
      • TTM Operating Margin, higher is better (75% of Category)
      • 5 Yr. Avg. Operating Margin, higher is better (25% of Category)
  • Turnover (25% of Raking System)
      • TTM Asset Turnover, higher is better (100% of Category)
  • Return on Capital (25% of Raking System)
      • TTM Return on Invested Capital, higher is better (30% of Category)
      • 5 Yr. Avg. Return on Invested Capital, higher is better (40% of Category)
      • TTM Return on Equity, higher is better (20% of Category)
      • 5 Yr. Avg. Return on Equity, higher is better (10% of Category)
  • Finances (25% of Raking System)
      • Latest Current Ratio, lower is better (30% of Category)
      • TTM Interest Coverage Ratio, higher is better (45% of Category)
      • Latest Debt to Total Capital Ratio, lower is better (25% of Category)

Basic: Sentiment

  • Estimate Revision (50% of Ranking System)
      • Revision of EPS for Current Fiscal Quarter in past 4 weeks, higher is better (33.3% of Category)
      • Revision of EPS for Current Fiscal Year in past 4 weeks, higher is better (33.3% of Category)
      • Variability of Current-Quarter EPS Estimates, lower is better (33.3% of Category) 
  • Surprise (30% of Ranking System)
      • EPS Surprise in latest Quarter, higher is better (65% of Category)
      • EPS Surprise in preceding quarter, higher is better (35% of Category)
  • Recommendations (20% of Ranking System)
      • Change in Average of Analysts Recommendations in past 4 weeks, more bullish is better (75% of Category)
      • Average of Analysts Recommendations, more bullish is better (25% of Category)

Basic: Growth

  • EPS Growth (75% of Ranking System)
    • Basic (50% of Category)
        • EPS Growth Rate PYQ, higher is better (33.3% of subcategory)
        • EPS Growth Rate TTM, higher is better (33.3% of subcategory)
        • EPS Growth Rate 5 Year Gr. Rate, higher is better (33.3% of subcategory)
    • Acceleration(50% of Category)
        • EPS Acceleration, PYQ compared to TTM, higher is better (50% of subcategory)
        • EPS Acceleration, TTM compared to 5 Year, higher is better (50% of subcategory)
  • Sales Growth (25% of Ranking System)
      • Basic (75% of subcategory)
        • Sales Growth Rate PYQ, higher is better (33.3% of subcategory)
        • Sales Growth Rate TTM, higher is better (33.3% of subcategory)
        • Sales Growth Rate 5 Year Gr. Rate, higher is better (33.3% of subcategory)
      • Acceleration (25% of subcategory)
        • Sales Acceleration, PYQ compared to TTM, higher is better (50% of subcategory)
        • Sales Acceleration, TTM compared to 5 Year, higher is better (50% of subcategory)

Basic: Momentum

  • Price Changes (65% of Ranking System)
      • 120-day Price Change, higher is better (20% of Category)
      • 140-day Price Change, higher is better (20% of Category)
      • 160-day Price Change, higher is better (30% of Category)
      • 180-day Price Change, higher is better (30% of Category)
  • Technical Indicators (35% of Ranking System)
      • 20-day Up-Down Ratio, higher is better (50% of subcategory)
      • 60-day Up-Down Ratio, higher is better (30% of subcategory)
      • 120-day Up-Down Ratio, higher is better (20% of subcategory)

 

COMPREHENSIVE RANKING SYSTEMS

These are combinations, of Basic Ranking Systems with all of the Basic System contributing equally.

For Example:

  • A Ranking system labeled Value-Quality (or VQ) will consist of
    • The “Basic Value” Ranking System (50% of overall ranking system), plus
    • The “Basic Quality” Ranking System (50% of overall ranking system)
  • A Ranking system labeled Value-Quality-Sentiment (or VQS) will consist of
    • The “Basic: Value” Ranking System (33.3% of overall ranking system), plus
    • The “Basic: Quality” Ranking System (33.3% of overall ranking system), plus
    • The “Basic: Sentiment ” Ranking System (33.3% of overall ranking system
  • A Ranking system labeled Quality-Value-Growth-Momentum (or QVGM) will consist of
    • The “Basic: Quality” Ranking System (25% of overall ranking system), plus
    • The “Basic: Value” Ranking System (25% of overall ranking system), plus
    • The “Basic: Growth” Ranking System (25% of overall ranking system), plus
    • The “Basic: Momentum” Ranking System (25% of overall ranking system
  • And so forth . . .
    • Many other Comprehensive systems can be created from combinations of Basic systems