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 I originally created and used while I was at Portfolio123; each 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)
- Earnings (50% of Category)
- 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)
- Basic (50% of Category)
- 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 (75% 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