- T-Rank 2.0 is a fundamental based ranking system. It ranks stocks purely by their fundamental indicators, including: valuation, financial condition, and return on capital. Growth was not included because it actually has negative impact on the short term return. Blog posts covering this topic are here, here, and here.
- T-Rank 2.0 is designed for short term trading. If an investor build a portfolio with the top 20 stocks returned by T-Rank 2.0 and rebalance the portfolio every week, his annualized return in the past 10 year is 26.70%. Considering that we have a giant bear market in the past 10 years, this result is fairly good. Related blog post is here.
- T-Rank 2.0 is effective. Effectiveness is defined as the relation between the rank of a stock and its 1 week return. T-Rank 2.0 returns a numerical rank from 0 to 100. If an investor moves up 10 rank point, his annualized weekly return should improve 1.7%. And the further he pushes up, the better it gets. If he moves from 90 to 100, his annualized weekly return should improve 3.6%. Related blog post is here.
Other interesting observations are listed below: