Using our powerful new FSYS strategy testing platform, we created a short filter called "Value Change Up", a.k.a., VCU Rank.
VCU could be characterized as a forward-looking "company outlook" rank. Basically, it rewards an improving outlook for a company based on quantitative factors related to current valuation, growth prospects, Wall Street analyst consensus changes, and a forensic accounting score. Higher scores are better, so we look to the bottom of the rank to find good short candidates.
Strategy Tests
We conducted two tests of the VCU strategy over an 8-year period in a long portfolio, a short portfolio, and a long/short portfolio. The first test (VCU-1) uses a forensic accounting factor only to penalize stocks reflecting aggressive accounting practices; the second test (VCU-2) uses the forensic accounting factor as a fully-integrated factor to score all stocks.
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VCU-1 Annualized Returns vs. Index |
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Details and charts (Adobe Acrobat Reader required): VCU-1 Strategy Summary . |
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Disclaimer: These reports are published
solely for informational purposes and are
not to be construed as advice or a
recommendation to specific individuals.
Individuals should take into account their
own unique and specific circumstances in
acting on any stock selection made by
Sabrient. Sabrient makes no representations
that the techniques used in these reports
will result in or guarantee profits in
trading. Trading involves risk, including
possible loss of principal and other losses,
and past performance is no indication of
future results.
