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Rank Analysis
Rank Analysis is a factor testing tool. It provides its user with the power to test various investment-related factors with great ease. You can choose to test a data item or a group of mathematically combined items, to see if the underlying factor has a high probability of being effective in the future.
Rank Analysis asks the user to provide such inputs as testing periods, frequencies, usage of dummy variables (Sector/Industry), and screening criteria. It then generates output files that include Correlation Coefficient, P-values, Number of Observations, Returns, Volatilities, and Risk-adjusted Returns, with user-friendly charts and graphs.
• Determine which rankings would have been useful in predicting returns over any time period
• Perform holding period return and information coefficient analysis on ranked database items
• Define your dependent/independent and performance measure items as calculation expressions
• Display how equity returns were dependant on any financial ratio during any time period
• Describes equity performance based on 1 and 2 dimensional fractals over any time span
• Analyze the performance of any financial ratio relative to a benchmark over multiple time periods
Before using Rank Analysis, it is necessary to:
• Understand the possible limitations and biases of the data-selection process.
• Develop a reasoned theoretical model describing the source or sources of above normal equity performance
See also:
Backtesting Guide
Glossary
F.A.Q.
For a Trial, demonstration or product information, please Request Product Information
or call Tim Nyland, Director of Institutional Sales at 800-767-3771 x9455 or email at
tnyland@zacks.com.
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