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Rank Analysis

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

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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