The AP on the Street 07/2024

Let's take a look at the current trending stocks and the factors that have earned the most in previous months. Beyond that, learn about statistically significant factors with the potential to deliver long-term returns.?

AP on the street wishes you a nice summer!

TRENDING TICKERS

INTC (2. 8. 2024)

• Poor revenues, struggling in the AI chip market, falling sales. That's part of why Intel Corporation ranks as one of the most negative trending tickers.

UMGNF (1. 8. 2024)

• Despite a 7.4% YoY increase in revenue and a 6.9% increase in subscription revenue, Universal Music Group saw a significant selloff.

LW (31. 7. 2024)

• What's going on with Lamb Weston Holdings?? The company has fallen into the most negative trending tickers. The blame lies mainly on poor economic results driven by market share losses/ low demand from quick service restaurants.

F (30. 7. 2024)

• Ford Motor Company fell 22% last week. It reported both poor results and high warrant costs. Despite this, some investors remain bullish, mainly due to dividend consistency and popular consumer products like F-series.

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TRENDING FACTORS ON S&P 100 STOCK UNIVERSE

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TOP GAINER FACTOR IN PREVIOUS 5 MONTHS

DebtEquity

D/E measures a company's total liabilities to its equity. Read more.

Performance = 12.6%

Signal strength = 1.1 ??

Statistical confidence = 87.3% ??

Signal direction = ?

TOP LOOSER FACTOR IN PREVIOUS 5 MONTHS

Volume_MOM_10

The factor shows the difference between the current volume and the volume 10 periods ago. Read more.

Performance = -11.5%

Signal strength = 0.3 ?

Statistical confidence = 62.6% ?

Signal direction = ?

STRONG?AND STATISTICALLY CONFIDENT FACTOR

WILLR_5?

Williams %R is an oscillator-type indicator that shows the relationship between the current closing price and the high and low prices over the latest n days, in this case 5. Read more.

Performance = -1.2%

Signal strength = 3.6 ???

Statistical confidence = 99.9%? ??

Signal direction = ?

Let’s look at the factor in more detail.

We analyzed the indicator and found that the most growing stocks in the long-term are those with the lowest value for the factor. This gives us the Signal direction. With this knowledge, we are ready to build our factor strategy/ portfolio. In our Factor Investing app, we can select the initial settings.?

Strategy and backetst parameters.

Built on factor model: WILLR_5 The portfolio consist of the top 15 assets ranked by the model. The strategy is using leverage 1 for the invested capital. 100% of the capital is invested uniformly as long positions in the top ranked assets. 0% of the capital is invested uniformly as short positions in the top ranked assets. 0% of the capital is left as cash reserve. The backtest period begins at: 2020-01-01 and ends at 2024-07-02 Capital of $100000 is initially invested into the strategy. Multi-period walk-forward out of sample method. This method provides greatest integrity and predictability results. Performance is calculated with end-of-day closing prices. Backtests calculates 0 fees per trade. Dividends are included in cumulative performance, as if they were continuously re-invested.

Built on factor model: WILLR_5

The portfolio consist of the top 15 assets ranked by the model.

The strategy is using leverage 1 for the invested capital.

100% of the capital is invested uniformly as long positions in the top ranked assets.

0% of the capital is invested uniformly as short positions in the top ranked assets.

0% of the capital is left as cash reserve.

The backtest period begins at: 2020-01-01 and ends at 2024-07-02.

Capital of $100000 is initially invested into the strategy.

Multi-period walk-forward out of sample method. This method provides greatest integrity and predictability results. Performance is calculated with end-of-day closing prices. Backtests calculates 0 fees per trade. Dividends are included in cumulative performance, as if they were continuously re-invested.

Equity of strategy and benchmark

And what are the results? From the chart we can see that investing in 15 stocks from the S&P 100 index with the lowest WILLR_5 value would have delivered similar returns to the entire index over the last 4 years. We can play with the settings in the parameterization, use leverage or create a LongShort portfolio to achieve attractive results and ultimately complement our investment portfolio.

For a detailed analysis of more than a thousand investment indicators, utilize the Analytical Platform.