?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F195%2F&rft.title=Adaptive+Statistical+Evaluation+Tools+for+Equity+Ranking+Models&rft.creator=Ware%2C+Tony&rft.subject=Finance&rft.description=A+major+challenge+in+the+investment+management+business+is+to+identify+which+stocks+are+likely+to+outperform+in+the+future%2C+and+which+are+likely+to+perform+relatively+poorly.+To+this+end+the+strategy+adopted+by+Genus+is+to+identify+factors+(auxiliary+information+about+the+stock+such+as+earnings-to-price+ratio+or+dividend+yield)+that+they+believe+are+associated+with+future+out-performance+(i.e.+factors+that+have+predictive+ability).+The+best+of+these+factors+are+then+combined+(Genus+use+a+weighted+average)+into+a+model+which+is+used+to+rank+the+universe+of+stocks+month-by-month.+This+ranking+is+then+used+to+as+the+input+to+a+trading+strategy%2C+resulting+in+a+modified+portfolio.%0A%0AGenus+had+provided+us+with+sample+data%2C+consisting+of+just+over+12+years+worth+of+monthly+returns+on+a+universe+of+60+stocks%2C+along+with+time+series+of+34+factors+for+each+of+the+stocks.+Using+these+data%2C+the+approach+was+to+build+software+(MATLAB)+models+for%3A%0A%0A1.+ranking+the+stocks+based+on+factor+information%3B%0A%0A2.+implementing+a+trading+strategy+based+on+a+stock+ranking+and+assessing+the+performance+of+a+given+trading+strategy+by+looking+at+measures+such+as+hit+ratio%2C+information+ratio+and+spread.%0A%0AThe+IPSW+team+implemented+a+simplified+trading+strategy+of+selling+the+entire+portfolio+each+month%2C+and+using+the+proceeds+to+invest+equally+in+the+top+20%25+of+stocks+as+given+by+the+computed+ranking.+They+also+implemented+the+following+measures+of+portfolio+performance%3A+excess+return%2C+hit+ratio+and+information+ratio.&rft.date=2005&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F195%2F1%2Fgenus.pdf&rft.identifier=++Ware%2C+Tony++(2005)+Adaptive+Statistical+Evaluation+Tools+for+Equity+Ranking+Models.++%5BStudy+Group+Report%5D+++++