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Effectiveness Of Fundamental Ranking

Apr. 18, 2011 12:02 AM ET
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Diffusion's Blog
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In my latest blog post, I tried to quantify the effectiveness of the fundamental ranking system, T-Rank 2.0. The effectiveness is defines as the relationship between the rank of a stock and it's 1 week return. For details please go to my blog at http://trustamind.blogspot.com/. But everything important is included in the chart below.

The x axis is the rank (from 0 to 100), the y axis is the annualized weekly return.

Basically the chart says if an investor moves up 10 rank point, the average gain on his annualized return is about 1.7%. But the further he pushes up, the better it gets. If he moves from 90 to 100, his annualized return should improve 3.6%.

To promote my blog as always: http://trustamind.blogspot.com/ 

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