No. of Recommendations: 2
In trying to understand and validate the underlying data and calculations of this PAA version, I see something that confuses me. One possible conclusion is that the "RiskyEWTR21" measure is off by one day, which causes the 231-day correlation measure to be incorrect. A workaround I used to get matching results changes the current order of the 3rd and 4th top stocks now, which would change what one would invest in now. Not sure if the workaround is the best way to do this though.
The PAA link given in this thread by RAMc recently:
https://gtr1.net/2013/?!!QlpoMTFBWSZTWYDDoxcAA8efg...The "workaround" I'm trying:
https://gtr1.net/2013/?s20071015i42f0.15000::dspo%...The workaround is to change the "trp(1,21)" in the imported screen to "trp(0,21)". This doesn't necessarily make sense to me, but it matches what I can calculate from the underlying data.
If you "Run Screener" for the original link, with data ending on 20240522, you can see that for all stocks, the "RiskyEWTR21" measure is 4.684806. For the top stock, GLD, the correlation is 0.257699.
If you do the same for workaround link, you see "RiskyEWTR21" = 3.286588 and the GLD correlation is 0.2737858.
I downloaded daily data for the set of stocks used and calculated the TR1 (and other) measures. I took the average of TR1 each day (for the 12 "risky" stocks). Taking the product of the most recent 21 average TR1 returns and subtracting 1 gives the "RiskyEWTR21" for 240522.
Using this direct calculation approach shows that using the 240522 end date gives a "RiskyEWTR21" measure of 3.286588, which matches the workaround link. My calculated correlation for GLD is of 0.2737858, which matches the correlation from the workaround link (and these correlations matched for all the other stocks). All the other measures for all stocks are the same for the original link and the workaround link, and match what I calculate separately from the underlying daily data.
Can anyone validate what I'm seeing? If so, is there a more appropriate workaround? I'm always confused with the lags to use, and the field and price adjustments.
