No. of Recommendations: 0
P123 does the following with FRANK:
Returns the percentile rank for each stock based on user specified parameters for the formula, the scope and the sorting direction. It works like this:
The formula in quotes is evaluated for all the stocks in each scope. The formula could be a single factor, like "MktCap" or more complex like "Close(0)/Close(10)".
The results are placed in an array.
The array is sorted using the 'sort' parameter. If you selected a sector scope multiple sorts are executed for each sector.
A percentile is assigned to each stock. This is the value returned by FRank. For example: if your universe is 500 stocks the top stock in the array gets 100, the next one 100 - 100/500 = 99.8, the next one 99.6 and so on. If you rank within an industry/sector you'll have multiple stocks with 100.
Special cases:
NA's, if included, are always placed at the bottom of the array and all get the same percentile. The percentile assigned is the next percentile below the last meaningful value
Equal values get assigned the same percentile. The next non-equal value gets a percentile equal to: (percentile of the equal values) minus (number of equal values * rank-delta)
The result of all of this is that rarely does a >=50% ranking remove half of the stocks. See the screening example posted several days ago.
Taz
