Wayne A. Thorp, CFA is a vice president and the senior financial analyst at AAII and former editor of Computerized Investing. Follow him on Twitter at @WayneTAAII.


Lee Martin from CA posted over 2 years ago:

Interesting article. My concern with their ratio has to do with "Assets." Do they use total assets without any adjustments? I have a difficult time including "Goodwill and Intangibles" in this calculation. Goodwill in particular is a cost in excess of book value of companies that have been bought. It's a cost.

If these items are deleted from their calculation it will certainly skew the ration.

Does anyone else have a problem with this?

John Wiley from AZ posted over 2 years ago:

1.In running the Excel routine many times I had trouble when the term "NA" was included, as this term sometimes appears in your data base. The "rank" function didn't like anything but numbers as it went about its business. Is this me or did anyone else have this problem? How did you handle this problem?

2. Can you give us an idea as to how much trading was done over time? How many trades/month were done when Novy-Marx did the study? And did you run enough back-testing to hazard a guess?

3. A return vs. time per your usual stock-screen approach would be really helpful to find out what happened during the dot-com and financial recessions we just experienced.

Stan Deutsch from CA posted over 2 years ago:

I also found 3 stocks with no data for certain fields, which results in an "N/A" ranking for that field and prevents ranking on the three combined ranks. To get around it, I manually entered the worst ranking (highest number) for the individual "N/A". For example, Prologis has no value for the custom field "Gross profit to assets 12m" so I entered a rank of 415 (since that's the number of companies in my screen) in that ranking column.

I'm not sure why these companies are missing certain values but I think this is an acceptable workaround.

G2 from NY posted over 2 years ago:

To John Wiley - Sometime around 2008 SIPRO changed the way "zero" values are handled. The change was to NA or NULL. I.M.O. a terrible change for writing code. The change can cause problems with custom fields unless cumbersome allowances are made. My original custom fields were essentially invalidated. I canceled my AAII SIPRO subscription. See IsFieldNull and In-Line If (IIF) in the SIPRO custom Field Editor for definitions. Also See: May 2008 Stock Investor News. Best regards.

Arnold Siemsen M D from HI posted over 2 years ago:

Wayne Thorpe goes into the details of how to Rank the Stocks in Excel. This is a lot of work, if you want to perform the ranking every week or month or so. Is there a simpler way to set up a permanent work sheet in Excel and then export the data into this work sheet? Thanks

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