Trendrating Insights
– What are the selection criteria that are best rewarded by the market over the cycles?
– Which fundamental parameters yield the greatest profits by identifying outperforming stocks?
– Which combinations of selection rules guarantees a robust investment decision framework to optimize the performance?
Discover the fundamental parameters that generate more alpha.
Trendrating offers leading-edge technology to find what is the actual contribution to alpha of different selection rules. Using a rich data set including fundamental, quantitative and trend analytics the platform makes possible to build, test, optimize and validate active investment strategies. It is easy to test up to 15 years, covering different markets cycles, to explore alternative combinations of selection rules, and discover the best performing strategy for any investment universe. For example, by checking more boxes and combining sound fundamentals with validated positive price trends it is possible to uncover superior strategies.
what our clients say
“The enlightening insights about the actual contribution to the alpha of popular fundamental parameters enabled me to improve my decision process.” – Fund Manager, UK.
“A great technology to explore and discover the most productive combinations of selection rules.” – Asset Manager, Frankfurt.
“Finally a system offering better information with actual value to navigate the market.” – Advisor, Zurich.
“This is gold for active portfolio managers!” – Portfolio Manager, Sweden
“I save time and filter out the market noise thanks to Trendrating.” – RIA, Miami.
“Building better model portfolios is easy and fast with this great tool.” – Wealth Manager, Boston.
“The strategy builder is a game changer for developing superior active strategies.” – ETF Manager, New York City.
“The ability to select and document well-tested, logical rules gives me an edge in marketing my services.” – RIA, Chicago.
“The market intelligence and the discipline that I extract from Trendrating gives me more confidence than the conventional data and tools.” – Asset Manager, Singapore.
“The knowledge from rigorous fact-finding is the basis of a sound investment decision process. Trendrating is providing the information I want, well done!” – Wealth Manager, Dubai.
Step 1
Comparative analysis of some of the most popular fundamental metrics, Value (lowest values) and Growth (highest values).
Market: US
Size: Large Cap stocks.
Holdings: 50
Benchmark: S&P 500
Rebalancing: Monthly
Time horizon: Last 10 years ending as of September 30, 2024.
Lowest Price/dividend ratio
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+85.94%
+6.19%
+6.37%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
-103.19%
-4.64%
-4.79%
Lowest Price/Sales ratio
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+129.66%
+8.38%
+8.38%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
-59.47%
-2.44%
-2.78%
Lowest Price/Earnings Ratio
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+133.16%
+8.54%
+8.76%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
-55.97%
-2.28%
-2.40%
Highest 12m Earnings Growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+178.27%
+10.42%
+10.76%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
-10.86%
-0.41%
-0.40%
Highest 12 Months sales growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+206.09%
+11.44%
+12.21%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+16.96%
+0.61%
+1.05%
highest 3 months sales growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+267.30%
+13.42%
+13.77%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+78.17%
+2.60%
+2.61%
Highest 3 months earnings growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+275.37%
+13.66%
+13.67%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+86.23%
+2.84%
+2.51%
Step 2
Here we tested different combinations of two fundamental parameters using three approaches: Value, Growth and Value and Growth combined together.
Price/earnings and price/sales
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+141.71%
+8.96%
+9.88%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
-46.42%
-1.89%
-1.28%
12 Months earnings growth and 12 months sales growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+201.62%
+11.28%
+11.84%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+12.48%
+0.45%
+0.69%
Price/Earnings and 3 months earnings growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+233.28%
+12.36%
+13.04%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+44.14%
+1.53%
+1.88%
3 Months earnings growth and 3 months sales growth
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+420.83%
+17.32%
+17.19%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+231.70%
+6.50%
+6.03%
Step 3
Then we combined the fundamental rule with Trendrating trend validation filter. Here we added an additional level of selection, picking only the stocks with a validated positive trend and eliminating falling securities.
3 Months Sales Growth, 12 Months Earnings Growth and trendrating validation filter
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly average
Strategy
+516.15%
+19.25%
+19.35%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+327.01%
+8.42%
+8.19%
3 months sales growth, 3 months Earnings growth and trendrating validation filter
10 Years Annualized Performance
Benchmark
CUMULATIVE
ANNUALIZED
Yearly averge
Strategy
+766.85%
+23.25%
+22.85%
Benchmark
+189.13%
+10.83%
+11.16%
Difference
+577.72%
+12.43%
+11.69%
The differential of performance on the 10 years test is enlightening about what works best.
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Benchmark
London
Trendrating Ltd
Octagon Point - 5 Cheapside
London, EC2V 6AA
United Kingdom
+44 (20) 3823 2215
info@trendrating.net
Boston
Trendrating Inc.
6 Liberty Square, 6100
Boston, MA 02109
USA
+1 508-315-6313
info@trendrating.net
Lugano
Trendrating SA
Via Cantonale 19
CH-6900 Lugano
Switzerland
+41 91 9106590
info@trendrating.net