Rank: Member
Groups: Member
Joined: 7/22/2010
Posts: 7
Points: 21
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Hi,
Regarding the decile analysis in your report, I don't fully understand how you created the different deciles. Am I right assuming that D1 represents the 10% highest ranked companies (from all the companies available according to each screener criteria) e.g. in the Piotroski screener D1 would be the 10% companies with highest Piotroski score. If not, can you please explain precisely how did you choose the companies for each decile (I can't believe it was randomly, for obvious reasons)
Many thanks.
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Rank: Administration
Groups: Administration
Joined: 12/31/2008
Posts: 84
Points: 28
Location: Europe
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There seems to be some confusion on this subject : For the decile analysis for the Piotroski F-score screeners ,we took the 20% best price to book ( or ERP5 or MF selection) companies and sorted these by the F-score. Next we splitted up this 20 % in deciles. So the goal was to look if we could seperate winners form losers in this 20 % selection. So D1 had to perform better than D10 if the F-score works. For the other screeners (ERP5 , MF and NCAV) the deciles are done on the whole selection. Best Ik
The Value Investing Forumhttp://www.value-investing.eu
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