Ranking rules: hold the leaders of a list

Momentum ranking

At each rebalance, it ranks a list by each one's return over a past window and holds the leaders in equal parts, swapping when the order changes.

With one name to hold, it simply holds whichever had the best return, so cash-like funds in the list can win.

When

At each month-end, rank the basket by trailing 12-month return

Then

Hold the top 3, a third of the portfolio each. A name must also score above the group average to be held; an unfilled slot stays in cash.

How often

Rebalanced monthly

Templates in the community library that use it:

• Top 3 of the Magnificent Seven by 12-month return: Each month, hold the three Magnificent Seven stocks with the strongest trailing 12-month return, equal weight.
• Top 3 of the Magnificent Seven by 6-month return: Each month, hold the three Magnificent Seven stocks with the strongest trailing 6-month return, equal weight.
• Top 5 of 15 US large caps by 12-month return: Each month, hold the five strongest of 15 large caps across sectors by trailing 12-month return.
• US stocks, international or bonds: hold the leader: Each month, put the whole portfolio in whichever of SPY, EFA and TLT had the best 12-month return.
• Stocks, bonds or T-bills: hold the leader: Each month, hold whichever of SPY, TLT and BIL (T-bills) had the best 12-month return, so cash can win.
• Stocks, bonds or T-bills: 6-month leader: Each month, hold whichever of SPY, TLT and BIL (T-bills) had the best 6-month return, so cash can win.
• US, developed or emerging markets: hold the leader: Each month, hold whichever of SPY, EFA and EEM had the best 12-month return.

Recorded tests of momentum ranking rules, beside simply holding, in the evidence explorer.

Explained step by step in the Education Centre.

Rotation (momentum and calm prices)

Like a momentum ranking, but each score blends the past return with how calmly the price moved.

When

At each month-end, score the basket on trailing 12-month return (80%) and low 1-year volatility (20%)

Then

Hold the top 3, a third of the portfolio each. A name must also score above the group average to be held; an unfilled slot stays in cash.

How often

Rebalanced monthly

Templates in the community library that use it:

• Sector rotation: top 3 of 6 sector ETFs: Each month, hold the three sector ETFs with the best blend of 12-month return and low volatility.
• Multi-asset rotation: top 2 of 6 ETFs: Each month, hold the two strongest of US stocks, developed, emerging, bonds, gold and REITs.

Recorded tests of rotation rules, beside simply holding, in the evidence explorer.

Low volatility

Holds the names whose prices moved about the least over the past year, and scales the whole portfolio down when its ups and downs run above a target.

When

At each month-end, rank the basket by 1-year daily volatility

Then

Hold the 3 least volatile, a third each. Exposure is scaled down whenever portfolio volatility runs above 10% a year. A name must also score above the group average to be held; an unfilled slot stays in cash.

How often

Rebalanced monthly

Templates in the community library that use it:

• The 3 calmest of 8 ETFs: Each month, hold the three ETFs with the lowest 1-year volatility, and scale down when the portfolio runs hot.
• The 4 calmest defensive stocks: Each month, hold the four least volatile of eight consumer, retail and healthcare staples.

Recorded tests of low volatility rules, beside simply holding, in the evidence explorer.

Explained step by step in the Education Centre.

Quality ranking

Ranks on company accounts (how much profit a company makes on its owners' money) where Quantis holds them, blended with calm prices. A share with no accounts is ranked on its prices alone, and the result says which.

Explained step by step in the Education Centre.

• Quantis holds company accounts for few of its shares, so for most lists this ranks on prices.
• Asking for a well-known screen the engine does not compute (a Piotroski score, the Magic Formula, shareholder yield) runs this quality ranking instead, and the agent says so before anything runs.