- Test period is 8-1/2 years, Post-Internet bubble, 7/1/00 – 12/31/08
- Eligible universe starts with Sabrient’s database of 5800+ stocks, then requires price > $10 and number of Wall Street analysts > 2
- Strategy employs metrics for analyst consensus changes, GARP valuation, absolute growth, and accounting practices
- Simulation employs 13 rolling weekly portfolios with 13-week holding periods. One portfolio is rebalanced each week, with scoring based on the prior day's closing data
- Long Portfolio targets the top 13 stocks from the top-ranked quantiles, subject to risk management constraints
- Short Portfolio targets the bottom 13 stocks from the lowest-ranked quantiles, subject to risk management constraints
- Long/Short Portfolio is dollar-neutral, employing a total of 26 positions, with shorts margined against all-cash longs
- Includes dividends and cash distributions, but no transaction costs
- No stop losses, profit targets, or technical trading signals
- Assumes 1 long & 1 short are selected each week, with a 13-week holding period. All portfolios are cash-rebalanced each January.
- Includes constraints on S&P GICS sector/industry concentrations of max 3 per sector, 2 per industry for each 13 stock set (long & short), and daily trading volume threshold of $500,000 to ensure liquidity
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