Ranking

Definition

A key part of any strategy is the ranking system. Once we have identified our universe (market cap and sector) and applied the strategy’s static filters, we can then rank our remaining stocks by any given metric.

Aikido has a flexible ranking system, we have developed a sequential ranking screener so that we can build dynamic multi-factor models using many metrics.

Take for example our Sequential Factor Blend strategy. First, we select the top 100 most efficient stocks, measured by Return on Equity. Then, we take the top 50 of these stocks, ranked by ascending Price / Earnings ratio. Finally, these stocks are ranked by their 3-month price momentum, and the top 10 are chosen. This strategy has average annual returns of 14.62% per year, backtested since 2000.

See our blog post on modern investing strategies for more information on our strategy building process.