The first of the identified anomalies is the value anomaly, stating that over the long run, the returns of cheap stocks outperform expensive stocks. My previous post with the value screener may be helpful to identify stocks or sectors that currently identify themselves as good value.
The second anomaly is the momentum anomaly, stating that on average, past winners continue to outperform and past losers will continue to underperform. Most of the QuantHead blog concentrates on the momentum anomaly with providing relative strength (/ absolute strength) rotation models.
The third anomaly is the "smart money" anomaly, which states that when company insiders, financial institutions and short sellers are bullish on a stock, it tends to outperform and vice versa. The article suggests three metrics to focus on: 1) short interest as % of total float, 2) net change in company insider ownership over the last 6 months and 3) net change in institutional ownership over the last 3 months.
By using a similar approach for my smart money screener as the value screener of the previous post, these three metrics are each ranked from 0-100%, summed up and ranked again from 0-100%, providing a "Smart Money Rank". I also provide a "Trending Smart Money Rank", which ranks the top decile (50 stocks) by their 6-month performance. And once again I provide a chart, which I call "Smart Money Sectors". It would seem that as of May 9, Financials and Consumer Goods are in the lead. Please find the link to the spreadsheet below.
The fourth anomaly according to Quantified Alpha is the business quality anomaly, which states that companies that manipulate their earnings in the short-term will vastly underperform in the long-run. I don't have access or haven't been able to find any of the data that they suggest as metrics to focus on: 1) R/D expenses as percentage of assets, 2) earnings accruals as percentage of assets, 3) external financing to assets, 4) depreciation to capital expense ratio. Therefore, I'm not able to build a screener for the fourth anomaly.
The fifth anomaly is the earnings momentum anomaly, which states that companies that have beaten analyst estimates in the past, are likely to keep beating them in the future. The suggested metrics are 1) streak of EPS/revenue beats in a row, 2) last quarter EPS/revenue surprise % and 3) number of estimate beats in the last 3 years. Similar as to the fourth anomaly, I don't currently have access to these metrics, so I won't be able to build a screener for the fifth anomaly.
For anyone interested, it might be possible to build screeners for the fourth and fifth anomalies with Quantshare, Amibroker or Equities Lab, though like Quantified Alpha, these services require a subscription or an upfront fee.
QH S&P 500 Smart Money Screener
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