Factor-Based Rankings Methodology
Overview
Our weekly stock rankings combine multiple quantitative factors into a single composite score (0–100). Higher scores indicate more attractive investment opportunities based on Value, Quality, and Momentum.
Update Schedule
Rankings are updated on the first Monday of every week, before noon EST.
Composite Weight Structure
The final ranking is a weighted average of three pillar scores:
| Pillar | Weight | Components |
|---|---|---|
| Value (V) | 35% | Valuation |
| Quality (Q) | 25% | Quality (15%) + Volatility (10%) |
| Momentum (M) | 40% | Technical (15%) + Growth (15%) + Revisions (10%) |
Factor Definitions
Value (35%)
Valuation – P/E, P/B, P/S ratios, dividend yield, and free cash flow yield relative to peers. Lower multiples and higher yields receive higher scores.
Quality (25%)
Quality (15%) – ROE, profit margins, earnings stability, debt levels, and business quality metrics.
Volatility (10%) – Lower volatility (more stable returns) receives a higher score.
Momentum (40%)
Technical (15%) – Short- to medium-term price momentum and relative strength.
Growth (15%) – Earnings and revenue growth trends.
Revisions (10%) – Analyst earnings estimate revisions; upward revisions receive higher scores.
Universe-Specific Structures
Different equity universes use different factor weights. The table above describes Canadian Equity. Other universes:
- Canadian HD Equity – 40% Quality, 30% Value, 30% Momentum (yield, cash flow, ATRN, revisions)
- US Equity – 50% Quality (Quality + Governance), 25% Value, 25% Momentum
- International Equity – 20% Value, 30% Quality, 50% Momentum (10 factors, each 10%)
Data Sources
Each tab is built by combining two CSV files: P123_Rankings (raw factor scores) and P123_Screen (price, yield, market cap). The files are joined on Ticker and the composite score is recalculated using the weights above.
Disclaimer
Rankings are for research and informational purposes only. They are not investment advice. Past performance does not guarantee future results. Consult a qualified advisor before making investment decisions.