Factor Value and Rank Chart

Clicking on a factor rank within the Rebalance pages displays a histogram of the factors values. A histogram is a graph used to represent the frequency distribution of the data points of a variable. Histograms classify data into equally spaced range groups (or "bins") and count how many data points belong to each of those bins. The horizontal axis displays the number range. The vertical axis (frequency) represents the amount of data that is present in each range.

Here is an example of a typical rank and factor value histogram chart:

This factor has both positive and negative values, so approximately 5% of the non-NA values will be put in the orange 'outlier' bins on each end of the graph. Sometimes there will be more or less then 5% because of the way the blue bars are created.

After the outliers are removed, the remaining non-NA values are evenly distributed between the 20 blue bins. If you were to slowly move the pointer for your mouse over each of the bins you would see that the range of data values covered by each bin is approximately the same.

You can place your mouse over each bin to see details of the data included in that bin. For example, the image below is the information displayed when the mouse was over the purple bin. It tells us that the range of data points included in that bin is 30.43 to 60.86 and that the bin contains 284 data points (stocks). It also shows the range of ranks included which is 71.49 to 81.57. The purple bin is the bin which includes the value of the stock being analyzed (MUSA:USA in this case).

The black line on the chart indicates the ranks that fall into each of the bins. The green dot on the rank line indicates the rank of the stock being analyzed.

Those 2 tall bins toward the center of the graph cover the range of values from -30 to +30. This is an EPS growth factor so it makes sense that most of the values fall in that range which is why these 2 bins contain a large number of stocks (1,079 of 2,720 stocks). The rank line is steepest at the point it goes through those 2 bars because they cover a wide range of ranks (ranks 33 to 71).

Lets look at a few variations of the chart. The Pr2SalesTTM factor below is different then the EPS growth factor above because it never has negative values. So we dont need to create a bin for outliers on the left side of the chart. We do still create the outliers bin on the right side, and we put 10% of the stocks in that bin.

The histograms for industry factors like the Price to Book vs Industry factor below will often have empty bins and choppy rank lines because the chart only contains a few data points for the stocks in the same industry as the stock you are analyzing. PRDO:USA is in an industry which only contained 20 stocks for the universe used and so we end up with some empty bins.