RW: 2 years

• Accrual Anomaly
•  krobbins
  
• 11/21/11 2:50 PM

Hot off the presses; see the attachments for the accrual screen based on my latest anomaly article: http://hema.zacks.com/2011/11/lemons-or-lemondade/

Enjoy!

RW: 5 years

• RE: Accrual Anomaly
•  Robert
• 01/30/12 12:20 PM

If I were you, I would check the results over a longer period.  In the 1/08 to current, generates a +6% annually.

However, when I run a monthly rebalance from 12/17/99 to present, the return is around NEGATIVE 16.9%

per annum.  Note that I did not use the attached screen which omitted the Zacks rank <=3

and bottom 10 (vs 10% in screen above) mentioned in the article.  Also, I set the securities

type to exclude ADR and not to = COM.  This is because the securities type = COM introduces a survivor

bias into the output since it is only picking stocks that CURRENTLY meet that criteria -- it does not

look at what the descriptor should have been historically.  I found this out the hard way and had Kevin

Matras confirm it last year.  Also, only looked at top 2000 mkt cap (not 3000) and avg $ volume traded of $2MM or higher.