Liquidity (Q.i.) indicator finds neglected (mis-priced) companies
We just added a new liquidity ratio that lets you find neglected low trading volume companies to the Quant Investing screener.
How it is calculated
It is called it Liquidity Q.i. and this is how it is calculated:
Liquidity (Q.i) = Adjusted Profits / Yearly trading value
This ratio gives you an indication of how high a company’s yearly traded value per share is compared to its adjusted profits.
High value means low traded value
A high Liquidity Q.i. value thus means low turnover and thus a larger chance of the company’s shares being mis-priced.
It can thus help you to identify companies with large controlling shareholders or a stable base of shareholders where traded value is low and thus less analyst interest because they cannot make money in the trading of the company’s shares.
To find companies with low traded value to profits set the slider to 0% to 20%.
A low value means a company if highly traded
A low value means the company's shares have a high traded value. This means more analysts follow the company making it unlikely that the company is mis-priced.
To find these companies set the slider 80% to 100%.
Here is a back test
You can read about a back test of the Liquidity Q.i. ratio here:
This overlooked ratio, large funds and hedge funds can’t use, gives you higher returns
All the ratios included in the screener
You can find a list of all the ratios and indicators included in the screener here:
Quant Investing ratio and indicator glossary