Sunday, August 4, 2013

The Best Bang For Your Buck

In the General Merchandise Stores industry of the Consumer Goods sector is...

...either Dollar General (DG) or Dollar Tree (DLTR).

You see, if we rank the stocks using the Sortino Ratio...

RankSymbolCompanyAverage Weekly Excess Return %Downside Deviation %Sortino Ratio
1 DG Dollar General+0.28%1.73%+0.1603
2 DLTR Dollar Tree+0.34%2.80%+0.1218
3 FDO Family Dollar Stores+0.15%2.74%+0.0538
4 TGT Target Corp.-0.07%1.66%-0.0408
5 KSS Kohl's Corp.-0.34%2.12%-0.1606

...Dollar General comes out on top.

But if we rank them by Omega Ratio...

RankSymbolCompanyCumulative Gains %Cumulative Losses %Omega Ratio
1 DLTR Dollar Tree607.38%-470.63%1.29
2 DG Dollar General198.56%-158.59%1.25
3 FDO Family Dollar Stores439.77%-395.86%1.11
4 TGT Target Corp.325.82%-350.26%0.93
5 KSS Kohl's Corp.275.55%-370.33%0.74

...then Dollar Tree is the winner.

How are we going to break the tie?

Let's see what happens when we rank them by Upside Potential Ratio:

RankSymbolCompanyUpside Deviation %Downside Deviation %Upside Potential Ratio
1 DG Dollar General1.38%1.98%0.6979
2 DLTR Dollar Tree1.51%2.59%0.5852
3 FDO Family Dollar Stores1.48%2.69%0.5476
4 TGT Target Corp.0.90%1.80%0.5026
5 KSS Kohl's Corp.0.99%2.38%0.4167

It looks like Dollar General is the best bang for your buck in the General Merchandise Stores industry after all.

Just as a side note: my Downside Deviation % calculations differ between the Sortino and Upside Potential Ratios because the Upside Potential Ratio takes the Upside (>0.22% required weekly return) and Downside (<0.22% required weekly return) Deviation %'s and multiplies them by their respective probabilities.

Sortino uses the full Downside Deviation % (all returns below the required +0.22% weekly return).

Disclaimer: I do not own any of the stocks mentioned in this post nor do I intend to open any positions in any of these stocks in the next 72 hours.

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