Hi Quantopian Fellows,

This is my third week task, where I am supposed to prepare several different heatmaps of the subject fundamentals based against Value_score. The heatmaps that I will have plotted are based on Intraday, Overnight, first 30 mins and last 30 minutes returns. Additionally, I have also created a heatmap for the no of observations to find out whether the significant movement in stock returns is a mere coincidence or there exists a true statistical relationship to be exploited. Two caveats that I would like to highlight before we jump to the conclusions from the heatmaps (1) Simple arithmetic mean was used to calculate the mean return, therefore, keep in mind that mean is not a robust measure of central tendency and have a negative bias (2) the returns used are not abnormal returns, hence pretty difficult from the heatmaps to disentangle the security specific effect and market movement effects.

For Forward Earning Yield Overall Quantile

As we can see in the number of observations heatmap, that only the diagonal elements have sufficient no of observations to rely on. However, none of the heatmaps based on the above mentioned four types of returns exhibit any specific downward or upward trends.

For Forward Earning Yield Sector Wise

For sector wise analysis, there seems to be good movements in the returns especially in Intraday, Overnight and first 30 minutes returns. However, combining these results with the corresponding quantiles' no. of observation indicate that our conclusions are not generalizable.

For Forward PE Ratio Overall Quantile

For PE ratio, the no of observations are significant only in the diagonal elements going from left to right. When looking at the corresponding elements in the returns heatmap, only Intraday returns heatmap show some pattern of positive returns specifically in (3,2) and (4,1) quantilles that can further be explored.

For Forward PE Ratio Sector Wise

Sector wise movements in the returns are also significant only in the intraday returns, when analyzed in conjunction with the no of observations.