## Price Factors

The biggest losers will eventually become winners and vice versa. Werner De Bondt and Richard Thaler tested this hypothesis and found it to be statistically significant. To calculate the biggest losers (winners), they formed portfolios with stocks that showed the biggest declines (increases) in returns during the past 5 years. They found that the loser outperformed the winners by 24.6% over the next 3 years.

We calculate the 5 year price index using the following formula:

$Price Index 5Y = Adjusted* share price now Adjusted* share price 5 years ago$

* The share price is adjusted for stock splits, cash dividends, right offerings and spin-offs.

We use the 5Y price index in the Return reversal with Piotroski screen.