2024 Outlook
After a much-better-than-expected 2023, the outlook going into 2024 remains favorable, but slightly less so than this time a year ago, and for somewhat different reasons. As 2023 winds down, we see that for US investors at least, the economy (growth and inflation), corporate earnings, and the stock market did far better than most investors, […]
Will the Fed take the “Win”?
The Mill Street blog has been quiet for a while, but will be more active now that the new website is up and running as we head into 2024, and updates will be emailed to those who request it. In response to the recent market moves and headlines, I address one of the frequent questions […]
Mill Street Research MAER Stock Ranking Model: Do You See What IC?
A few months ago, I wrote a blog post giving a brief history of the development of Mill Street’s MAER stock selection model and comparing the in-sample and out-of-sample test results now that it has been just over 10 years since the current model was originally launched.
The key metric I showed was the Information Coefficient (IC), which is the correlation between the decile ranks of the stocks and the decile rank of their subsequent 1-month returns (it can be done on other return horizons as well).
Analyst activity is turning sharply higher after strong Q1 reports
8 May 2023 “Objects in the mirror are not as bad as you thought they were” After several sub-par quarters and a period of aggressive estimate cuts, Q1 earnings reports have broadly beaten the reduced earnings forecasts. This has triggered not just higher stock prices but a broad and rapid upturn in the pattern of […]
Inflation continues to decelerate rapidly
24 April 2023 Following the latest CPI and PPI data, it seems even more clear that inflation mostly peaked around June/July last year and has been easing since, particularly in the last six months. This note follows up on the comments I made back in December, highlighting the influence of shelter costs and the Fed’s […]
New Earnings Season Screens report offers guidance during reporting season
15 April 2023 We recently launched a new report designed to guide our institutional clients during earnings seasons. It is based around an “Earnings Screen Score” ranking methodology that draws on selected inputs from our long-standing MAER stock database to identify companies which have strong near-term fundamental momentum going into an earnings report. Our research […]
The MAER stock ranking model: 10 years of out of sample history
28 February 2023 A bit of history Mill Street Research was founded around this time seven years ago, and the MAER stock selection model has been the anchor for Mill Street’s “bottom up” quantitative stock selection analysis since then. The MAER name is an acronym for the product’s original name, the Monitor of Analysts Earnings […]
Do Analyst Estimate Revisions (Still) Help Forecast Relative Stock Returns?
15 January 2023 Some of the common questions among fund managers who are looking at Mill Street’s stock selection and asset allocation tools are on the topic of whether using analyst estimate revisions metrics for stock return forecasting is useful: “Do analyst estimates really matter for stocks nowadays? “ “Aren’t equity analysts always conflicted, and […]
Divergent shelter costs are muddying the inflation debate
A key topic within the broader inflation debate is the influence of the biggest single component of the CPI: shelter. At about 33% of the current CPI weight, shelter (housing/rent) costs are clearly important, but measuring them is harder than it might seem.
Inflation in goods is already over
The focus of the inflation headlines, and most of the comments from Fed officials, has been on the year-on-year reported inflation rate of the CPI (or PCE). However, the extremely volatile macro environment has produced far more volatility in reported inflation data than has been seen for most of the last 30 years.