Menu
At Mill Street Research, we combine “top-down” and “bottom-up” analysis of a variety of quantitative indicators and models to produce a wide range of asset allocation and stock selection tools for institutional investors. We combine this with qualitative analysis informed by 25 years of market experience and a strong emphasis on customized customer service.
Mill Street’s asset allocation work includes “top down” models and indicators to gauge the tactical and strategic outlook for equities relative to fixed income and other high-risk/low-risk allocation decisions.
This includes a Global Equity Risk Model with a 1-6 month forecasting horizon, and a longer-term stock/bond relative valuation (Implied Growth) framework. The allocation tools also provide guidance on small-cap versus large-cap equity allocation and other style-based decisions.
Along with the “top-down” inputs, our “bottom-up” inputs can be aggregated to create indicators for sector/industry allocation (US, Europe, and Global) and regional equity allocation.
Mill Street’s cornerstone tool for intermediate-term (1-6 month) global stock selection is the MAER (Monitor of Analysts Earnings Revisions). It is both a graphical tool for analyzing trends in analyst sentiment alongside price and valuations, and a multi-factor ranking model based on six key factors. It covers a broad universe of over 6000 stock globally. Alongside MAER, Mill Street’s Factor Analysis research uses quantitative methods to construct and track “pure” equity factor performance trends. Our process contrasts with most traditional equity factor methodologies by reducing the impact of overlapping influences among factors (e.g. Size and Volatility factors have significant overlap) as well as sectors to better identify the true drivers of returns. The research includes historical performance analysis for global and regional factors as well as screens that combine the factors with the strongest momentum to identify promising stock ideas.
Mill Street Research covers a wide set of asset allocation decisions:
The Monitor of Analysts Earnings Revisions (MAER) is Mill Street’s proprietary cornerstone graphical and quantitative stock selection tool. MAER is used to analyze trends in revisions to consensus earnings estimates, alongside price and fundamental information.
The MAER Stock Ranking Model uses six factors to rank stocks within any universe and forecast returns over a 3-6 month horizon. The underlying drivers of the model are well established in both academic and practitioner literature, but our proprietary implementation helps make the results more effective, robust, and institutionally investable than most other similar models. The six drivers of the model are listed at right.
Earnings estimate revisions breadth and magnitude.
Risk-adjusted six-month momentum & one-month mean reversion.
Absolute and relative forward earnings vield.
Mill Street’s Purified Factor Analysis digs deeper into equity stock selection factors to isolate the “signal” from the “noise”. By statistically accounting for the influences of sector weightings and overlapping factor exposures, we can track the “true” factor performance for a set of widely-used factors. These purified factor returns are more stable and persistent (and thus predictable) than traditional factor returns. We use this finding to guide intermediate-term factor performance and overlay factor and sector tilts on the MAER rankings.