Mill Street Research provides a suite of consistently updated research reports and data for institutional investors covering asset allocation, country allocation, sector and industry selection, equity factor analysis, and a robust quantitative stock selection process. We also provide customized work and special research projects for clients. The firm publishes six to eight research pieces each month to update investors on the various models and provide commentary relating the indicators to current market and economic trends. Additional special reports and commentary are published periodically based on market activity and client interests.
The primary areas of service include the following:
MAER: A Graphical & Quantitative Tool for Global Stock Selection.
The Monitor of Analyst Earnings Revisions (MAER) is a stock selection tool based on earnings revisions. It is both a graphical tool for analyzing trends in analyst sentiment alongside prices and valuations, and a ranking model based on six key factors. It covers a broad universe of over 6000 stocks globally.
Sector & Industry Selection
By aggregating the stock-level MAER indicators to the industry and sector level, we can readily identify areas within the equity market that have strong tailwinds or headwinds based on trends in analyst sentiment, valuations, and price action. Like MAER, the sector and industry analysis is global.
Regional & Country Allocation
Combining macro inputs and aggregated revisions, we offer guidance on allocation across seven major regions for equity allocation. In addition, we aggregate all of our stock-level indicators to the country and regional level, allowing us to identify the strongest and weakest geographies for stock selection based on trends in estimate revisions, valuations, and returns.
The Asset Allocation models and indicators help gauge both the tactical and strategic outlook for equities relative to bonds and other high-risk/low-risk allocation decisions. This includes a tactical (3-6 month horizon) model designed primarily around investor behavior indicators, as well as a stock/bond relative valuation model that estimates the market’s long-run earnings growth expectations. We also provide guidance on allocation between small-caps and large-caps based on a set of cyclical indicators, and duration allocation in bonds.
Equity Factor Analysis
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.
Clients interested in objectively constructed, implementable model portfolios can request access to Mill Street’s Model Portfolio Service. The Model Portfolios are based on the MAER stock rankings and also incorporate an asset allocation overlay based on our Equity Risk Model. The Model Portfolios are constructed with factors such as turnover, transactions costs, diversification, and liquidity in mind. Portfolios for US Large-Cap, US SMID-cap, Europe and Emerging Markets universes are currently available, and other portfolios can be constructed on a customized basis.
Custom Research Services
The service also includes consulting services, which allows for direct access to Sam regarding his knowledge and insight on any specific topics related to the core models. In addition, you can have him customize the models on a proprietary basis based on your own individual preferences or criteria. The models can be customized based on your sector specific interests, growth/value preferences, market cap restrictions, etc.
The service is geared to institutional investors and is not targeted for retail investors.
We have posted some recent samples of Mill Street Research’s commentary for your review on the column to the right. To get a more current market outlook, or request a complimentary trial of the service, please contact our marketing affiliate Blue Fox Advisors LLC at email@example.com.