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). 

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 […]