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).
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 […]
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 […]
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 […]