Flexibility is one of the key benefits of our expected return factor
model. It can:
- be used to improve portfolio performance by accurately predicting
near term winners and losers within a group of value or growth stocks
- enhance the payoffs to long, short and market neutral strategies,
- respond effectively to changing market conditions
To see Nardin Baker & Robert Haugen's latest research:
"Low Risk Stocks Outperform within All Observable Markets of the World"
For a singular source of information and tools regarding
and/or to download the comprehensive spreadsheet underlying the Baker-Haugen research,
Haugen Custom Financial Systems (HCFS) produces quantitative
investment research in the form of monthly expected returns and stock alphas for 7,000 U.S.
and international stocks to:
- Commercial banks, hedge funds, mutual funds and other
- Pension funds, insurance companies, foundations, endowments and family
Our research is based on a proprietary expected return
factor model which capitalizes on the market’s inefficiency. Analyzing more than
70 factors, the model
predicts expected returns for about 7,000 US and international stocks. Each month
we rank these expected returns from lowest to highest, then divide them into 10 deciles, each including 10% of the stocks.
How accurate are our predictions? HCFS is one of
Investars top ranked research firms.
We offer subscriptions to a Standard US Model, an Enhanced US Model, a European Model,
and a Japanese Model. On request we can customize a
model to meet a client’s specific needs.
This chart shows the real-world performance of our U.S. predictions. What you see here is the cumulative result of investing
$1 in each decile (10% of the stocks) for a ten year period, compared
to $1 invested in the S&P 500 over the same ten years.