How We Demonstrate Performance

In order to test and demonstrate the performance of the quantitative data that we provide to our clients, Haugen Equity Signals constructs and back-tests 50-stock portfolios, and then rebalances these portfolios each quarter.


Here’s how these 50-stock portfolios are constructed:

  • We begin with a population of the top 2,000 U.S. stocks by market cap. After calculating expected returns on these, we rank the stocks from lowest to highest expected return.
  • Next we filter out stocks that are priced at under $5 per share or have a market cap under $300M. In the tests shown here, we imposed no constraints for sector weighting.
  • From the remaining population, we select the best 50 stocks for each strategy (the highest expected return stocks for the long-only strategies; and the highest and lowest expected returns for a market neutral strategy).

At the end of the month we rebalance each portfolio. Based on newly-generated expected returns, we replace up to 50 stocks in each portfolio (i.e. 100%).

All back-tests use date-stamped data to eliminate the possibility of look-ahead bias. We include a benchmark in each chart for comparison purposes.

To see portfolio returns for each strategy, choose from the menu to the left.

For more details, click on the terms at the bottom of each chart.