Basics
Content Category: Factor
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Developed and produced by Mill Street Research, MAER (an acronym from its original name, the Monitor of Analysts Earnings Revisions) is a carefully constructed, institutional-grade multi-factor global stock ranking model that has been used by demanding buy-side firms for years as part of their stock selection process.
Leverage MAER to analyze trends in revisions to consensus earnings estimates, alongside price and fundamental information. It is a resource to help institutional investors incorporate an objective, transparent quantitative overlay into their stock selection process. The MAER ranking model is designed for intermediate forecasting horizons of one to six months. MAER covers a comprehensive global universe of over 6,000 stocks.
Data Overview
Asset Class: Public Companies
Data Frequency: Monthly
Delivery Frequency: Monthly
History: Data available back to 2003.
Data Methodology
The six model inputs of MAER are based on proprietary implementations of well-established equity return drivers: earnings estimate revisions metrics, price action (combining momentum and mean-reversion) and valuation. The primary drivers of MAER are the breadth of analyst revisions and the magnitude of changes to the mean Next Twelve Month (NTM) estimate, along with risk-adjusted price momentum and relative valuation metrics. The choice of indicators, as well as their construction and testing, combines academic research and proprietary insights focused on the needs of busy portfolio managers and analysts.
The key data input of the MAER model is FactSet Estimates and price data, and aside from universe construction, financial statement data is not used. The data fields for each stock include an overall composite weighted percentile ranking, six component indicators, and a percentile ranking for each of those six indicators. Users can therefore see each of the drivers of the overall ranking on both a ranked and “raw” basis. This allows users to do attribution analysis or use only selected components within their own research process if they choose.
Data for each month-end is collected on the first of each month, processed and then published by 9.00 a.m. ET on the third day of each month (regardless of weekends/holidays).
Use Cases
Factor for Equity Strategies
- Leverage proprietary implementations of well-established drivers of returns to obtain results that are more effective, robust, and institutionally investable than most other models. Investment professionals can integrate this unique data into existing models to add alpha.
- The MAER ranking model places constraints on the universe to ensure the approximately 6000 covered companies are institutionally investable stocks with sufficient analyst coverage to produce the indicators.
- To be included in the universe, stocks must have a minimum market cap of $200 million for US stocks and $500 million for non-US stocks, along with at least 3 analysts reporting estimates and $2 million/day in average daily trading volume.
Universe Selection and Allocation
- Using MAER, it is possible to rank countries, regions, sectors and industries, as well as securities to identify areas in the equity markets that have strong tailwinds or headwinds.
- Aggregate securities to their country, region, sector or industry, to analyse market environments and trends.
- With six proprietary factors, each including a percentile ranking, MAER simplifies the process of identifying outperformers.
The details provided above are as of January 2020.
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Please visit the product page on the Open:FactSet Marketplace for more information: Mill Street MAER Stock Ranking Model.
