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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.
Asset Class: Public Companies
Data Frequency: Monthly
Delivery Frequency: Monthly
History: Data available back to 2003.
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).
Factor for Equity Strategies
Universe Selection and Allocation
The details provided above are as of January 2020.
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