In the charts on the pages below showing returns for the Europe, U.S. and Japan, decile
returns are plotted against decile rankings and a
slope is computed for the line of best fit through the 10 plot points.
You will find
the annual, quarterly, and monthly returns for each of the deciles as well as the
returns to the benchmark index, the slope of the line of best fit, and the
r-squareds showing the precision of fit around the line. These results are based
upon a back-test of our most recent models. We use a date-stamped database to avoid
"look-ahead" bias. In addition, firms that do not currently exist are used in the
modeling process to avoid survival bias.
Emerging Markets Model