Expected Return History Files

The history files include expected returns from our current models. The populations include:

  • US: between 3,000 and 4,000 stocks
  • Europe: between 3,000 and 3,500 stocks
  • Japan: between 450 and 2,200 stocks
  • Emerging Markets: between 800 and 3,200 stocks

The data goes back to 2003 for each model. All data is date stamped and represents what was actually sent out to our clients at the time. If the model was not in production in 2003, the data before the inception date represents backtested data, while all data on or after the inception date is the data we actually sent to our clients.

Dates of inception

  • U.S. Standard: before 2003
  • U.S. Enhanced: April, 2006
  • Europe: before 2003
  • Japan: before 2003
  • Emerging Markets: July, 2015

The data are intended to be used by prospective clients in order to test their own screening methods as well as their own trading strategies. Our returns do not take into consideration risk, but some of our clients have successfully utilized risk management tools when building their portfolios, which may also be employed in back-testing this data.

Call us today at 888-447-5169 extension 703 to receive our expected return history files.