Frequently Asked Questions
Haugen Equity Signals provides value added signals for a broad range of equities from which a virtually unlimited number of long and or hedged portfolios can be constructed. At present, Haugen Equity Signals does not provide model portfolios or manage money. These additional value added services, may be provided at some point in the future.
1. We believe that markets are highly inefficient and therefore active managers can add significant value, net of fees, over market cycles. This value added is based on the analysis of a broad range of equities.
2. We believe that this value added can only be achieved by studying a broad range of equity securities.
3. Volatility is a critical component in understanding market behavior better and calculating payoffs.
4. Payoffs for individual factors vary over time and therefore require continuing analysis.
Each year Haugen Equity Signals creates a universe of stocks in each of the four markets that we track (i.e. U.S., European, Japanese and emerging markets) and determines the top stocks in each group based on market capitalization and liquidity. At the end of each month the stocks are put through advanced statistical modeling algorithms, producing a projected “payoff” or “score” for over 60 different factors for each stock. For example, if in a given month the payoff for the book-to-price factor is negative, this means that in that month the model is favoring companies with low book-to-price values over stocks with high book-to-price values.
To calculate the expected returns, we get the latest data in order to look at each stock’s current exposure level to each factor, multiply by that month’s projected payoffs for each factor, and then add these 60 numbers up. These expected return results are then ranked from lowest to highest in order to provide the stock rankings.
Because of its level of detail, the Haugen Model is able to replicate the kind of “feel for the markets” that experienced money managers demonstrate. In the long run, the model favors portfolios of stocks that are in the aggregate relatively cheap, profitable and liquid.
The Haugen Model produces pure expected returns, unadjusted for risk. As such, the performance can be considerably higher than competitors’, but more risky. Most managers who use this data also use a risk optimizer to ensure a smoother ride.
Haugen Equity Signals offers a choice of three different pricing structures, all of which include daily data for all 13,000 of the stocks that we track. Choose the pricing option that works best for you:
- Flat fee – Based entirely on your assets under management OR
- Flat fee + performance-based – Partially based on your assets under management plus partially based on your portfolio’s performance OR
- Alpha-based – A portion of the Alpha produced for your portfolio by our model.
In addition, customized/proprietary versions of the Haugen Model can be built. You can also have an additional exclusive weekly or monthly run of the data on the trading day of your choice, giving you data that no one else gets. Please inquire about details and pricing.
For detailed performance history or information on how to subscribe to the Haugen Model call (888) 447-5169.