Haugen Model Performance
U.S. Model's Strategies
How We Demonstrate Performance
In order to test and demonstrate the performance of the quantitative data that we provide to our clients, Haugen Equity Signals constructs and back-tests 50-stock portfolios, and then rebalances these portfolios each quarter.
Here’s how these 50-stock portfolios are constructed:
- We begin with a population of the top 2,000 U.S. stocks by market cap. After calculating expected returns on these, we rank the stocks from lowest to highest expected return.
- Next we filter out stocks that are priced at under $5 per share or have a market cap under $300M. In the tests shown here, we imposed no constraints for sector weighting.
- From the remaining population, we select the best 50 stocks for each strategy (the highest expected return stocks for the long-only strategies; and the highest and lowest expected returns for a market neutral strategy).
At the end of the month we rebalance each portfolio. Based on newly-generated expected returns, we replace up to 50 stocks in each portfolio (i.e. 100%).
All back-tests use date-stamped data to eliminate the possibility of look-ahead bias. We include a benchmark in each chart for comparison purposes.
To see portfolio returns for each strategy, choose from the menu to the left.
For more details, click on the terms at the bottom of each chart.
ENHANCED MODEL'S LONG-ONLY STRATEGY
|S&P 500 Index |
|Long Backtest |
|Average Linked Annual Ret.||22.74%||9.22%||13.70%|
|Average Annual Return||26.11%||10.00%||16.22%|
|Sharpe Ratio (20-yr)||0.89||0.53||0.48|
|T-Stat for the Mean Return||4.72||2.57||4.79|
|Probability Total (Excess) Ret < 0||15.16%||28.80%||13.59%|
Investars.com has audited our monthly results for more than ten years against about 20 other research organizations. Haugen Equity Signals performance for the last six years (the longest period Investars shows) is ranked #1.
At Investars, performance results are segmented by type of firm, the universe of stocks covered, sectors, as well as long and short picks. The top five firms in each category are displayed.
Directions for use:
- From their home page, select “ranks“ from the top menu
- Investars audits data from different types of financial firms. To see our company, change the drop-down box that shows “Fundamental” to “quantitative”.
- Then to show the longest historical performance, change the date range from ”1 year (trailing)” to ”6 years trailing"
Expected Return History Files
The history files include expected returns from our current models. The populations include:
- US: between 3,000 and 4,500 stocks
- Europe: between 3,000 and 3,500 stocks
- Japan: between 450 and 3,500 stocks
- Emerging Markets: between 800 and 3,200 stocks
The data goes back to 2003 for each model. All data are 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.