Return Model

We have our own proprietary return model to forecast ETF and CEF expected returns based upon:

  • Sensitivities to the four basic risk indexes (S&P 500, 10Y Treasury, US Dollar and Oil) and the expected returns of those risk indexes
  • Yield – cash yield or commodity roll yield
  • Value – (1) cumulative residual return mean reversion for all funds, (2) for equity funds, factors using aggregate earnings, cash flow, and sales, and (3) for CEFs, price/NAV discount or premium relative to the CEF’s own history
  • Momentum – intermediate-term residual return momentum, and for equity funds, aggregate earnings estimate, target price, and recommendation revisions
  • Quality – profitability, leverage, and interest coverage ratios