Quantitative Models

Sabrient leverages a proven, process-driven, quantitative methodology and scientific hypothesis testing to build robust alpha factors, multifactor models, investor tools, proprietary data sets, stock and ETF rankings, rules-based equity indexes, stock investing strategies, and thematic stock portfolios.

Our models employ a relative-scoring engine to compare each company against its peers in similar industries. The industry-level rankings are then rolled up into a universe-wide aggregate rank and presented in various products

We rank about 3800 stocks & ADRs and 1400 ETFs listed on US exchanges.

Asset managers and individual investors use our factors and rankings to identify stocks and ETFs predicted to outperform or underperform the market, for long and short stock ideas, and as a crosscheck to current portfolios.

Primary Equity Models

Our Primary Equity Models employ a relative-scoring engine to compare each company against its peers in similar industries. The industry-level rankings are then rolled up into a universe-wide aggregate rank and presented in various products. The Primary Equity Models include GARP, SVR, SGR, EGR, GQR, and DIV ranks.

Growth at a Reasonable Price Rank (GARP)
The GARP rank seeks stocks with strong earnings growth projections that are still selling for a reasonable price. The model considers combination historical and projected EPS growth, forward P/E, recent aggregate earnings revisions from the sell-side analyst community, earnings quality, and growth quality versus industry peers and the company’s own history. The higher the GARP Score, the more attractive the combination of valuation, quality, and growth prospects.  This model is an underlying component of both the Baker’s Dozen selection process and the SectorCast rankings of equity ETFs.

Strategic Valuation Rank (SVR)
SVR assesses the relative value of a stock versus both its peers and its own history.  This model utilizes trailing and forward factors related to income statement, balance sheet, and statement of cash flows.. It favors strong fundamentals and low valuation so the share price has room to grow.

Strategic Growth Rank (SGR)
SGR assesses the relative growth prospects of a stock versus its peers and its own history. This model utilizes a combination of factors related to historical cash flow, revenue, operating income, and EPS growth in addition to expected growth (as derived from analyst estimates). It is more of a pure growth model than our GARP rank.

Earnings Quality Rank (EQR)
EQR is a pure accounting-based risk assessment factor. It measures a company’s relative potential risk due to accrual accounting practices, as reflected in key relationships between information contained in the income statement, balance sheet, and cash flow statement. The latest Version 2.0 employs 30 unique industry-specific sub-models as well as trend analysis in selected financial ratios.

Growth Quality Rank (GQR)
GQR measures the consistency and reliability of a company’s earnings growth, history of earnings surprises, and the likelihood of meeting consensus earnings estimates versus industry peers. As an added factor to the GARP model, GQR allows for some higher-P/E secular growth companies to be competitive in the rankings with lower-P/E cyclical growth companies that the GARP rank previously tended to favor, thus improving all-weather performance and reducing relative volatility versus market benchmarks.   

Dividend Rank (DIV)
Dividend Rank combines a variety of dividend-oriented factors, including yield, coverage ratio, a history of increasing dividends, and a history of consistent and reliable dividend payments. A company must pay more than a 1% yield to get a DIV score.

Secondary Equity Models

Our Secondary Equity Models employ a relative-scoring engine to compare each company against its peers in similar industries. The industry-level rankings are then rolled up into a universe-wide aggregate rank and presented in various products. The Secondary Equity Models include AMR, BULL and BEAR ranks.

Aggregate Price Momentum Rank (AMR)
AMR applies price trend factors in a wide array of time periods to develop a holistic assessment of price momentum. This model primarily serves as an enhancement factor in combination with one or more of the other models.

Bull Rank (BULL)
The BULL Rank indicates a stock's relative tendency to outperform during strong market conditions. The higher the score, the more likely the stock will outperform in a robust bull market.  

Bear Rank (BEAR)
The BEAR Rank indicates a stock’s relative tendency to outperform during weak or stagnant market conditions. The higher the score, the more likely the stock will outperform in a bearish or neutral market.

Specialty Equity Models

Our Specialty Equity Models employ a relative-scoring engine to compare each company against its peers in similar industries. The industry-level rankings are then rolled up into a universe-wide aggregate rank and presented in various products. The Specialty Equity Models include DEF and INS ranks.

Defensive Equity Rank (DEF)
The Defensive Equity Rank seeks stocks that provide downside protection while still capturing upside potential. It incorporates the Bear Rank to compare how a given stock performs relative to the broader universe on days when the stock market is particularly weak. Then, factors are added related to free cash flow and dividend yield.

Insider Sentiment Rank (INS)
The Insider Sentiment Rank qualifies the sentiment of both traditional company insiders (e.g., corporate officers, directors, major shareholders) and the sell-side analysts who closely cover the company.  It tracks the number of insiders recently buying on the stock on the open market and the magnitude of their net increase in ownership, as well as the number of analysts who have recently adjusted EPS estimates (whether positive or negative) and the magnitude of their aggregate net revisions.

SectorCast ETF Model

Sabrient’s SectorCast Model was designed to provide fundamentals-based relative rankings among any given set of stock baskets, such as sectors, industries, market capitalization categories (large, mid, small), or ETFs, using bottom-up aggregate scoring of the constituent stocks (in accordance with their relative weights in the basket) based on Sabrient’s proprietary Outlook Rank. For ETFs, it builds a composite profile and relative ranking for each of roughly 1,400 equity ETFs.

Outlook Rank
The Outlook Rank employs a forward-looking, fundamentals-based, quantitative multi-factor algorithm to create a bottom-up aggregate profile of the constituent stocks within the stock baskets. The multi-factor model considers historical and projected EPS growth, forward P/E, recent earnings revisions from the Wall Street analyst community, return ratios, and earnings quality.  The higher the score, the more attractive the combination of valuation, quality, and growth prospects.

To facilitate trading, the SectorCast rankings also show Sabrient's proprietary Bull Rank and Bear Rank, which are backward-looking indicators of recent sentiment trends based on recent price behavior of each ETF’s constituent stocks.

Bull Rank (BULL)
A higher score for the Bull Rank indicates that stocks within the basket recently have tended toward relative out-performance during particularly strong market periods.

Bear Rank (BEAR)
A higher score for the Bear Rank indicates that stocks within the basket have tended to hold up relatively well during weak or stagnant market periods.