Historical backtests of the Retail model indicate that the model would have outperformed the equal-weighted retail universe by an annualized average of 14% from Jan 1979 to July 2006, ignoring transactions costs. The performance is even more impressive from a long-short spread perspective with an annualized average spread of 30% during the same period, not including transaction costs.
"Standard data sources do not provide the level of detail necessary to analyze the key drivers of alpha in the retail sector. QSG's use of specialty data from various sources allows our clients to go beyond a simplistic assessment and obtain a more detailed perspective into a retailerâs operations", stated Bola Olusanya, Senior Quantitative Analyst. âWhen compared to more generic style or fundamental factor models, we found that this new specialty data based retail model outperformed by at least 120bps per month.â
QSG's Retail Model synthesizes industry specific data from a variety of specialty data providers such as RetailMetrics (actual same store sales and analystsâ estimates of same store sales) and Chain Store Guide (store location attractiveness, openings, closings and overall growth) to analyze the unique components of a retailerâs excess return generating capabilities.