New York (June 12, 2013) – GMI Ratings announced today the formal launch of the Quantitative Equity Model (QEM), which uses governance and accounting-related forensic risk metrics to predict equity returns. In connection with this launch, GMI Ratings published today detailed reports on the predictive value and other performance characteristics of QEM for North American, Western European and Asia Pacific portfolios. Starting today, QEM data feeds will be available to pre-qualified institutional investors and asset owners.
Dan Concannon, Chief Executive Officer of GMI Ratings, said: “Over the past few weeks, we saw another series of reports confirming that businesses often resort to aggressive and illegal accounting and disclosure practices to meet increasingly ambitious growth targets. The growing body of research on the incidence and economic costs of faulty accounting practices strongly suggests that institutional investors should integrate forensic analysis more fully into routine decisions about portfolio management and benchmarking, stock selection and rejection.”
Mr. Concannon added: “The white papers we published today provide a detailed analysis of QEM’s out-of-sample performance characteristics. We found that QEM scores effectively predict equity returns globally, across industries, large-cap and small-cap portfolios. In many areas, QEM not only improves returns, but also lowers portfolio volatility.”
Mr. Concannon concluded: “QEM is now available via data feeds to qualified institutional investors and asset owners. We welcome inquiries and back-test requests.”