Meridian model
As of Oct 27, 2026
M-altair · measured on revision 10
Return, alpha and risk, by fund
a year, daily returns, Jan 29, 2018 to Apr 13, 2026, 10 bp each way| Fund and rebalance | Return | Alpha vs SPY | Alpha vs QQQ | Beta | Worst drawdown | Sharpe |
|---|---|---|---|---|---|---|
| Model Balanced 30monthly | +24.6% | +9.3%t 1.8 | +8.1%t 1.5 | 1.15 | -35.8% | 0.96 |
| weekly | +24.8% | +9.6%t 1.9 | +8.4%t 1.5 | 1.13 | -35.6% | 0.97 |
| Model Aggressive 30monthly | +27.5% | +11.7%t 1.6 | +9.1%t 1.4 | 1.24 | -38.4% | 0.93 |
| weekly | +32.4% | +15.7%t 2.2 | +13.1%t 2.0 | 1.22 | -37.9% | 1.06 |
| Model Momentum 30monthly | +29.0% | +13.4%t 1.7 | +10.9%t 1.4 | 1.25 | -40.2% | 0.93 |
| weekly | +31.6% | +15.6%t 1.9 | +13.1%t 1.7 | 1.22 | -38.1% | 1.00 |
| SPY | +13.1% | - | -0.5%t -0.2 | - | -33.7% | 0.73 |
| QQQ | +17.9% | +2.9%t 1.0 | - | 1.16 | -35.1% | 0.81 |
Lead over the average rated stock, by source
points a year, weekly funds, Jan 29, 2018 to Apr 13, 2026; lead and its split before costs, alpha after 10 bp each way| Fund | Lead before costs | Sector allocation | Stock selection | Style-adjusted alpha | Style-adjusted alpha, SPY as market |
|---|---|---|---|---|---|
| Model Balanced 30 | +12.5 | +3.9t 2.0 | +8.6t 2.4 | +5.5t 1.6 | +3.9t 1.0 |
| Model Aggressive 30 | +20.0 | +4.9t 2.1 | +15.1t 2.9 | +9.6t 2.3 | +7.9t 1.7 |
| Model Momentum 30 | +20.2 | +3.6t 1.4 | +16.7t 2.8 | +8.4t 2.0 | +6.7t 1.5 |
Margin and worst six months, by bucket alone
points per six months, against the average stock- GGrowtht 2.6+4.5worst -10.9
- VValuationt -0.2-0.2worst -17.7
- QQualityt 2.6+3.1worst -10.7
- MMomentumt 2.6+5.8worst -24.5
- EExpectationst 0.2+0.2worst -13.5
Rank correlation between buckets
mean over 99 month-ends| Bucket | GGrowth | VValuation | QQuality | MMomentum | EExpectations |
|---|---|---|---|---|---|
| GGrowth | -0.13 | +0.28 | +0.12 | +0.12 | |
| VValuation | -0.13 | +0.02 | -0.16 | 0.00 | |
| QQuality | +0.28 | +0.02 | +0.09 | +0.11 | |
| MMomentum | +0.12 | -0.16 | +0.09 | +0.14 | |
| EExpectations | +0.12 | 0.00 | +0.11 | +0.14 |
Margin against worst six months, by fund
points per six months, against the average stockBucket weights, by fund
share of the scoreMargin by rank band
Model Balanced 30 weighting, points per six monthsMargin by calendar year
Model Balanced 30 weighting, points per six monthsForward record: registered claims
0 of 8 periods completed · first closes Jan 11, 2027How the score is built
Signal groups
Expectations
Weight20%How the latest earnings compared with what was expected.
Measures- Earnings SurpriseHow far the latest quarter's earnings beat or missed what analysts expected, against how large such surprises usually are.
Growth
Weight20%How fast the business is growing.
Measures- Change in free cash flow growthWhether the growth of free cash flow, the cash left after running costs and investment, is speeding up or slowing down.
- Change in operating profit growthWhether the growth of operating profit is speeding up or slowing down.
- Profitable operating income growth per shareHow much operating profit per share has grown over the year, counted only for companies that made a profit in both years.
- Revenue GrowthHow much faster sales are than a year ago.
- Change in quarterly revenue growthWhether sales growth is speeding up or slowing down from one quarter to the next.
Momentum
Weight20%How strongly the share price has been rising.
Measures- Six-month return, excluding the latest monthHow far the share price has risen over six months, leaving out the latest month.
Quality
Weight20%How profitable and financially sound the business is.
Measures- Turnover on Average Assets(not used for Financial Services)Sales earned per dollar of assets the company owns. Higher means the assets work harder.
- Resilience x ROCE(not used for Financial Services)Short-term financial strength, counted only when the return on invested capital is also improving.
Valuation
Weight20%How cheap the shares are for what the business earns, sells and owns.
Measures- Earnings before interest and tax / enterprise value(not used for Financial Services)Operating profit against the price of the whole business, debt included. Higher means cheaper.
- Free cash flow yield(not used for Financial Services)Free cash flow against the company's market value. Higher means cheaper.
- Price/SalesThe share price against sales per share, turned so that a lower price scores higher.
- Price/BookThe share price against the net assets on the books, turned so that a lower price scores higher.
Score assembly
- Standardize measures
- Each scored measure is standardized across the rated stocks of the date to mean 0 and standard deviation 1; a value past ±3 is compressed toward ±3.01, keeping its order.
- Assemble factors
- A factor averages the measures a stock has; it needs at least two, or its sole measure for a one-measure factor.
- Standardize factors
- Each factor is standardized across stocks with a value, its tail past ±3 compressed the same way.
- Combine factors
- The total score is the mean of the 5 equally weighted factors.
- Rank display
- Displayed 0-100 percentiles describe standing after scoring; they are not the values averaged into the score.
- Missing data
- A missing factor contributes neutral 0 to the total; its displayed measure remains unavailable. Stocks remain ranked when a factor is missing.
- Financial Services
- Quality has too few applicable measures and contributes neutral 0. Valuation uses Price/Book, Price/Sales when available.
- Model hash
- meridian-10
- Result
- dca908446d254b608ca26440a8c30554
Measurement details
- Month-ends
- 99, Jan 26, 2018 to Mar 27, 2026
- Stocks counted per date
- 397 to 698 of 797 listed
- Size bar
- 10 bn market value on the date
- Held
- best 50, equal amounts, 126 trading days
- Cost
- 10 bp each way
- t-statistics
- Newey-West, 6 lags
- Independent half-years
- 16
- Periods held out
- 0
- Signals and blends measured
- 99 signals, 18 blends
- Fund paths, monthly
- 99 rebalances, traded 1 session after the date
- Fund paths, weekly
- 428 rebalances, traded 1 session after the date
- Fund ratios
- daily returns, 252 sessions a year, risk-free rate 0
- Attribution
- weekly funds, written Oct 16, 2026
- Written
- Oct 15, 2026
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