Sanford C. Bernstein & Co, a well-known Wall Street sell-side research and brokerage firm, has also adapted its research and quantitative capabilities into smart beta ETF strategies.
“Bernstein is known for its deep fundamental research. Our stock analysts cover stocks more in-depth than anybody else out there. Fewer people may know that we have a long history in quantitative research, and we bring those two disciplines together,” Robert Van Brugge, CEO, Sanford C. Bernstein & Co., said at Inside ETFs 2019.
By tapping into its storied quantitative and fundamental research capabilities, Bernstein also offers the Bernstein U.S. Research Fund (BERN ) and Bernstein Global Research Fund (BRGL ) for ETF investors.
The Bernstein U.S. Research Fund tries to reflect the performance of the Bernstein U.S. Research Index, which measures the performance of large-cap U.S. stocks rated “outperform” by sell-side analysts at Sanford C. Bernstein & Co and ranked within one of the top three quintiles of Berstein’s published quantitative alpha model.
Bernstein analysts assign one of three ratings to each stock: Outperform or stocks expected to outpace the S&P 50® Index by more than 15 percentage points in the 6-12 months ahead; Market-Perform or stocks expected to perform in line with the S&P 500 Index to within +/- 15 percentage points in the 6-12 months ahead; and Underperform or stocks expected to trail the performance of the S&P 500® Index by more than 15 percentage points in the 6-12 months ahead.
The Bernstein quantitative alpha model ranks companies according to expected return over the next twelve months based on three components: stock-specific fundamentals, industry rotation and market risk appetite. Sources of alpha include valuation, capital use, earnings quality, profitability, and growth dynamics.
Similarly, the Bernstein Global Research Fund tries to reflect the performance of the Bernstein Global Research Index, which measures the performance of large-cap global stocks rated outperform by sell-side analysts of Sanford C. Bernstein & Co. and ranked within one of the top three quintiles of Bernstein’s published quantitative alpha model.
BRGL differs from BERN in that the global option takes components out of the broader MSCI ACWI Index, which contains all countries’ markets, and then implements similar analysis when selecting components.
Watch the full interview between ETF Trends CEO Tom Lydon and Robert Van Brugge:
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