In Shiller's view, a high CAPE is generally followed by
low subsequent returns.
Both scatterplots show negative slope: richer valuations generally imply
lower subsequent returns, while cheaper valuations imply higher subsequent returns.
Not exact matches
«Historically, when our indicator has been this
low or
lower, total
returns over the
subsequent 12 months have been positive 93 percent of the time, with median 12 - month
returns of 19 percent,» according to a BofA Merrill Lynch Global Research report.
Actual results, including with respect to our targets and prospects, could differ materially due to a number of factors, including the risk that we may not obtain sufficient orders to achieve our targeted revenues; price competition in key markets; the risk that we or our channel partners are not able to develop and expand customer bases and accurately anticipate demand from end customers, which can result in increased inventory and reduced orders as we experience wide fluctuations in supply and demand; the risk that our commercial Lighting Products results will continue to suffer if new issues arise regarding issues related to product quality for this business; the risk that we may experience production difficulties that preclude us from shipping sufficient quantities to meet customer orders or that result in higher production costs and
lower margins; our ability to
lower costs; the risk that our results will suffer if we are unable to balance fluctuations in customer demand and capacity, including bringing on additional capacity on a timely basis to meet customer demand; the risk that longer manufacturing lead times may cause customers to fulfill their orders with a competitor's products instead; the risk that the economic and political uncertainty caused by the proposed tariffs by the United States on Chinese goods, and any corresponding Chinese tariffs in response, may negatively impact demand for our products; product mix; risks associated with the ramp - up of production of our new products, and our entry into new business channels different from those in which we have historically operated; the risk that customers do not maintain their favorable perception of our brand and products, resulting in
lower demand for our products; the risk that our products fail to perform or fail to meet customer requirements or expectations, resulting in significant additional costs, including costs associated with warranty
returns or the potential recall of our products; ongoing uncertainty in global economic conditions, infrastructure development or customer demand that could negatively affect product demand, collectability of receivables and other related matters as consumers and businesses may defer purchases or payments, or default on payments; risks resulting from the concentration of our business among few customers, including the risk that customers may reduce or cancel orders or fail to honor purchase commitments; the risk that we are not able to enter into acceptable contractual arrangements with the significant customers of the acquired Infineon RF Power business or otherwise not fully realize anticipated benefits of the transaction; the risk that retail customers may alter promotional pricing, increase promotion of a competitor's products over our products or reduce their inventory levels, all of which could negatively affect product demand; the risk that our investments may experience periods of significant stock price volatility causing us to recognize fair value losses on our investment; the risk posed by managing an increasingly complex supply chain that has the ability to supply a sufficient quantity of raw materials, subsystems and finished products with the required specifications and quality; the risk we may be required to record a significant charge to earnings if our goodwill or amortizable assets become impaired; risks relating to confidential information theft or misuse, including through cyber-attacks or cyber intrusion; our ability to complete development and commercialization of products under development, such as our pipeline of Wolfspeed products, improved LED chips, LED components, and LED lighting products risks related to our multi-year warranty periods for LED lighting products; risks associated with acquisitions, divestitures, joint ventures or investments generally; the rapid development of new technology and competing products that may impair demand or render our products obsolete; the potential lack of customer acceptance for our products; risks associated with ongoing litigation; and other factors discussed in our filings with the Securities and Exchange Commission (SEC), including our report on Form 10 - K for the fiscal year ended June 25, 2017, and
subsequent reports filed with the SEC.
To the extent that
lower Treasury yields are even weakly associated with higher equity valuations, recognize that this effect is also expressed over time as
lower subsequent stock market
returns.
When you look back on this moment in history, remember that rich valuations had not only been associated with
low subsequent market
returns, but also with magnified risk of deep interim price losses over shorter horizons.
While there is a general tendency for high interest rates to be associated with depressed valuations and above - average
subsequent market
returns, and for
low interest rates to be associated with elevated valuations and below - average
subsequent market
returns, the relationship isn't extremely reliable or linear.
While our Margin - Adjusted CAPE has a very slightly
lower correlation with actual
subsequent market
returns than our preferred measure (MarketCap / GVA), the available data history is longer.
-LSB-...] table below is from Ben Carlson's A Wealth of Common Sense and it is a summary of the
subsequent average, median, high, and
low 10 - year
returns for the -LSB-...]
For example, grocers almost always stay in the very
low price / revenue deciles because they operate in a
low - margin business, yet fluctuations in their price / revenue ratios over time are still very informative about
subsequent returns.
Technical features were selected by the authors based on the following claims: • Stocks with high (
low)
returns over periods of three to 12 months continue to have high (
low)
returns over
subsequent three to 12 month periods.
On the basis of valuation measures most tightly related to actual
subsequent long - term market
returns, we also estimate that the S&P 500 is likely to be
lower 12 years from now, compared with current levels, though dividend income may push the total
return just over zero on that horizon.
The correlation is negative because higher valuations imply
lower subsequent market
returns.
«Despite these favorable conditions, we found that
low socioeconomic status was associated with
subsequent detachment from the workforce after patients had
returned to work,» Smedegaard said.
That imbalance of eagerness between buyers and sellers has clearly affected prices of risky assets, but it does not generate new cash flows - it simply raises the valuation that the market places on existing streams of future cash flows, and thereby
lowers the
subsequent rate of
return on holding those securities.
It does benefit, however, from holding healthier underlying companies with reduced instances of delisting (0 vs. 9), which leads to a higher average total
return (13.4 % vs. 11.4 %),
lower volatility (13.6 % vs. 15.3 %), and higher
subsequent five - year dividend growth rate (18.0 % vs. 11.1 %).
The value factor formed on B / P is likely to load on
low profitability / junk companies, whereas the aggregate valuation metric may be better at identifying quality and thus may do a better job of predicting the
subsequent return.
In Table 3, of the 96 tests for factors, only 2 have the «wrong» sign, with higher valuation pointing to (negligibly) higher
subsequent returns; both instances of the «wrong» sign are in the emerging markets, for which we have shorter history, and are for the
low beta factor, for which the current valuations, in the 99th percentile, are quite extreme relative to history.
Firms with
low enterprise multiple values appear to have higher discount rates and higher
subsequent stock
returns than firms with high enterprise multiple values.
* Previous buyback completion rates matter, which shows that stocks with high completion rates but
low stock
returns following previous buybacks enjoy abnormally large
returns following a
subsequent buyback announcement.
i'd be curious... trying to find it myself... the number of long biased / long only managers that produced postive
returns in 2001 - 2002... also looking for info on correlation levels in prior bear markets between stocks... if 2008 and
subsequent swoons in summer 10,11,12 had higher than normal correlations, maybe a garden variety bear dropping the market 30 % can still have areas where managers can generate positive
returns due to a
lower level of correlations.
The real - dividend - per - share growth difference was a whopping 9.3 %
lower (i.e., 6.3 % under the positive / positive scenario and the negative 3.0 % under the positive / negative scenario) than its average in the more usual case of both prior market
return and
subsequent dividend growth being positive.
While
return dispersion is
low, dispersion of valuations remains relatively wide by historical standards... Furthermore, there has been a strong relationship between valuation spreads and
subsequent outperformance of value stocks (relative to glamour stocks).
Stocks with high completion rates but
low stock
returns following previous buybacks enjoy abnormally large
returns following a
subsequent buyback announcement.
Therefore, because of the variability of the interest and
subsequent cash value growth, it is necessary to carefully monitor the policy's performance, or the insured risks receiving
lower returns and paying more than expected to continue their coverage.