Sentences with phrase «subsequent returns»

The critical observation, however, is this metric is no less correlated with actual subsequent returns than in the past.

I showed that subsequent returns over the next decade tend to track the current interest rate level very closely.

Keep in mind, household equity allocations at these levels average 10 - year subsequent returns in the neighborhood of 3.7 % annualized.

It's not entirely out of the question, but the average 10 - year subsequent returns reported in Panel B tell a different story.

The orange diamonds and gray dots represent the best and worst subsequent returns, respectively, for each bucket.

The trend of rising expectations and rising subsequent returns is what we should expect from a model, although it's not perfect.

Analysis is monthly and ends in 2005, the most recent date for which 10 - year subsequent returns can be calculated.

involuntary measures should not be used except as a last resort and, in the event of compulsory acquisition, strictly on the existing basis of just terms compensation and, preferably, of subsequent return of the affected land to the original owners on a leaseback system basis, as with many national parks.

Note that the right scale on the following chart is inverted, so higher levels of valuation on the left scale (blue line) correspond to weaker levels of subsequent return on the right scale (red line).

Rich valuation is strongly associated with weak subsequent returns, but only reliably so over periods of 7 - 10 years.

Tray leaks are the leading cause of contamination and subsequent returns from retailers.

In a series of articles we published in 2016,1 we show that relative valuations predict subsequent returns for both factors and smart beta strategies in exactly the same way price matters in stock selection and asset allocation.

Empirical evidence for 27 markets suggests that carry on interest rate swaps has been positively correlated with subsequent returns for the past two decades.

In Shiller's view, a high CAPE is generally followed by low subsequent returns.

But the connection between starting valuations and subsequent returns appears limited in Europe and Japan.

For our part, we don't follow the Coppock indicator per se, but the broad range of technical measures we follow include our own variant that is associated with stronger and more reliable subsequent returns (this variant has not even gone to negative levels yet, much less turned favorable).

A reminder on interest rate front - it's essential to recognize that if one believes depressed interest rates «justify» extremely rich equity valuations, what one is really saying is that depressed interest rates «justify» dismal subsequent returns on stocks.

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.

Long - term investors in the Fund should hope for a terrifying market plunge (I know I do), which would allow us to establish a more aggressive position in anticipation of very strong subsequent returns, though at the cost of some further short - term losses as we scale into that position.

Still, a shift in market internals does immediately change the return / risk profile of the market; that is, the probability distribution that describes likely subsequent returns.

On a wide range of historically reliable measures (having a nearly 90 % correlation with actual subsequent S&P 500 total returns), we estimate current valuations to be fully 118 % above levels associated with historically normal subsequent returns in stocks.

Out - of - sample tests: (1) generate initial parameters from 1970 through 1989 data for testing during 1990 through 2013 period; and, (2) insert a three - month delay between economic growth data and subsequent return calculations to account for publication lag.

As of last week, the Market Climate for stocks remained in the most negative 0.5 % of all historical observations, and was characterized by rich valuations, unfavorable market action, and a variety of hostile «Aunt Minnies» that are associated with poor subsequent returns.

And we had scatter diagrams, showing 10 - year subsequent returns against the CAPE, what we call the cyclically adjusted price earnings ratio.

IRS may argue that I filed returns incorrectly to begin with so the amendment and subsequent returned check doesn't matter etc..

Intuitively, a valuation multiple of half the historical norm has the opposite impact on subsequent returns as a valuation multiple of twice the historical norm.]

Generally, just as in the case of factors, we see that aggregate valuation is a slightly better predictor of subsequent returns compared to P / B, but both show quite strong predictability.

In the equity market, at least since the 1980s, we know that the cyclically adjusted price - to - earnings (CAPE) ratio, as demonstrated by Robert Shiller, and the dividend yield are both good predictors of long - term subsequent returns.

He uses Tobin's Q to value a market and compares past valuations with subsequent returns using a hindsight value (the average of the returns over the next 1 to 30 years).

As we've demonstrated repeatedly, the valuation measures most strongly correlated with actual subsequent returns, particularly over a 7 - 15 year horizon, are those that normalize for profit margin variability in some way.

Moderate interest rates were associated with a whole range of subsequent returns over the following decade, and we know that those outcomes were 90 % correlated with the level of valuations at the beginning of those periods (on reliable measures such as market cap / GDP, price / revenue, Tobin's Q, the margin - adjusted Shiller P / E, and others we've presented over time - see Ockham's Razor and the Market Cycle).

involuntary measures should not be used except as a last resort and, in the event of any compulsory acquisition, strictly on the existing basis of just terms compensation and, preferably, of subsequent return of the affected land to the original owners on a leaseback system basis, as with many national parks.

The correlation is negative because higher valuations imply weaker subsequent returns.

We show that variations in valuation levels predict subsequent returns and that this relationship is robust across geographies, strategies, forecast periods, and our choice of valuation metrics.

But the connection between starting valuations and subsequent returns appears limited in Europe and Japan.

Stocks seem reasonable or only slightly elevated «on the basis of forward operating earnings» — despite being strikingly overvalued on measures that account for the variability of profit margins over the economic cycle (measures that have historically had a much stronger relationship with subsequent returns on the S&P 500 — see Investment, Speculation, Valuation, and Tinker Bell).

«Valuations have historically explained 60 - 90 % of subsequent returns over a 10 - year horizon.

Yet the fact that these 13 years have included three successive approaches (2000, 2007, and today) to valuation peaks - at the very extremes of historical experience - is evidence that investors don't appreciate the link between valuation and subsequent returns.

The correlation between starting yield and the subsequent returns is around 0.9 for long - term Treasuries, 10 - years and five - years.

The mapping between valuations and subsequent returns is typically most reliable over a 10 - 12 year horizon.

When sentiment is low (high), stocks that are prone to speculation and difficult to arbitrage (young, small, unprofitable, non-dividend-paying, volatile, distressed and extreme growth) tend to earn relatively high (low) subsequent returns.

The most reliable measures of individual stock valuation we've found are based on formal discounted cash flow considerations, but among publicly - available measures we've evaluated, price / revenue ratios are better correlated with actual subsequent returns than price / earnings ratios (though normalized profit margins and other factors are obviously necessary to make cross-sectional comparisons).

Subsequent returns can be very, very good.

At present, the Shiller - 16 (along with a broad range of other historically reliable valuation measures having strong correlation with actual subsequent returns) projects negative total returns for stocks on a 6 - year horizon, even assuming continued growth in GDP, revenues, earnings, and other fundamentals.