Investment Style Guide

Transcription

1 Investment Style Guide October 19, Dr. Edward Yardeni Joe Abbott Please visit our sites at blog. thinking outside the box

2 Table Of Contents Table Of Contents Index Price Performance: 1 Index Price Performance: 17 2 Index Price Performance: 16 3 Index Price Performance: 4 S&P Growth/Value Relative Price Performance S&P Pure G/V Relative Price Performance 6 Growth/Value Relative Forward Revenues & Earnings 7 Market Cap: S&P Earnings & Valuation 8 Market Cap: S&P, 4, 6 9- Market Cap: Russell vs. 11 Growth vs. Value: Revenue Squiggles 12 Growth vs. Value: Earnings Squiggles 13 Growth vs. Value: Profit Margins 14 Growth vs. Value: Earnings Growth Growth vs. Value: S&P Valuation Growth vs. Value: Market Cap Shares Growth vs. Value: Net Revenue Revisions 19 Growth vs. Value: Net Earnings Revisions Growth vs. Value: Revenue Growth 21 Growth vs. Value: Earnings Growth 22 Russell Valuation SmallCap, Growth, Value 23 Valuation: SMidCap s Relative to LargeCap s 24 Forward Revenues & Earnings: SMidCap s Relative to LargeCap s 2 October 19, / Investment Style Guide

3 Figure 1. Index Price Performance: LARGECAP & SMIDCAP PERFORMANCE: (percent change ytd) S&P LargeCap (3.) S&P 4 MidCap (-1.) S&P 6 SmallCap (2.8) Russell LargeCap (3.3) Russell SmallCap (1.6) Latest data thru: /19/ Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation. - 2 Figure 2. GROWTH & VALUE PERFORMANCE: (percent change ytd) Latest data thru: /19/ 2 S&P LargeCap Growth (8.7) S&P LargeCap Value (-1.9) S&P 4 MidCap Growth (-1.2) S&P 4 MidCap Value (-1.9) S&P 6 SmallCap Growth (6.3) S&P 6 SmallCap Value (-.6) Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation. - Page 1 / October 19, / Investment Style Guide

4 2 Figure 3. Index Price Performance: 17 LARGECAP & SMIDCAP PERFORMANCE: 17 (percent change ytd) S&P LargeCap (19.4) S&P 4 MidCap (14.) S&P 6 SmallCap (11.7) Russell LargeCap (19.3) Russell SmallCap (13.1) 2 - Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec 17 Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation Figure 4. GROWTH & VALUE PERFORMANCE: 17 (percent change ytd) S&P LargeCap Growth (2.4) S&P LargeCap Value (12.6) S&P 4 MidCap Growth (.4) S&P 4 MidCap Value (.2) S&P 6 SmallCap Growth (13.) S&P 6 SmallCap Value (9.8) Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec 17 Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation Page 2 / October 19, / Investment Style Guide

5 3 Figure. Index Price Performance: 16 LARGECAP & SMIDCAP PERFORMANCE: 16 (percent change ytd) S&P LargeCap (9.) S&P 4 MidCap (.7) S&P 6 SmallCap (24.7) Russell LargeCap (9.7) Russell SmallCap (19.) Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec 16 Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation Figure 6. GROWTH & VALUE PERFORMANCE: 16 (percent change ytd) S&P LargeCap Growth (.1) S&P LargeCap Value (14.3) S&P 4 MidCap Growth (13.3) S&P 4 MidCap Value (24.) S&P 6 SmallCap Growth (.7) S&P 6 SmallCap Value (29.1) Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec 16 Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation. - Page 3 / October 19, / Investment Style Guide

6 Figure 7. Index Price Performance: LARGECAP & SMIDCAP PERFORMANCE: (percent change ytd) - - S&P LargeCap (-.7) S&P 4 MidCap (-3.7) S&P 6 SmallCap (-3.4) Russell LargeCap (-1.1) Russell SmallCap (-.7) Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation. - Figure 8. GROWTH & VALUE PERFORMANCE: (percent change ytd) - - S&P LargeCap Growth (3.8) S&P LargeCap Value (-.6) S&P 4 MidCap Growth (.8) S&P 4 MidCap Value (-8.4) S&P 6 SmallCap Growth (1.) S&P 6 SmallCap Value (-8.1) Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec Source: Frank Russell Company, Haver Analytics, and Standard & Poor s Corporation. - Page 4 / October 19, / Investment Style Guide

7 .7 S&P Growth/Value Relative Price Performance Figure 9. S&P GROWTH vs VALUE RELATIVE TO S&P Relative to S&P * Growth Value / / * Rising (falling) line indicates that the index is outperforming (underperforming) the S&P. Source: Standard & Poor s and Haver Analytics Figure. RELATIVE PRICE INDEX: S&P GROWTH & VALUE (Growth price index relative to Value price index) Rising line indicates that Growth is outperforming Value / Source: Standard & Poor s Corporation and Haver Analytics..9.8 Page / October 19, / Investment Style Guide

8 Figure 11. S&P Pure G/V Relative Price Performance RELATIVE PRICE INDEX: S&P PURE GROWTH & PURE VALUE (relative to S&P ) Rising line indicates that the index is outperforming the S&P Pure Growth relative to S&P Pure Value relative to S&P / / Source: Standard & Poor s Corporation and Haver Analytics Figure 12. RELATIVE PRICE INDEX: S&P PURE GROWTH & PURE VALUE (Pure Growth price index relative to Pure Value price index) Rising line indicates that Pure Growth is outperforming Pure Value / Source: Standard & Poor s Corporation and Haver Analytics Page 6 / October 19, / Investment Style Guide

9 Growth/Value Relative Forward Revenues & Earnings Figure RELATIVE FORWARD REVENUES: S&P GROWTH & VALUE INDEX.7.7 Rising line indicates that Growth is outperforming Value / Figure 14. RELATIVE FORWARD EARNINGS: S&P GROWTH & VALUE INDEX Rising line indicates that Growth is outperforming Value / Page 7 / October 19, / Investment Style Guide

10 Figure. Market Cap: S&P Earnings & Valuation S&P FORWARD EARNINGS PER SHARE (weekly, Jan 1999=) Forward Earnings* S&P LargeCap (339.3) S&P 4 MidCap (79.7) S&P 6 SmallCap (6.) / * 2-week forward consensus expected operating earnings per share. Time-weighted average of the current year s and next year s consensus forecast Figure 16. P/E RATIOS FOR S&P INDEXES* (weekly) S&P LargeCap (.8) S&P 4 MidCap (.1) S&P 6 SmallCap (.7) / * Price divided by 2-week forward consensus expected operating earnings per share. Page 8 / October 19, / Investment Style Guide

11 Market Cap: S&P, 4, Figure 17. S&P INDEXES (weekly) S&P LargeCap (2767.1) S&P 4 MidCap (71.3) S&P 6 SmallCap (96.4) / Source: Standard & Poor s Corporation and Haver Analytics. 7 Figure. S&P INDEXES (weekly, yearly percent change) S&P LargeCap (8.4) S&P 4 MidCap (2.9) S&P 6 SmallCap (6.3) / Source: Standard & Poor s Corporation and Haver Analytics. - Page 9 / October 19, / Investment Style Guide

12 Figure 17. S&P LARGECAP vs. S&P 4 MIDCAP (weekly, yearly percent change) S&P vs. S&P 4 SPREAD (yearly percent change, basis points) /12 S&P LargeCap (8.4) S&P 4 MidCap (2.9) S&P LARGECAP vs. S&P 6 SMALLCAP (yearly percent change) S&P Outperforms 4 S&P Underperforms S&P vs. S&P 6 SPREAD (yearly percent change, basis points) Market Cap: S&P, 4, 6 S&P Outperforms 6 S&P Underperforms 6 S&P LargeCap (8.4) S&P 6 SmallCap (6.3) /12 /12 / Source: Standard & Poor s Corporation and Haver Analytics. Page / October 19, / Investment Style Guide

13 Figure. RUSSELL vs. RUSSELL (weekly, ratio scale) Market Cap: Russell vs. / Russell LargeCap (29.2) Russell SmallCap (46.7) RUSSELL vs. RUSSELL (yearly percent change) Russell LargeCap (8.) Russell SmallCap (2.9) / RUSSELL vs. RUSSELL SPREAD (yearly percent change, basis points) Russell Outperforms Source: Frank Russell Company and Haver Analytics. Russell Underperforms / Page 11 / October 19, / Investment Style Guide

14 Growth vs. Value: Revenue Squiggles 6 Figure 19. S&P CITIGROUP GROWTH REVENUES PER SHARE (analysts average forecasts, ratio scale) 6 Consensus Forecasts Annual estimates 19 /4 Forward revenues* * Time-weighted average of consensus estimates for current year and next year. Monthly through December, then weekly Figure. S&P CITIGROUP VALUE REVENUES PER SHARE (analysts average forecasts, ratio scale) Consensus Forecasts Annual estimates Forward revenues* 19 / * Time-weighted average of consensus estimates for current year and next year. Monthly through December, then weekly. Page 12 / October 19, / Investment Style Guide

15 Growth vs. Value: Earnings Squiggles 9 7 Figure 21. S&P CITIGROUP GROWTH INDEX OPERATING EPS (analysts average forecasts, ratio scale) Consensus Forecasts Annual estimates 19 / Forward earnings* * Time-weighted average of consensus estimates for current year and next year. Monthly through December, then weekly Figure 22. S&P CITIGROUP VALUE INDEX OPERATING EPS (analysts average forecasts, ratio scale) Consensus Forecasts Annual estimates Forward earnings* 19 / * Time-weighted average of consensus estimates for current year and next year. Monthly through December, then weekly. Page 13 / October 19, / Investment Style Guide

16 17 16 Growth vs. Value: Profit Margins Figure 23. S&P CITIGROUP GROWTH PROJECTED PROFIT MARGIN (using analysts average earnings and revenues forecasts) Consensus Forecasts Annual estimates Forward profit margin* (16.6) 19 / * Time-weighted average of the consensus estimates for current year and next year. Monthly through December, weekly thereafter. 12 Figure 24. S&P CITIGROUP VALUE PROJECTED PROFIT MARGIN (using analysts average earnings and revenues forecasts) Consensus Forecasts Annual estimates Forward profit margin* (.2) 19 / * Time-weighted average of the consensus estimates for current year and next year. Monthly through December, weekly thereafter. Page 14 / October 19, / Investment Style Guide

17 Growth vs. Value: Earnings Growth 4 3 Figure 2. S&P CITIGROUP GROWTH vs. VALUE STEG* Growth (12.7) Value (.9) 4 3 / LTEG* Growth (17.7) Value (.4) / / Growth STEG* (12.7) LTEG* (17.7) Value STEG* (.9) LTEG* (.4) / * STEG: 12-month forward consensus expected earnings growth. LTEG: -year forward consensus expected earnings growth. - Page / October 19, / Investment Style Guide

18 4 4 Figure 26. Growth vs. Value: S&P Valuation FORWARD P/E RATIOS FOR S&P CITIGROUP GROWTH vs. VALUE* (daily) Growth (.9) Value (13.) / * Price divided by 12-month (2-week) forward consensus expected operating earnings per share. Monthly data through December, daily thereafter Figure 27. RELATIVE P/E: S&P GROWTH & VALUE* (Growth P/E relative to Value P/E) / * Price divided by 12-month (2-week) forward consensus expected operating earnings per share. Monthly data through December, weekly thereafter. Page 16 / October 19, / Investment Style Guide

19 Figure 28. Growth vs. Value: S&P Valuation PEG RATIOS FOR S&P CITIGROUP GROWTH vs. VALUE* Growth (1.14) Value (.91) / * Using -year forward consensus expected earnings growth and price divided by 12-month (2-week) forward consensus expected operating earnings per share. Monthly data through December, weekly thereafter Figure 29. RELATIVE PEG: S&P GROWTH & VALUE* (Growth PEG relative to Value PEG) / * Price divided by 12-month (2-week) forward consensus expected operating earnings per share. Monthly data through December, weekly thereafter. Page 17 / October 19, / Investment Style Guide

20 6 Figure 3. Growth vs. Value: Market Cap Shares S&P CITIGROUP GROWTH INDEX (percent) 6 / Capitalization Share (4.7) Earnings Share* (4.7) * Using consensus 12-month forward earnings forecasts. 8 Figure 31. S&P CITIGROUP VALUE INDEX (percent) /4 4 3 Capitalization Share (4.3) Earnings Share* (4.3) * Using consensus 12-month forward earnings forecasts. Page / October 19, / Investment Style Guide

21 3 Figure 32. Growth vs. Value: Net Revenue Revisions S&P CITIGROUP GROWTH INDEX NET REVENUE REVISIONS* 3 Sep NERI Jul 9.23 Aug 4.21 Sep * Three-month moving average of the number of forward earnings estimates up less number of estimates down, expressed as a percentage of the total number of forward earnings estimates. 3 Figure 33. S&P CITIGROUP VALUE INDEX NET REVENUE REVISIONS* 3 Sep NERI Jul 7.9 Aug 4.4 Sep * Three-month moving average of the number of forward earnings estimates up less number of estimates down, expressed as a percentage of the total number of forward earnings estimates. Page 19 / October 19, / Investment Style Guide

22 3 Figure 34. Growth vs. Value: Net Earnings Revisions S&P CITIGROUP GROWTH INDEX NET EARNINGS REVISIONS* 3 Sep NERI Jul 8.89 Aug 8.79 Sep * Three-month moving average of the number of forward earnings estimates up less number of estimates down, expressed as a percentage of the total number of forward earnings estimates. 3 Figure 3. S&P CITIGROUP VALUE INDEX NET EARNINGS REVISIONS* 3 Sep NERI Jul.83 Aug.12 Sep * Three-month moving average of the number of forward earnings estimates up less number of estimates down, expressed as a percentage of the total number of forward earnings estimates. Page / October 19, / Investment Style Guide

23 3 2 Figure 36. Growth vs. Value: Revenue Growth S&P CITIGROUP GROWTH REVENUE GROWTH (analysts average forecasts, ratio scale) Consensus Forecasts Annual estimates Forward revenues* / (9.6) 9 (-8.7) (11.4) 11 (14.2) 12 (6.6) 13 (4.2) 14 (8.) (.1) 16 (4.9) 17 (9.1) (11.9) 19 (8.) (7.8) Fwrd (8.3) Figure 37. S&P CITIGROUP VALUE REVENUE GROWTH (analysts average forecasts, ratio scale) 11 Consensus Forecasts Annual estimates Forward revenues* 17 / (2.6) 9 (-.9) (7.7) 11 (7.4) 12 (-2.2) 13 (.4) 14 (.6) (-7.9) 16 (.2) 17 (.2) (6.8) 19 (4.1) (2.2) Fwrd (4.4) - - Page 21 / October 19, / Investment Style Guide

24 Figure 38. S&P CITIGROUP GROWTH EARNINGS GROWTH (percent) Consensus Forecasts Growth vs. Value: Earnings Growth 8 (7.9) 9 (-12.6) (29.1) 11 (.) 12 (11.8) 13 (9.1) 14 (14.) 14 Annual estimates Forward revenues* (9.8) 16 (7.1) 17 (14.6) (24.8) 19 (11.) (12.3) Fwrd (12.7) / Figure 39. S&P CITIGROUP VALUE EARNINGS GROWTH (percent) Consensus Forecasts Annual estimates Forward revenues* (-3.) 9 (23.) (6.3) 11 (.) 12 (1.) 13 (3.7) 14 (1.) 14 (-.6) 16 (-3.3) 17 (8.6) (21.) 19 (9.3) (8.8) Fwrd (.9) / Page 22 / October 19, / Investment Style Guide

25 4 3 Figure 4. Russell Valuation SmallCap, Growth, Value FORWARD P/E RATIOS FOR RUSSELL * (weekly) Russell (22.9) Russell Growth (3.) Russell Value (16.6) / * Price divided by 12-month (2-week) forward consensus expected operating earnings per share. Monthly data through December, weekly thereafter. 3 3 Figure 41. FORWARD P/E RATIOS FOR US SMALLCAP * P/E capped at 3 due to extreme values. Russell (22.9) S&P 6 SmallCap (.7) / * Price divided by 12-month (2-week) forward consensus expected operating earnings per share. Monthly data through December, weekly thereafter. Page 23 / October 19, / Investment Style Guide

26 28 26 Figure 42. Valuation: SMidCap s Relative to LargeCap s FORWARD P/E RATIOS FOR S&P STOCK PRICE INDEXES* (daily) S&P LargeCap (.8) S&P 4 MidCap (.1) S&P 6 SmallCap (.7) / * Daily stock price index divided by 2-week forward consensus expected operating earnings per share. Source: Thomson Reuters I/B/E/S and Standard & Poor s Figure 43. FORWARD P/E RATIO: S&P RELATIVE TO S&P 4 and S&P 6* (daily) S&P relative to S&P 4 (1.47) S&P relative to S&P 6 (1.) / * Price divided by 2-week forward consensus expected operating earnings per share. Page 24 / October 19, / Investment Style Guide

27 Forward Revenues & Earnings: SMidCap s Relative to LargeCap s 1 Figure 44. FORWARD REVENUES: S&P RELATIVE TO S&P 4 and S&P 6* (weekly, indexed to at beginning of data series on 1//4) 1 1 S&P relative to S&P 4 S&P relative to S&P / Figure 4. FORWARD EARNINGS: S&P RELATIVE TO S&P 4 and S&P 6* (weekly, indexed to at beginning of data series on 1/21/1999) 1 9 S&P relative to S&P 4 S&P relative to S&P / Page 2 / October 19, / Investment Style Guide

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