Monthly Archives: October 2016

12 Years Results: Undervalued Screens outperform Overvalued by 5.5% per annum

An index for the monthly screens for value is created by linking the following months’ average returns, excluding income.  The Undervalued Screen index outperformed the S&P 500 by 395 basis points per annum while their counterparts, the Overvalued Screen index under-performed by the S&P by 158 basis points pa.  The spread between them was 552 basis points

The index for our universe of stocks increase by an 193 basis points pa so the performance relative to that standard was +198 and -344% basis points respectively.  The reason for the superior performance is most likely due to the unweighted universe vs the market weighted index.

10 Year Ranking among US Equity Funds*

To give an indication of how the returns on the Corequity Screens compared to managed accounts, we compared the 10 year returns to a universe of over 400 US equity funds as reported by the Globe & Mail for September 30th.  The Undervalued’s 10 year average was 8.51% vs 4.41% for the Overvalued.  The Undervalued would have ranked in the 90th percentile (1st quartile) while the Overvalued would have been in the 24th or 4th quartile.   Here the spread between them is 66 percentiles!
The index for our universe of stocks increase by an 193 basis points pa so the performance relative to that standard was +198 and -344% basis points respectively.  The reason for the superior performance is most likely due to the unweighted universe vs the market weighted index.

percentile-rank

* Globe & Mail US equity funds with 10 year records.

Advertisements