Corequity has been screening its equity universe since 2004. The monthly results shown below cover 13 years, from September 2004-2017 The Undervalued Screen has achieved an average annualized gain over the S&P 500 of 5.20% while the Overvalued underperformed by 2.76% for a spread of 7.95% pa.
While this may not seem like much to some, it is enormous. This chart shows what the actual gains would have been on an investment of $100 over the period. The Undervalued Screens produce a return that is over 5.5 times that of the Overvalued.
The graph below shows the relative performance of the Screens[2] compared to our universe of stocks[3].
(c) 2017 Robert L. Colby
[1] For background please refer to https://corequity.org/about-2-2/ . For explanation of methodology please refer to https://corequity.org/category/guide-to-the-corequity-analysis
[2] Undervalued Stocks are in the highest quartiles of Valuation Return and the ratio of Normalized Earnings (MPEPS) to Estimated Earnings (EPS). Ovevalued Screens’ criteria are the opposite.
[3] Our universe most closely tracks the equal weighted S&P 500
