Category Archives: Performance

Recent Comment by RLC in the WSJ

    • Posted In The Momentum Game Has Returned to the Stock Market

    • We have not found that Momentum has been at the  expense of value as we measure it.Our Undervalued Screens outperformed the S&P 500 by 17.3% last year while the Overvalued underperformed by 14.9%.  (Our valuation methodology relates the history of relative valuation to the estimated return from growth and yield – see

      Looking ahead, over 50% of the current Undervalued screen are in  the Technology (35%) and Industrial Sectors (26%).  The screens average return from growth and yield is estimated to be 15.3% and the average p/e ratio is modest at 16.2x,


Corequity Annual Report – 2017

2017 was an unusually good year for our monthly screens for Undervalued and Overvalued stocks.  Our Undervalued Screens outperformed the S&P 500 by 13.6% while the Overvalued underperformed by 17.6% relative*.

ann chart

The resulting spread of 31.1% between the two Screens compares to a spread  of +7.9% per annum since inception in 2004.  Putting in another way, 2017 was 4 times better than normal.

An analysis of the Sector drivers for the performance of Undervalued and Overvalued is summarized in the following tables which show the sum of the Sectors’s equities’ Relative Strength throughout the year:

Screen RS 1

Screen RS ov

The sum of Relative Strength by Sector indicates which Sectors contributed most to the performance.   In both screens one Sector accounted for the majority of the net performance.

In the Undervalued Screens, it was Technology which contributed 61% of the net performance, followed by Industrial (25%), Consumer Cyclical (12%) and Basic Material (7%).

Accounting for the Overvalued’s underperformance, Energy was the major contributor (62%) followed by Telecommunications (11%), Financial (10%) and Consumer Cyclical (9%).


Looking ahead, the following are summaries of our current screens by Sector. VR is the average Valuation Return or Risk, and E/M is the Estimate divided by the normalized earnings (MPEPS).






For the individual company screens please contact

© 2018 Robert L. Colby

*  The Screened companies are from our universe of over 400 equities.  They are selected on the basis being in two of  the best, and worst, quartiles including Valuation Return/Risk  (VR). The Undervalued had an average of 22 equities while the Overvalued averaged 28.

Corequity Results since Inception[1]

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.

13 yrs relative to univ

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.

$ return 13 yrs

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 . For explanation of methodology please refer to

[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

Short Term Results (16 months)

The performance of the screens have been particularly consistent since June 2016 as the graph below shows. The Undervalued have outperformed our Universe by 31% while the Overvalued underperformed by 19% for a spread of over 50% in 16 months.

16 mos rel s&p.png

Analysis of Short Term Results: Undervalued

The following tables on sectors and stocks show which were the largest contributors to these results.  The tables show the sum of the Relative Strength (to the S&P 500).


Here we can see that the major contributors to the superior performance of the Undervalued Screen were Technology, Industrial and Consumer Cyclical.

The top and bottom Undervalued stocks which contributed the most (and least) are shown here: ANALYS UV

Analysis of Short Term Results: Overvalued


The Sectors which contributed the most to the underperformance of the Overvalued were Energy, Financial and Basic Materials.  The individual companies in the top and bottom 10 are as follows:


These attribution tables do not answer the question of why these results have been so consistent in the last 16 months.

A simple explanation would be value vs growth but this doesn’t hold up as the underlying principal of Corequity analysis is to put a price on growth specific to each company.  This is further supported by the recent relative performance of the ETFs SPYG and SPYV, being the Spider ETFs for S&P 500 Growth and Value stocks.


This bears no resemblance to the UV/OV screen graph for the same period especially  if the same scale is used.

SPYV vs SPYG 70-140

(C) 2017 Robert L. Colby

Performance of Undervalued outperform Overvalued by 28.4% since June last year

In the last 9 months the Undervalued Screen has outperformed the S&P 500 by 21.2% while the Overvalued underperformed by -7.2%.  The absolute numbers were +33.8% vs +5.4%.

9 mos

Stay tuned for the a look at what Sectors, Industries and equities contributed to the divergent returns.

The graphs below show the performance of the two screens since inception on September 30th 2004.   Relative to the Corequity universe, the respective annualized returns are +2.68% pa vs -3.77% for a spread of over 600 basis points per annum.

The average return on the Universe is +2.04% pa which is more in line with the Equal Weighted S&P 500.

uvov graphs

Here is a look at the returns over the last year as well as since inception.


(c) 2017 Robert L. Colby

Undervalued Screens outperform Overvalued by 22% since June 30 last year

January adds another 4 % to the spread between the Undervalued (UV) and Overvalued (OV) screens performance since 6/30/16. This chart shows the relative performance to the average of our universe.


Here are summary tables showing which Sectors contributed to the superior performance of the Undervalued and the poor performance of the Overvalued.


The methodology is to add up the cumulative monthly Relative Strength[1] of the screened equities by company, industry and sector and rank the Sectors (in this case) by the total contribution to their performance over the period.

[1] The percent change in price relative to the S&P 500

For more detail email

(c) 2017 Robert L. Colby