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U.S. Equity Premium?

Steve LeCompte | | Posted in: Equity Premium

Key Insight

SPY-minus-EFA relative returns were mostly negative until the 2008-2009 crisis and mostly positive afterward, and SPY is ahead across the reported performance metrics (Aug 2001-Jul 2026; monthly dividend-adjusted ETF prices; descriptive; not a trading test).

A subscriber requested measurement of a "premium" associated with U.S. stocks relative to those of other developed markets by looking at the difference in returns between the following two exchange-traded funds (ETF):

Using monthly dividend-adjusted closing prices for these ETFs during August 2001 (limited by EFA) through July 2026, we find that:

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Further Reading

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