Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for April 2024 (Final)

Momentum Investing Strategy (Strategy Overview)

Allocations for April 2024 (Final)
1st ETF 2nd ETF 3rd ETF

Update on Real Earnings Yield and Future Stock Market Returns

March 14, 2024 • Posted in Equity Premium, Fundamental Valuation

Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate corporate earnings divided by corresponding stock index level. The REY model adjusts this earnings yield by subtracting the inflation rate for the same period. Does the REY concept still hold value for equity market timing? Using quarterly S&P 500 operating and as-reported earnings, S&P 500 Index (SP500) level, quarterly inflation as calculated from the U.S. Consumer Price Index, dividend-adjusted SPDR S&P 500 ETF Trust (SPY) and 3-month U.S. Treasury bill (T-bill) yield¬†as available during March 1988 through December 2023, we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates