S&P 500 implied returns valuation

Print Friendly

MICERs are Market Implied Consensus Expected Returns and are the result – in terms of risk premium – of a reverse optimization using some available market information about variances, covariances and capitalizations. Investors express their views about stocks by collectively holding the market portfolio, by doing so market capitalizations represent investors’ trading choices to hold securities according to their preferences in terms of expected risk and return. If investors seek to maximize their utility in holding portfolios and do hold their desired and optimal portfolio, then market information – embedded in stock prices – contains investors’ expected returns on individual securities.

MICER valuations have stayed broadly in line since Feb 28  (see facet grid below).

MICER valuation grid 2014-03-04

# Ticker Weight Volatil. MICER Sector
1 AAPL 2.83 24.04 1.92 Information Technology
2 XOM 2.52 16.93 3.94 Energy
3 GOOG 2.04 19.81 4.89 Information Technology
4 MSFT 1.74 18.30 2.71 Information Technology
5 JNJ 1.56 14.14 3.73 Health Care
6 GE 1.54 17.19 5.02 Industrials
7 WFC 1.33 12.69 3.75 Financials
8 CVX 1.33 16.33 3.04 Energy
9 PG 1.28 15.02 2.12 Consumer Staples
10 JPM 1.28 17.08 4.30 Financials
11 BRK-B 1.25 13.71 3.67 Financials
12 PFE 1.25 16.94 3.91 Health Care
13 VZ 1.18 21.88 2.10 Telecommunication Services
14 IBM 1.13 13.81 3.29 Information Technology
15 BAC 1.06 18.72 4.56 Financials
16 T 1.01 16.85 3.00 Telecommunication Services
17 MRK 1.00 15.79 3.69 Health Care
18 C 0.88 22.14 5.60 Financials
19 KO 0.87 17.07 2.86 Consumer Staples
20 ORCL 0.82 17.95 4.84 Information Technology
21 CMCSA 0.81 23.77 4.67 Consumer Discretionary
22 AMZN 0.80 34.29 6.94 Consumer Discretionary
23 DIS 0.79 22.75 6.08 Consumer Discretionary
24 PM 0.78 18.94 4.70 Consumer Staples
25 QCOM 0.76 15.29 3.08 Information Technology
26 GILD 0.76 28.77 4.75 Health Care
27 INTC 0.74 15.80 3.94 Information Technology
28 PEP 0.73 16.24 2.89 Consumer Staples
29 SLB 0.73 19.23 5.04 Energy
30 WMT 0.72 14.06 2.44 Consumer Staples
31 CSCO 0.70 16.25 2.73 Information Technology
32 HD 0.69 18.51 2.56 Consumer Discretionary
33 V 0.69 19.42 4.27 Information Technology
34 FB 0.67 43.36 8.23 Information Technology
35 UTX 0.59 14.55 3.91 Industrials
36 MCD 0.57 10.25 2.28 Consumer Discretionary
37 AMGN 0.56 21.22 4.67 Health Care
38 BA 0.53 23.68 5.16 Industrials
39 BMY 0.53 23.48 5.77 Health Care
40 CVS 0.52 17.03 4.31 Consumer Staples

Scatter plot wrap 2014-03-04

bw-2014-03-04 map2014-03-04

Share Button
Posted in MICERs
Tags: , , ,

Leave a Reply

Your email address will not be published. Required fields are marked *

*

16 + = 24

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>

Tweets