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).
| # | 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 |
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