Twitter Time Line

I am not blogging on this site.  This site mainly displays data & some quant toys.

This post shows my Twitter time line.

For those of you who might have enjoyed my posts; I do blog from time to time, perhaps more than I should!  You can pick up links to the posts on my twitter time line.




Tweets by @QuantReport

Free Float Market Capitalization Weighted Select Sensex Stocks Adjusted for Value Vs Sensex

This portfolio allocates capital to SELECT Sensex stocks using the free float market capitalization weightage system employed by the Index, except that the weightage is adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks. The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index; though perhaps to a lesser degree than an equal weight value adjusted portfolio. However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform. When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform. Since the price weightage tweaked for value is employed, the under-performance during periods of exuberance and despair will be less compared with an equal weighted portfolio.

Free Float Market Capitalization Weighted Sensex Stocks Adjusted for Value Vs Sensex

This portfolio allocates capital to Sensex stocks using the free float market capitalization weightage system employed by the Index, except that the weightage is adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index; though perhaps to a lesser degree than an equal weight value adjusted portfolio.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform.  Since the price weightage tweaked for value is employed, the under-performance during periods of exuberance and despair will be less compared with an equal weighted portfolio.

Equal Weighted Select Sensex Stocks Adjusted for Value Vs Sensex

This portfolio allocates capital to Select Sensex stocks Equal Weighting all stocks, except that the weights are adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks. The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

 In the long term I expect this portfolio to outperform the Index. However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform. When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform.

Equal Weighted Sensex Stocks Adjusted for Value Vs Sensex

This portfolio allocates capital to Sensex stocks Equal Weighting all stocks, except that the weights are adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform. 

Free Float Market Capitalization Weighted Select NIFTY Stocks Adjusted for Value Vs NIFTY

This portfolio allocates capital to SELECT NIFTY stocks using the free float market capitalization weightage system employed by the Index, except that the weightage is adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index; though perhaps to a lesser degree than an equal weight value adjusted portfolio.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform.  Since the price weightage tweaked for value is employed, the under-performance during periods of exuberance and despair will be less compared with an equal weighted portfolio.

Free Float Market Capitalization Weighted NIFTY Stocks Adjusted for Value Vs NIFTY

This portfolio allocates capital to NIFTY stocks using the free float market capitalization weightage system employed by the Index, except that the weightage is adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index; though perhaps to a lesser degree than an equal weight value adjusted portfolio.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform.  Since the price weightage tweaked for value is employed, the under-performance during periods of exuberance and despair will be less compared with an equal weighted portfolio.

Equal Weighted Select NIFTY Stocks Adjusted for Value Vs NIFTY

This portfolio allocates capital to SELECT NIFTY stocks Equal Weighting all stocks, except that the weights are adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks. The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

 In the long term I expect this portfolio to outperform the Index. However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform. When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform.

Equal Weighted NIFTY Stocks Adjusted for Value Vs NIFTY

This portfolio allocates capital to NIFTY stocks Equal Weighting all stocks, except that the weights are adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, valuation tends to under-perform growth; during such times this strategy may under-perform.

Price Weighted Dow Stocks Adjusted for Value Vs Dow

This portfolio allocates capital to DJIA stocks using the price weightage system employed by Dow, except that the weightage is adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index; though perhaps to a lesser degree than an equal weight value adjusted portfolio.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, value tends to under-perform growth; during such times this strategy may under-perform.  Since the price weightage tweaked for value is employed, the under-performance during periods of exuberance and despair will be less compared with an equal weighted portfolio.

Equal Weighted Dow Stocks Adjusted for Value Vs Dow

This portfolio allocates capital to DJIA stocks Equal Weighting all stocks, except that the weights are adjusted for value; the result is a slightly higher allocation to cheap stocks and a slightly lower allocation to expensive stocks.  The cheapness or expensiveness of stocks is determined using the Equity Risk Premium Model you will find on this blog for all US stocks and 52 Indian stocks which are listed on Sensex & NIFTY. 

In the long term I expect this portfolio to outperform the Index.  However, during bearish times, there is a tendency to ignore valuation and focus on defensive sectors; during such times this strategy may under-perform.  When markets have proceeded from bullish to very bullish, value tends to under-perform growth; during such times this strategy may under-perform.

Sector ETF Valuations

Below in this post, you can view the performance of Free Float Market Capitalization Weighted Sector ETF's Adjusted for Value Vs SPY.  

On the second tab, you can view the performance of Equal Weighted Sector ETF's Adjusted for Value Vs SPY.  

The next 11 tabs display Sector and SPY valuation using the equity risk premium model.  These valuations are based on Forward Year Earnings Estimates.

US: 13 Years of Real Terms SP500 Op Earnings Data

The data presented below displays earnings per share, 6 year median earnings per share and index high/low close data over the past 13 years in real terms (inflation adjusted). It also includes PE and cyclically adjusted PE ratios (PE6 is Price divided by 6 year median EPS) over the 13 year period.

Below in the table is a summary of 6 year (economic cycle) and the 10 year (Decade cycle) multiples at various percentile and average levels.  It displays the standard deviation for each of these cycles too.  It also displays indicative values, which reflect where the Index would need to trade to be at the various percentile and average levels over the past 6/10year cycles. And of course it also includes indicative levels for average/median + and - one standard deviation to allow an assessment of valuation risk. 

Right at the bottom of the spreadsheet, you will find a summary of index levels which could prevail one year from now; these levels price the index at forward four quarter earnings estimates multiplied by current multiples, average multiples, average plus 1 standard deviation multiples, average plus 2 standard deviation multiples, average minus 1 standard deviation multiples and average minus 2 standard deviations multiples.

US: 13 Years of Real Terms SP500 As Reported Data

The data presented below displays earnings per share, 6 year median earnings per share and index high/low close data over the past 13 years in real terms (inflation adjusted). It also includes PE and cyclically adjusted PE ratios (PE6 is Price divided by 6 year median EPS) over the 13 year period.

Below in the table is a summary of 6 year (economic cycle) and the 10 year (Decade cycle) multiples at various percentile and average levels.  It displays the standard deviation for each of these cycles too.  It also displays indicative values, which reflect where the Index would need to trade to be at the various percentile and average levels over the past 6/10year cycles. And of course it also includes indicative levels for average/median + and - one standard deviation to allow an assessment of valuation risk. 

Right at the bottom of the spreadsheet, you will find a summary of index levels which could prevail one year from now; these levels price the index at forward four quarter earnings estimates multiplied by current multiples, average multiples, average plus 1 standard deviation multiples, average plus 2 standard deviation multiples, average minus 1 standard deviation multiples and average minus 2 standard deviations multiples.

India: 13 Years of Real Terms Sensex Data

The data presented below displays earnings per share, 6 year median earnings per share and index high/low close data over the past 13 years in real terms (inflation adjusted). It also includes PE and cyclically adjusted PE ratios (PE6 is Price divided by 6 year median EPS) over the 13 year period.

Below in the table is a summary of 6 year (economic cycle) and the 10 year (Decade cycle) multiples at various percentile and average levels.  It displays the standard deviation for each of these cycles too.  It also displays indicative values, which reflect where the Index would need to trade to be at the various percentile and average levels over the past 6/10year cycles. And of course it also includes indicative levels for average/median + and - one standard deviation to allow an assessment of valuation risk. 

Right at the bottom of the spreadsheet, you will find a summary of index levels which could prevail one year from now; these levels price the index at forward four quarter earnings estimates multiplied by current multiples, average multiples, average plus 1 standard deviation multiples, average plus 2 standard deviation multiples, average minus 1 standard deviation multiples and average minus 2 standard deviations multiples.

US: 21 Years of Nominal SP500 Operating Earnings Data

The data presented below displays earnings per share, 6 year median earnings per share and index high/low close data over the past 21 years. It also includes PE and cyclically adjusted PE ratios (PE6 is Price divided by 6 year median EPS) over the 21 year period.

Below in the table is a summary of 6 year (economic cycle), 10 year (Decade cycle) and 21 year  (Secular Cycle) multiples at various percentile and average levels.  It displays the standard deviation for each of these cycles too.  It also displays indicative values, which reflect where the Index would need to trade to be at the various percentile and average levels over the past 6/10/21 year cycles. And of course it also includes indicative levels for average/median + and - one standard deviation to allow an assessment of valuation risk. 

Right at the bottom of the spreadsheet, you will find a summary of index levels which could prevail one year from now; these levels price the index at forward four quarter earnings estimates multiplied by current multiples, average multiples, average plus 1 standard deviation multiples, average plus 2 standard deviation multiples, average minus 1 standard deviation multiples and average minus 2 standard deviations multiples.

US: 21 Years of Nominal SP500 As Reported Data

The data presented below displays earnings per share, 6 year median earnings per share and index high/low close data over the past 21 years. It also includes PE and cyclically adjusted PE ratios (PE6 is Price divided by 6 year median EPS) over the 21 year period.

Below in the table is a summary of 6 year (economic cycle), 10 year (Decade cycle) and 21 year  (Secular Cycle) multiples at various percentile and average levels.  It displays the standard deviation for each of these cycles too.  It also displays indicative values, which reflect where the Index would need to trade to be at the various percentile and average levels over the past 6/10/21 year cycles. And of course it also includes indicative levels for average/median + and - one standard deviation to allow an assessment of valuation risk. 

Right at the bottom of the spreadsheet, you will find a summary of index levels which could prevail one year from now; these levels price the index at forward four quarter earnings estimates multiplied by current multiples, average multiples, average plus 1 standard deviation multiples, average plus 2 standard deviation multiples, average minus 1 standard deviation multiples and average minus 2 standard deviations multiples.

India: 21 Years of Nominal Sensex Data

The data presented below displays earnings per share, 6 year median earnings per share and index high/low close data over the past 21 years. It also includes PE and cyclically adjusted PE ratios (PE6 is Price divided by 6 year median EPS) over the 21 year period.

You will also see annualized earnings, median 6 year earnings & index price change percentage levels on the worksheet.

Below in the table is a summary of 6 year (economic cycle), 10 year (Decade cycle) and 21 year  (Secular Cycle) multiples at various percentile and average levels.  It displays the standard deviation for each of these cycles too.  It also displays indicative values, which reflect where the Index would need to trade to be at the various percentile and average levels over the past 6/10/21 year cycles. And of course it also includes indicative levels for average/median + and - one standard deviation to allow an assessment of valuation risk.  

Right at the bottom of the spreadsheet, you will find a summary of index levels which could prevail one year from now; these levels price the index at forward four quarter earnings estimates multiplied by current multiples, average multiples, average plus 1 standard deviation multiples, average plus 2 standard deviation multiples, average minus 1 standard deviation multiples and average minus 2 standard deviations multiples.

US: Summary Economic Data

The information set out below summarizes some key interest rates in government and corporate bond markets together with inflation and GDP growth data for US.  Its set out to facilitate a review of present levels  verses typical levels seen over the course of an economic cycle assuming an average duration of 6 years.  It also presents median plus and minus standard deviation levels in order to facilitate a ranking of the current cyclical risk.

India: Summary Economic Data

The information set out below summarizes some key interest rates in government and corporate bond markets together with inflation and GDP growth data for India.  Its set out to facilitate a review of present levels  verses typical levels seen over the course of an economic cycle assuming an average duration of 6 years.  It also presents median plus and minus standard deviation levels in order to facilitate a ranking of the current cyclical risk.

India & US: Summary Economic Data

The information set out below summarizes some key interest rates in government and corporate bond markets together with inflation and GDP growth data.  Its set out to facilitate a review of present levels  verses decade averages.

US: Equity Risk Premium Valuation Model

This is a simple model which aims to value US listed stocks using equity risk premiums. The model provides a range of valuations based on a market environment ranging from exuberance (Exit Value) to despair (Bottom Fishing Value).

And yes, you can input stock symbols on the model to get a view on most US listed stocks.  And you can over ride the consensus EPS estimate to generate a value based on your perception of forward EPS.

Once you have amended data, if you want to check another stock, or if you want to revisit using alternative or default numbers, you will first need to refresh the web page.

India: Foreign Investor Equity Risk Premium Valuation Model

This is a simple model which aims to value Sensex & NIFTY stocks using equity risk premiums. The model provides a range of valuations based on a market environment ranging from exuberance (Exit Value) to despair (Bottom Fishing Value).

And yes, you can input stock symbols on the model to get a view on most Sensex & NIFTY stocks.   And you can over ride the consensus EPS estimate to generate a value based on your perception of forward EPS.

Once you have amended data, if you want to check another stock, or if you want to revisit using alternative or default numbers, you will first need to refresh the web page.

The perspective presented is for International Investors; the perspective for domestic investors is shown in a separate post.

India: Domestic Investor Equity Risk Premium Valuation Model

This is a simple model which aims to value Sensex & NIFTY stocks using equity risk premiums. The model provides a range of valuations based on a market environment ranging from exuberance (Exit Value) to despair (Bottom Fishing Value).

And yes, you can input stock symbols on the model to get a view on most Sensex & NIFTY stocks.   And you can over ride the consensus EPS estimate to generate a value based on your perception of forward EPS.

Once you have amended data, if you want to check another stock, or if you want to revisit using alternative or default numbers, you will first need to refresh the web page.

The perspective presented is for Domestic Investors; the perspective for international investors is shown in a separate post.