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Strategies & Market Trends : Value Investing -- Ignore unavailable to you. Want to Upgrade?

To: jeffbas who wrote (3817)	4/13/1998 1:04:00 AM
From: Shane M	Read Replies (2) \| Respond to of 78667

Jeff, I'm going to try and post the data on PE's below. Hope it's not too ugly. The data has been analyzed as follows. Using AAII Stock Investor data. Reduced the dataset to stocks with a price change for Y1/Y2 where Y1 and Y2 represent the most recent two complete fiscal years in the database. From this I threw out all stocks with a Y2 market cap of $35 million or below (primarily threw these out because I don't invest in companies much smaller than this.) Then I restricted the data to stocks with a positive PE in Y2. All of these restrictions produced a dataset of 2918 stocks. The data has been broken down into strata of Y2 PE, and 12mm Sales Per Share change at Y2. Price change is measured as Y1/Y2 (12 months into the future). There are four tables: Average Price Change (Y1/Y2), Median Price Change (Y1/Y2), Group counts (number of stocks in each grouping), and the win percentage (percent of stocks in each category that went up in price (y1/y2). You'll notice the "sweet spot" of above average returns right in the center of the grid. I know there are alot of numbers, so I'm just going to post these so you can see them and digest. If anything about the grids is unclear (and I'm sure there's something) let me know and I'll try to explain. Shane Sales/Share Chg Low -100 -10 0 5 10 20 30+ High -10 0 5 10 20 30 Total Average Price Chg PE 0 to 8 4 11 -6 28 29 7 24 16 8 to 10 67 15 30 29 8 32 11 22 10 to 12 4 52 26 12 32 24 23 27 12 to 14 4 24 26 22 41 31 4 25 14 to 16 11 19 30 25 25 9 15 22 16 to 18 43 9 40 26 24 7 19 24 18 to 20 8 21 32 23 25 14 13 22 20 to 22 31 19 22 19 28 20 16 22 22 to 25 14 13 15 13 19 14 8 14 25 to 29 5 11 13 25 29 13 0 17 29 to 34 14 23 10 35 17 15 9 16 34 to 45 28 24 1 22 17 13 15 17 45+ 15 -1 20 20 12 10 0 8 Avg 19 18 20 23 23 16 12 19 Sales/Share Chg Low -100 -10 0 5 10 20 30+ High -10 0 5 10 20 30 Total PE MEDIAN PRICE CHANGE 0 to 8 1 -4 -9 16 26 3 2 6 8 to 10 74 23 21 30 11 19 2 15 10 to 12 6 22 27 11 25 22 19 22 12 to 14 -10 26 21 21 33 20 3 22 14 to 16 27 23 25 25 25 13 11 23 16 to 18 24 9 34 24 20 17 21 22 18 to 20 20 14 33 22 22 9 16 20 20 to 22 13 12 26 15 28 22 10 19 22 to 25 27 8 7 10 25 20 7 12 25 to 29 2 9 2 14 33 18 -5 13 29 to 34 5 8 10 31 14 12 1 13 34 to 45 16 16 -8 18 12 8 15 13 45+ 16 -6 18 11 2 3 -11 4 Avg 17 12 16 19 21 14 7 16 Sales/Share Chg Low -100 -10 0 5 10 20 30+ High -10 0 5 10 20 30 Total PE WIN PERCENTAGES 0 to 8 50 44 42 78 73 55 50 58 8 to 10 67 69 63 83 62 86 50 67 10 to 12 67 83 81 66 74 74 62 73 12 to 14 50 96 88 84 85 68 58 80 14 to 16 60 82 94 82 79 68 59 78 16 to 18 73 67 93 82 72 62 62 74 18 to 20 71 70 84 82 78 72 63 76 20 to 22 100 73 73 80 75 83 63 75 22 to 25 67 79 65 70 67 64 53 65 25 to 29 57 61 57 79 73 55 39 63 29 to 34 54 54 64 91 67 64 50 63 34 to 45 63 77 47 73 58 53 56 60 45+ 67 43 67 70 54 55 45 54 Avg 65 69 70 78 71 66 55 68 Sales/Share Chg Low -100 -10 0 5 10 20 30+ High -10 0 5 10 20 30 Total PE GROUPING COUNTS 0 to 8 12 18 12 18 30 31 32 153 8 to 10 6 13 24 12 29 22 26 132 10 to 12 9 29 31 29 47 23 34 202 12 to 14 10 26 33 56 60 28 31 244 14 to 16 10 28 47 45 57 31 34 252 16 to 18 15 18 28 55 54 26 26 222 18 to 20 7 23 31 33 60 25 24 203 20 to 22 5 22 26 40 59 24 35 211 22 to 25 9 14 17 33 52 28 32 185 25 to 29 7 18 14 34 52 29 33 187 29 to 34 13 13 22 23 46 36 50 203 34 to 45 16 26 19 22 52 36 50 221 45+ 51 61 39 44 79 64 164 502 170 309 343 444 677 403 571 2917