My buds Wes Gray and Jack Vogel just put out a killer new paper where they asked the above question. The simple answer is “yes it does”.
The more interesting answer is 1) there are other cyclically adjusted measures that work better and 2) there is some other factor (you know I like) that reaaaalllly gets the returns flowing. Our friends at O’Shaughnessy should like this one too.
Enjoy! (and if you email Wes please shame him for canceling on our Morningstar panel at the ETF conference next week!)
“On the Performance of Cyclically Adjusted Performance Measures”
Below is a summary of the 20 cheapest S&P500 companies with positive values CAPES all under 10 from CAPERatio.com:
| LyondellBasell Industries NV | LYB | Basic Industries | Major Chemicals |
| Cliffs Natural Resources Inc | CLF | Basic Industries | Precious Metals |
| Citigroup Inc | C | Finance | Major Banks |
| General Motors Company | GM | Capital Goods | Auto Manufacturing |
| United States Steel Corporation | X | Basic Industries | Steel/Iron Ore |
| J.C. Penney Company, Inc. | JCP | Consumer Services | Department/Specialty Retail Stores |
| Bank of America Corp | BAC | Finance | Major Banks |
| Apollo Group Inc | APOL | ||
| Alcoa Inc | AA | Capital Goods | Metal Fabrications |
| Pitney Bowes Inc. | PBI | Miscellaneous | Office Equipment/Supplies/Services |
| Franklin Resources, Inc. | BEN | Finance | Investment Managers |
| Morgan Stanley | MS | Finance | Investment Bankers/Brokers/Service |
| Marathon Oil Corporation | MRO | Energy | Oil & Gas Production |
| Valero Energy Corporation | VLO | Energy | Integrated oil Companies |
| Frontier Communications Corp | FTR | Public Utilities | Telecommunications Equipment |
| Altria Group Inc | MO | Consumer Non-Durables | Farming/Seeds/Milling |
| Exelon Corporation | EXC | Public Utilities | Power Generation |
| Dell Inc. | DELL | Technology | Computer Manufacturing |
| SunTrust Banks, Inc. | STI | Finance | Major Banks |
| Peabody Energy Corporation | BTU | Energy | Coal Mining |
PS this is another wonderful resource from Wes at his Turnkey Analyst site…sort of like the FF data resource…
