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Where to find P/E history for various styles/sectors?
Old 08-13-2007, 09:41 AM   #1
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Where to find P/E history for various styles/sectors?

Anybody know of a (preferably free) source of info on historic P/E ratios (or other valuation metrics) for different segments of the market? E.g. Small Cap Value, Emerging, REIT, etc... The longer the history the better. I found lots of bits and pieces of info on the web, but nothing close to a complete picture.

The main reason I'm interested in this is because the very nice AA backtesting spreadsheet they have on Diehards shows that mixing relatively small amount of very aggressive classes (like the previously mentioned SCV, Emerging, REITs) with large helping of extremely conservative ones (2yr Treasuries) gives very high returns with exceptionally low volatility backtested 1972-2006. For example, 10/10/20/60 SCV/REIT/Emerging/2yr Treasuries gives 12.08% CAGR with 8.04% St.Dev. with only 5 down years in '72-'06 and the worst of the down years being less than 4% off. Compare that against the traditional 60/40 TSM/Total Bond for the same period: 10.29% CAGR, 11.20% St.Dev., 8 down years, worst down is more than 13% off.

So I am curious as to how the current P/Es in those aggressive sectors compare to historic ones. If they are in the same general range then the backtested results are much too impressive to write off completely IMO. I suspect REIT P/Es are way higher than historic average and SCV and Emerging are probably on the high side too, but would like to see hard data. Thanks
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Old 08-13-2007, 07:41 PM   #2
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Good question and would like to see a data source too. S&P/Barra use to provide this sort of data on sectors but seems to have pulled it from free circulation. For REITS you could check out several individual REITS in Value Line at your library. VL gives 15 yr data on P/E, yields, etc. Also some REIT data here: NAREIT: Data Library - Domestic Index Data: Historical Index Data


P.S. Just my opinion but investing in the hot sectors of recent past SCV/REIT/EM as primary components of your portfolio is bad idea. I don't have anything directly in SCV or REITs and only some EM in general international funds -- but that's me.
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Old 08-13-2007, 09:40 PM   #3
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Thanks, Les.

NAREIT data has dividend yield history which should closely reflect P/E (right?) and that shows current ~5% yield vs. historic average over 8%. Though specifically mortgage REITs (ETF: REM) yield is probably close to 14% now vs. 11% historic average. I couldn't find valuation metrics on VL or Barra/S&P, besides the usual price charts.

I agree about chasing recent hot sectors in general, but in the long run both emerging and small cap I think can be reasonably expected to deliver both high returns and very high volatility. I'm less sure about REITs, especially given the current valuations. What impressed me with that backtested portfolio is how the mix of a little emerging/SCV with a lot of short-term treasuries manages to deliver high returns while maintaining very low volatility. It blows ALL other recommended portfolios I've seen out of the water for '72-'06. If there's such a thing as holy grail of backtested investing, this is it. I know, I know, past performance is no indicator...
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