monthly chart pack - orionportfoliosolutions.com...2 | cls investments monthly chart pack february...

Monthly Chart Pack•••STARTING POINTS MATTERFebruary 2020

2 | CLS Investments Monthly Chart Pack February 2020

All valuations, with the exception of factors, consist of a composite of P/E, P/B, P/S, and P/C

The grey line in the center is the long-term average relative valuation and the green lines represent one standard deviation

away from the average.

Sectors are MSCI USA Sectors relative to the CRSP U.S. Total Market Index

Communication Services sector is represented by an S&P 500 Index

STYLES & SIZES Growth and Value are Russell 3000 indices (full-market growth/value)

S&P 100 (Mega), S&P 500 (Large), CRSP U.S. Mid-Cap (Mid), and CRSP U.S. Small-Cap (Small) are all relative to the CRSP

U.S. Total Market Index

FACTORS Valuations consist of a composite of P/B and P/C

Global Factors are MSCI ACWI Factors relative to MSCI ACWI Index

GLOBAL U.S. Market = CRSP U.S. Total Market Index

World = MSCI ACWI

Developed = MSCI EAFE

Emerging = MSCI EM

REGIONS Developed regions are relative to MSCI ACWI

Emerging regions are relative to MSCI EM

In certain instances if index data is unavailable, ETFs are used (marked with *).


CyclicalRelative Valuation

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1960%

70%

80%

90%

100%

110%

120%130%140%

93%

105%

116%

Basic Materials/U.S. Market*Current: 78%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1960%

70%

80%

90%

100%110%120%130%140%150%

90%

107%

124%

Consumer Discretionary/U.S. Market*Current: 136%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1960%

70%

80%

90%

100%

110%

120%

74%

83%

92%

Financials/U.S. Market*Current: 69%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

100%

150%

200%

250%300%350%

146%

202%

258%

Real Estate/U.S. Market*Current: 160%

*ETFs used where index data is unavailable


SensitiveRelative Valuation

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1980%

90%

100%

110%

120%

130%

140%

150%160%

103%

117%

130%

Communication Services/U.S. Market*Current: 113%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1985%

90%

95%

100%

105%

110%115%120%125%130%

107%

113%119%

Industrials/U.S. Market*Current: 115%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

60%

70%

80%

90%100%110%120%130%140%

75%

89%

103%

Energy/U.S. Market*Current: 52%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19120%

130%

140%

150%160%170%180%190%200%210%220%

140%

156%

171%

Technology/U.S. Market*Current: 187%



DefensiveRelative Valuation

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19100%

110%

120%

130%

140%

150%

160%

170%

116%

127%

138%

Consumer Staples/U.S. Market*Current: 121%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1980%

100%

120%

140%

160%180%200%220%240%260%

109%

138%

167%

Healthcare/U.S. Market*Current: 113%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1940%

50%

60%

70%

80%90%

100%110%120%130%

69%

83%

97%

Utilities/U.S. Market*Current: 103%



StyleRelative Valuation

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1935%

40%

45%

50%

55%

60%

65%70%

53%

57%62%

Value/Growth*Current: 46%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1970%

72%

74%

76%

78%

80%

82%

84%

86%

76%

79%

81%

Value/U.S. Market*Current: 72%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19120%

130%

140%

150%

160%

170%180%190%200%

134%

143%

152%

Growth/U.S. Market*Current: 163%



SizeRelative Valuation

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1995%

100%

105%

110%

115%

120%125%130%135%140%145%

101%

111%

121%

Mega-Cap/U.S. Market*Current: 112%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1995%

100%

105%

110%

115%

120%

125%

130%

101%

106%

112%

Large-Cap/U.S. Market*Current: 105%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1975%

80%

85%

90%

95%

100%

105%

110%

90%

97%

104%

Mid-Cap/U.S. Market*Current: 93%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

60%

70%

80%

90%

100%

110%

79%

88%

98%

Small-Cap/U.S. Market*Current: 77%



FactorsRelative Valuation

93%

102%

84%

81%

65%

75%

85%

95%

105%

Global Size/WorldCurrent:

130%

153%

107%

158%

80%

100%

120%

140%

160%

180%

200%

Global Momentum/WorldCurrent:

74%

80%

68%

59%

55%

60%

65%

70%

75%

80%

85%

90%

Global Value/WorldCurrent:


161%

179%

144%

219%

130%

140%

150%

160%

170%

180%

190%

200%

210%

220%

Global Quality/WorldCurrent:

111%

122%

100%

106%

80%

90%

100%

110%

120%

130%

140%

Global Min Vol/WorldCurrent:

FactorsRelative Valuation


'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

60%

70%

80%

90%

100%

110%120%130%

69%

84%

99%

Emerging Markets/WorldCurrent: 74%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19

75%

80%

85%

90%

95%

82%

86%

90%

Developed International/WorldCurrent: 76%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1990%

100%

110%

120%

130%140%150%160%170%180%

115%

130%

146%

U.S./International*Current: 167%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1990%

95%

100%

105%

110%

115%

120%125%130%

104%

111%

118%

U.S./World*Current: 125%


GlobalRelative Valuation


'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1970%

80%

90%

100%

110%

120%130%140%150%

90%

105%

120%

Canada/WorldCurrent: 78%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1965%

70%

75%

80%

85%

90%

95%

100%

73%

78%

82%

Eurozone/WorldCurrent: 73%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1990%

100%

110%

120%

130%

140%

150%

103%

116%

129%

Pacific (Ex Japan)/WorldCurrent: 101%

RegionRelative Valuation


'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1960%

70%

80%

90%

100%

110%

120%

84%

92%

100%

United Kingdom/WorldCurrent: 68%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

60%

70%

80%

90%

100%

110%

65%

74%

83%

Japan/WorldCurrent: 66%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1970%

80%

90%

100%

110%

120%

130%

140%

99%

108%117%

Latin America/EmergingCurrent: 109%



'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1985%

90%

95%

100%

105%

110%

115%

95%

100%

104%

Emerging Asia/EmergingCurrent: 102%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

60%

70%

80%

90%

100%110%120%130%140%

63%

81%

100%

Emerging Europe/EmergingCurrent: 61%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19100%

120%

140%

160%

180%

200%

220%240%260%

127%

152%

177%

Middle East/EmergingCurrent: 144%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1980%

90%

100%

110%

120%

130%

140%150%160%170%

110%

122%

135%

Africa/EmergingCurrent: 102%



'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1960%

70%

80%

90%

100%110%120%130%140%150%

80%

98%

116%

Emerging/EuropeCurrent: 93%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

100%

150%

200%

250%

300%

77%

104%

131%

Asia/EuropeCurrent: 91%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1950%

60%

70%

80%

90%100%110%120%130%

60%

77%

93%

Emerging Markets/U.S. Market*Current: 60%

'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '1960%

65%

70%

75%

80%

85%90%95%

100%105%110%

71%

79%

88%

Developed International/U.S. Market*Current: 64%



All charts and graphs are presented for informational and analytical purposes only. No chart or graph is intended to be used as a guide to investing. Information contained herein is derived from sources we believe to be reliable, however, we do not represent that this information is complete or accurate and it should not be relied upon as such. This information is prepared for general information only. It does not have regard to the specific investment objectives, financial situation and the particular needs of any specific person who may receive this report. You should seek financial advice regarding the appropriateness of investing in any security or investment strategy discussed or recommended in this report and should understand that statements regarding future prospects may not be realized. You should note that security values may fluctuate and that each security’s price or value may rise or fall. Accordingly, investors may receive back less than originally invested. Investing in any security involves certain systematic risks including, but not limited to, market risk, interest-rate risk, inflation risk, and event risk. These risks are in addition to any unsystematic risks associated with particular investment styles or strategies. The graphs and charts contained in this work are for informational purposes only. No graph or chart should be regarded as a guide to investing.

CLS calculates the relative valuations consisting of a composite of the price-to-earnings ratio (P/E), price-to-book ratio (P/B), price-to-sales ratio (P/S), price to cash flow ratio (P/CF), and the price-to-dividend ratio (P/D). The price-to-earnings ratio is a valuation method obtained by dividing the market value per share by the earnings per share. The price-to-book ratio is used to compare a stocks’ market value to its book value by dividing the current closing price of the stock by the latest quarter’s book value per share. The price-to-sales ratio is a valuation metric for stocks calculated by dividing the company’s market cap by the revenue in the most recent year; or, equivalently, divide the per-share stock price by the per-share revenue. The price/cash flow ratio (also called price-to-cash flow ratio or P/CF), is a ratio used to compare a company’s market value to its cash flow. The price-to-dividend ratio shows how much a company pays out in dividends each year relative to its share price by dividing the annual dividends per share by the price per share.

The Russell 3000 Index is an unmanaged index considered representative of the U.S. stock market. The index is composed of the 3,000 largest U.S. stocks. The S&P 500 Index is an unmanaged composite of 500-large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks. The S&P 100, a subset of the S&P 500, includes leading U.S. stocks with exchange-listed options. The stocks in the S&P 100 tend to be the largest and most established companies in the S&P 500. The CRSP US Mid Cap Index targets inclusion of the U.S. companies that fall between the top 70%-85% of investable market capitalization. The CRSP US Small Cap Index includes U.S. companies that fall between the bottom 2%-15% of the investable market capitalization. Nearly 4,000 constituents across mega, large, small and micro capitalizations, representing nearly 100% of the U.S. investable equity market, comprise the CRSP US Total Market Index. The MSCI All-Countries World Index, excluding U.S. (MSCI ACWI ex US) is an index considered representative of stock markets of developed and emerging markets, excluding those of the U.S. The MSCI EAFE Index is a composite index which tracks performance of international equity securities in 21 developed countries in Europe, Australia, Asia, and the Far East. The MSCI Emerging Markets (or EM) Index is a composite index which tracks performance of large and mid-cap firms across 21 countries classified as emerging market countries. An index is an unmanaged group of stocks considered to be representative of different segments of the stock market in general. You cannot invest directly in an index.

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