TY - JOUR T1 - Analyzing Valuation Measures: <em>A Performance</em> <br/> <em>Horse Race over the Past 40 Years</em> JF - The Journal of Portfolio Management SP - 112 LP - 121 DO - 10.3905/jpm.2012.39.1.112 VL - 39 IS - 1 AU - Wesley R. Gray AU - Jack Vogel Y1 - 2012/10/31 UR - https://pm-research.com/content/39/1/112.abstract N2 - In this article, the authors compare the investment performance of portfolios sorted on different valuation measures. They find that EBITDA/TEV has been the best performing metric, historically, and outperforms many investor favorites, such as price-to-earnings ratio, free cash flow to total enterprise value, and book-to-market ratio. The authors also explore the investment potential of long-term valuation ratios, which replace one-year earnings with an average of long-term earnings. They find that in contrast to prior empirical work, long-term ratios add little investment value over standard one-year valuation metrics.TOPICS: Portfolio construction, portfolio theory, statistical methods ER -