PT - JOURNAL ARTICLE AU - Wesley R. Gray AU - Jack Vogel TI - Analyzing Valuation Measures: <em>A Performance</em> <br/> <em>Horse Race over the Past 40 Years</em> AID - 10.3905/jpm.2012.39.1.112 DP - 2012 Oct 31 TA - The Journal of Portfolio Management PG - 112--121 VI - 39 IP - 1 4099 - https://pm-research.com/content/39/1/112.short 4100 - https://pm-research.com/content/39/1/112.full AB - 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