US Equity Strategy: Strategy Data Pack – May 2026

Research evidence excerpt

US Equity Strategy: Strategy Data Pack – May 2026

M O R G A N S T A N L E Y R E S E A R C H

May 14, 2026

US Equity Strategy

Return Dispersion is on the Rise in 2026

Return Dispersion Has Risen in 2026 Estimate Dispersion Has Also Ticked Higher in 2026

Return Dispersion (Rolling 12 Mo.) EarningsEstimateEstimateEstimateEstimateDispersionDispersionDispersionDispersion(Rolling(Rolling(Rolling(Rolling121212 Mo.)Mo.)Mo.)12 Mo.) Return 12% Dispersion (Rolling 12 Mo.) 5.5%5.5%5.5%5.5% Term 12% Long Long Term

11% 5.0% 11% 4.5%4.5%4.5% 4.5% 10%10% FinancialFinancialFinancial CrisisCrisisCrisis

Long-termLong-term 3.5%3.5%3.5%4.0% 9%9% AverageAverage= 7%= 7% 3.5%

8%8% 2.5%2.5%2.5%3.0%

7%7% 2.5% LongLongLong TermTermTerm AverageAverageAverage === 3.2%3.2%3.2%

1.5%1.5%1.5% 2.0% 6%6%

1.5% 5%5% 0.5%0.5%0.5% 1.0%

4%4% -0.5%-0.5%-0.5%197719771977 198119811981 198519851985 198919891989 199319931993 199719971997 200120012001 200520052005200920092009201320132013201720172017202120212021 1974 1980 1986 1992 1998 2004 2010 2016 2022 1974 1980 1986 1992 1998 2004 2010 2016 2022

Book-to-Price Dispersion Below Median Earnings Yield Dispersion Falling as Valuations Rise

EarningsEarningsEarningsEarningsYieldYieldYieldYieldDispersionDispersionDispersionDispersion(Rolling(Rolling(Rolling(Rolling12121212Mo.)Mo.)Mo.)Mo.) Book-to-PriceBook-to-PriceBook-to-PriceBook-to-PriceDispersionDispersionDispersionDispersion(Rolling(Rolling(Rolling(Rolling12121212Mo.)Mo.)Mo.)Mo.) 12%12%12%12% 71%71%71%71%

11%11%11%11% FinancialFinancialFinancialFinancial

61%61%61%61% 10%10%10%10% CrisisCrisisCrisisCrisis

9%9%9%9% 51%51%51%51%

8%8%8%8%

41%41%41%41% 7%7%7%7%

6%6%6%6%

31%31%31%31% LongLongLongLongTemTemTemTemAverageAverageAverageAverage==== 5%5%5%5% LongLongLongLong TermTermTermTerm