We examine the relative forecast accuracy of expected returns for individual stocks sourced from analyst target prices, earnings per share estimates, management forecasts, earnings yields, stock yields, historical averages and the random walk model. In doing so, we avoid the use of predictive regressions. The most accurate estimate of the realized time series is provided by consensus (median) target prices, a forecast that has received little attention empirically. The return proxy is best for approximately 60% of the S&P 500 firms, offering valuations that are direct and subject to well-defined forecast horizons. Future studies should consider its use.