October 1, 2019

Equity quant models update: Sectors & Styles – Relevant Signals

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In Short

Over the past months we developed a set of regression models to obtain indications of relative over- or undervaluation of each European equity sector and equity style vs the broad European index.
Equity quant models update: Sectors & Styles – Relevant Signals
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Highlights:

  • The in-house macro-based regression models are set up to provide indications of over- or undervaluation of the underlying index vs the broad European index. These represent a useful tool, complementing a more qualitative assessment and bottom-up analysis.
  • Among the European equity sectors: financials, health care, energy and utilities look undervalued while industrials, materials and information technology look overvalued.
  • Among the European equity styles: value is undervalued and growth is overvalued. Large cap as a whole appears to be overvalued, while its value subcomponent is still undervalued. Similarly, small caps look undervalued, with the exception of its growth subcomponent which looks fairly valued.

Download the full publication below

EQUITY QUANT MODELS
UPDATE: SECTORS & STYLES – RELEVANT SIGNALS

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