July 15, 2020

INCORPORATING QUANT SIGNALS INTO EU EQUITY SECTOR AND STYLE STRATEGY

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In Short

At the end of 2019 we published the Focal Point “Quant signals for EU equity sectors and styles” where we introduced our proprietary equity valuation tool to yield indications of over- or undervaluation for different sectors and styles of European equities. The regression-based models use macro- and financial variables to produce fair value estimates of the ratio between the MSCI Europe Sector/Style index and the broad MSCI Europe index.
INCORPORATING QUANT SIGNALS INTO EU EQUITY SECTOR AND STYLE STRATEGY
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Highlights:

  • We present an update of our proprietary equity valuation tool, based on quant models, which provides indications of over- or undervaluation for different sectors and styles of European equities.
  • Currently, among European equity sectors, financials, industrials, energy, staples and automobiles look undervalued while health care, utilities, materials and software appear overvalued.
  • Among European equity styles, undervaluation is indicated for large cap value and small cap while growth, value, quality, momentum, large cap and small cap growth look expensive.
  • That said, incorporating non-quant signals from our analyses, we recommend to overweight insurance, div. financials, media, telecoms and capital goods. Underweight durables, transportation, real estate, commercial & professional services and momentum.

Download the full publication below

INCORPORATING QUANT SIGNALS INTO EU EQUITY SECTOR AND STYLE STRATEGY

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