Quant signals for EU equity sectors and styles

The amount of available information has never been so large and the effort required to analyze all the investment opportunities entails prohibitive costs. As a result, it has become a common practice to apply first a top-down approach in determining the most promising regions or areas in a given market.

Highlights:

  • We introduce our proprietary equity valuation tool which provides indications of over- or undervaluation for different sectors and styles of European equities.
  • The regression-based models use macro and financial variables to provide fair value estimates of the ratio between the MSCI Europe Sector/Style index and the broad MSCI Europe index.
  • Each model is back-tested to ensure the viability of the derived buy/sell strategies. We analyzed the relative performance of each sector/style at different levels of over and undervaluation and over different time spans (1, 3, 6 and 12 months). Generally, the models have the best performance in the 6 to 12 month horizon.
  • Currently, financials, telecommunications, energy and utilities look undervalued while industrials, materials and IT appear overvalued. Among the European equity styles, undervaluation is indicated for value, small cap and large cap value while growth, cyclicals, low leverage and large cap stocks look too expensive.

Read the full publication below.

QUANT SIGNALS FOR
EU EQUITY SECTORS
AND STYLES

RELATED INSIGHTS

COVID-19 FACTS & FIGURES
The World Bank is launching a $4 billion financing platform aimed at boosting the production and supply of critical healthcare products in developing countries.
GLOBAL VIEW – ENJOY SUMMER WHILE IT LASTS
As lockdowns have been lifted and global activity rebounded from the Q2 nadir, hopes of a strong recovery have helped risk assets advance further over July.
Generali Investments among preferred asset managers brands in Europe
We are pleased to share with you the outcome of the first survey on “Preferred Asset Management Firms by European fund selectors” run by Cerulli Associates, in which Generali Investments ranked #11.