Equity quant models update: Sectors & Styles – Relevant Signals

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.

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

RELATED INSIGHTS

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
Listen to the dedicated Podcast by Vincent Chaigneau, Head of Research, on our view on the economic recovery, new behaviours in the aftermath of the pandemic and the unique opportunities for a European fiscal and political integration.
PODCAST:
LIFE AFTER COVID -
THE LDI VIEW
Listen to the dedicated Podcast by Vincent Chaigneau, Head of Research, on our view on the economic recovery, new behaviours in the aftermath of the pandemic and the unique opportunities for a European fiscal and political integration.