Nouvelles et Publications

28-01-22

The year ahead - a brief recap of consensus expectations

December and January are the months of investment outlooks. So we skimmed read quite a few 'year ahead' publications, summarised them and are now looking forward to reviewing this article again in 11 months. Generally, we note a surprisingly and somewhat concerningly strong consensus on the 2022 path of the world economy and its implications for equities and limited dispersion in the views on sectors and styles.

04-01-22

The Shiller PE at 40x - A look in the rear mirror

The Shiller P/E has long been advertised as a superior valuation measure. Now, this proliferate indicator has surpassed the psychologically important mark of 40x and is close to its last all-time high reached during the Dotcom bubble. Our article investigates what share buybacks may have to do with the structurally higher Shiller P/E observed since the turn of the century and what current levels imply for expected equity returns.

08-12-21

How justified are the record PE spreads in equity markets

Forward-looking aggregate equity market valuations, at least in Europe, still don't look excessive. However, under the hood, parts of the universe have experienced massive multiples expansion and are now more expensive than during the Dotcom bubble. At the same time, the cheaper stocks are as cheap as ever. Our study shows that this phenomenon is more broad-based than anecdotal evidence indicates, and we find it increasingly concerning.

30-11-21

Are value stocks a good inflation hedge?

Value stocks are assumed to have a shorter duration than growth stocks and are therefore expected to outperform during times of rising interest rates. Unfortunately, in practice, those correlations tend to be very noisy and less predictable than often presumed. In this article, we study the empirical relationship between the relative performance of the factor and changes in interest rates, inflation, and economic activity in the United States since the 80s.