Founder Evidente. Top rated quantitative analyst, Evidente

Sam Ferraro

Founder Evidente. Top rated quantitative analyst

Evidente

Evidente is an independent financial education firm that delivers innovative financial advice to wholesale investors, including active long only funds, hedge funds, pension funds, and sovereign wealth funds, in Australia and globally.  Drawing on academic research in asset pricing, behavioural finance and portfolio construction, Evidente provides wholesale investors with commercial solutions to stock selection and asset allocation decisions across equities and other asset classes.

Thematic (Sector/Industry)

United states / Thematic (Sector/Industry)

Evidente launches Risk Reckoner - a new research product designed to offer insights into risk and portfolio construction matters for both asset allocators and stock pickers.  In the inaugural issue, I dissect the stretched multiples that the S&amp;P500 is trading on. Rather than relying on the framework free Cyclically Adjusted PE (CAPE), I draw on valuation theory to build a  model to assist in predicting the S&amp;P500 price to book ratio.  The best performing model - which includes profitability, long term growth estimates and return volatility - suggests that the market book multiple is not particularly stretched, contrary to conventional wisdom.But the sustainability of a book multiple for the S&amp;P500 that is just shy of 3 times (high by historical standards) hinges on the persistence of high long term growth prospects, continued subdued volatility conditions and leverage in the financial sector remaining low by historical standards.  A reversal of any of these factors - particularly if bank CEOs seek to appease shareholders by lifting corporate payout policies - could trigger renewed multiple contraction.

Evidente launches Risk Reckoner - a new research product designed to offer insights into risk and portfolio construction matters for both asset allocators and stock pickers.  In the inaugural issue, I dissect the stretched multiples that the S&amp;P500 is trading on. Rather than relying on the framework free Cyclically Adjusted PE (CAPE), I draw on valuation theory to build a  model to assist in predicting the S&amp;P500 price to book ratio.  The best performing model - which includes profitability, long term growth estimates and return volatility - suggests that the market book multiple is not particularly stretched, contrary to conventional wisdom.But the sustainability of a book multiple for the S&amp;P500 that is just shy of 3 times (high by historical standards) hinges on the persistence of high long term growth prospects, continued subdued volatility conditions and leverage in the financial sector remaining low by historical standards.  A reversal of any of these factors - particularly if bank CEOs seek to appease shareholders by lifting corporate payout policies - could trigger renewed multiple contraction.

Risk Reckoner - Are Rumours of Irrational Exuberance in US Stock Markets Greatly Exaggerated?