After VAR Models Do's and Don'ts, A Zero Phase Shift Band Pass Filter, Asset Classes and Business Cycles, Estimating Liquidity Risk Premia and Why Private Markets, a sixth such presentation from 2014 analyzes how information in Price Earnings (PE) ratios can be used to forecasts equity returns.
It does so by providing a literature overview, a business cycle analysis of PE ratios and by back-testing equity return forecasts with and without the information from PE ratios. One important finding is that PE ratios do not seem to provide much additional information relative to the information obtained from the frequency domain methodology that powers our Economic Scenario Generator (ESG) model
With PE ratios on the rise for most of the time since 2010, also today it is very relevant to know what current PE levels can tell us about current expected equity returns. We are happy to share some of our learnings on PE ratios and expected returns with you.
Learn more about our Economic Scenario Generator (ESG) models.
Related Insights
-
18 December 2024Climate change could erode Canadian pension fund returns by 44%Ortec Finance releases inaugural Canada pension fund climate risk report, analyzing the average portfolio allocation of the Top 30 pension funds in Canada by AUM
-
.png?w=576&hash=ACDB68A89AC45F798869837DDC9018AE)
17 December 2024Climate risk assessment – Top 30 Canadian pension fundsDiscover how climate change impacts the top 30 Canadian pension funds through an analysis of their climate risk exposure, using Ortec Finance Climate Scenarios.
-
17 December 2024Assessing the climate risk exposure of pension funds and insurance companies worldwideAccess a series of Ortec Finance reports to examine how climate risk exposure and resilience vary among pension funds and insurance companies worldwide
-
17 December 2024PRESS RELEASE: US pension plans report possibility of increasing contributions despite improved funded status8% of pension plan managers say their funded status has improved over the past year, study shows
-
16 December 2024Climate risk assessment – Top 30 US pension fundsDiscover how climate change impacts the US pension fund industry through an analysis of their climate risk exposure, using Ortec Finance Climate Scenarios
-
16 December 2024US pension funds most sensitive to climate changeOrtec Finance releases inaugural US pension fund climate risk report, analyzing the average portfolio allocation of the Top 30 pension funds in the US by AUM
-
11 December 2024Climate risk assessment – Top 30 UK pension fundsDiscover how climate change impacts the top 30 UK pension funds through an analysis of their climate risk exposure, using Ortec Finance Climate Scenarios.
-
11 December 2024UK pension fund investment returns could reduce by 30% in a high warming stress scenarioOrtec Finance releases inaugural UK pension fund climate risk report, analyzing the average portfolio allocation from the Top 30 pension funds by AUM
-
09 December 2024Climate risk assessment – European pension fundsLearn how climate change impacts European pension funds, via an analysis on a reference portfolio that represents their average asset allocation.