Webinar - Value and Momentum Drivers of Shiller CAPE Sector Rotation

When:  Feb 12, 2025 from 01:00 PM to 02:00 PM (IE)
Associated with  CFA Society Ireland
CFA Society Ireland, together with Natixis and Ossiam, is delighted to host this webinar, presented by Luc Dumontier.
Luc Dumontier is Managing Director of Ossiam. He began his career in 1998 at Sinopia as an equity manager. In 2004, he took over responsibility for Absolute Return strategies at Sinopia and then at HSBC Asset Management after the merger between the two asset management companies. In 2013, Luc joined La Française Investment Solutions (LFIS) to become Senior Manager and Head of Factor Investing strategies. He joined Ossiam in September 2021 as Managing Director, responsible for investments and operations. Luc holds Masters degrees in (i) Economics and (ii) Money and Finance from the University of Paris I Panthéon-Sorbonne.

The results of active management are strongly challenged by historical studies, whether they come from the academic world or from practitioners.

The three harshest findings are:
(i) few US equity mutual funds have been able to consistently outperform the S&P500 over 10-year+ periods;
(ii) few investment bank indices have lived up to the promise of their backtests
(iii) of the few profitable strategies, the vast majority have derived much of their success from exposure to a standard set of factors rather than security selection.

In this context, the historical performance of the Shiller Barclays CAPE® US Value Sector Index, a sector rotation strategy based on Professor Shiller’s Relative CAPE® ratio, seems ‘surprisingly’ robust. An in-depth analysis shows that (i) the out-of-sample performance has lived up to the initial promises of the backtest, (ii) the strategy has delivered true “sector rotation” alpha, consistent over time, over crisis periods, and across dispersion regimes, and (iii) most of the alpha came from the signal itself (i.e., the relative CAPE® ratio) rather than from the choices made in portfolio design and rebalancing.

This presentation is based on the main findings from a white paper titled ‘Yes, Virginia, There Is [More Than] Hope: Twenty years of sector rotation with Shiller's CAPE® Ratio’ co-authored by Luc Dumontier.


Event Details

Zoom Webinar
Wednesday 12th February @13.00
Free - Registration in advance is required - Register Here