1. Can we beat the market using global P-E’s?
Global Investors Asset Management
Anthony Bertoldo
Lucienne DePaulo
Oliver Lee
Jorge Rohana
Sergio Watanbe

2. Agenda Data Collection Data Organization Results Conclusions
12-month-forecasted P-E’s
Actual P-E’s
Conclusions

3. Data Collection
We collected actual P-E’s and 12-month- forecasted P-E’s from 43 countries
Forecast P-E’s from IBES
Emerging country data from IFC
Developed country data from MSCI
Able to capture 144 observations (Jan until Dec. 1999)
Everything was in USD

4. How was the data organized?
Each country was ranked by highest actual/forecasted P-E to lowest every month
Data was then separated into Quartiles
Analyzed portfolios consisting of highest and lowest P-E’s
“Buy” Portfolio = Top 25%
“Sell” Portfolio = Bottom 25%

5. Results: 12-month-forecasted P-E’s

6. Results: 12-month-forecasted P-E’s, con’t

8. Results: Actual P-E’s

9. Results: Actual P-E’s, con’t

11. Conclusions
Building portfolios based on forecasted P-E’s doesn’t provide much reward for the risk
Growth investing dominated Value investing during this time period
Future?