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

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

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. 1988 until Dec. 1999) Everything was in USD

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%

Results: 12-month-forecasted P-E’s

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

Results: Actual P-E’s

Results: Actual P-E’s, con’t

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?