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Market 2012: No Signs of the Apocalypse
Uncertainty and Risk: The New Reality
Value and Momentum behaving as expected – Even during a tough year for equity
markets, quant strategies have held up well. Unlike in 2008/2009, Value and
Momentum are behaving normally (i.e. in an uncorrelated fashion). Given our
expectation that this will continue, we are fairly confident that bottom-up stock selection
models will continue delivering solid returns throughout next year.
A sustained risk rally in the offing – If (or when) a resolution to the Euro zone debt
crisis emerges, we would expect a sustained risk rally in which investors again become
willing to allocate capital to markets offering abundant opportunities. More than 40% of
the market capitalization in Asia is priced for zero or negative growth to perpetuity.
Citi-Market 2012 No Signs of the Apocalypse.pdf
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