Carl Grapenfelt

Quant strategist with a fascination for value investing. If it can't be depicted in a chart it isn’t true! Founder of Grapenfelt Advisory.

[Carl Grapenfelt @CarlGrapenfelt]

Twitter debut - after having spent many years on the sell side as a quant strategist. Thought I would share a favorite chart depicting the great valuation divide. Expensive (90th percentile) versus cheap stocks (10th percentile) utilizing P/BV estimates from FactSet.

[Carl Grapenfelt @CarlGrapenfelt]

@AndreasSteno I would call todays reading a touch worse . I sat in the market in those days - can't say I see much of a difference, but that's opinion of course.

[Carl Grapenfelt @CarlGrapenfelt]

@MrBlonde_macro @MaverickBogdan Agree on direction importance but the strength of the eventual reversal becomes even more powerful if the relative discount has widened considerably. That’s why I suggested that you index proportionally rather than making chart look 1-1.

[Carl Grapenfelt @CarlGrapenfelt]

@MrBlonde_macro @MaverickBogdan Why not do a proper indexation where you apply the same to both lines. Clearly EM EPS underperformance explains a fair bit - but you would see EM getting cheaper in relative terms as relative price falls faster/more than relative EPS if you have them on one axis.

[Mikael Sarwe @MikaelSarwe]

🇺🇸 NFIB... Small businesses are relentlessly hiking prices.

[Carl Grapenfelt @CarlGrapenfelt]

@INArteCarloDoss Sent it via messenger

[Carl Grapenfelt @CarlGrapenfelt]

@INArteCarloDoss Just retweeted it - not great at twitter

[Carl Grapenfelt @CarlGrapenfelt]

1/ A short thread on profit margins:
Profit margins have benefitted from a multitude of tailwinds over the past couple of decades. See chart below

[Mikael Sarwe @MikaelSarwe]

🌍 Re-opening 2.0, strong labour demand and households w money on the sideline should save 2022, but profit recession 2023 perhaps?

[Carl Grapenfelt @CarlGrapenfelt]

Looking at the 90th percentile in isolation I very much doubt that market participants will feel comfortable buying this dip. Expected returns for this group of stocks remain quite grim. We are not even back to pre-covid levels…

[Carl Grapenfelt @CarlGrapenfelt]

Time to post a few updated charts on valuation differences, which has corrected a fair bit. Below charts compare the 90th vs 10th percentiles (US LCAP >5bn in MCAP). Also linking it to my pinned tweet.

[Carl Grapenfelt @CarlGrapenfelt]

Time to post a few updated charts on valuation differences, which has corrected a fair bit. Below charts compare the 90th vs 10th percentiles (US LCAP >5bn in MCAP). Also linking it to my pinned tweet.

[Carl Grapenfelt @CarlGrapenfelt]

Twitter debut - after having spent many years on the sell side as a quant strategist. Thought I would share a favorite chart depicting the great valuation divide. Expensive (90th percentile) versus cheap stocks (10th percentile) utilizing P/BV estimates from FactSet.

[Carl Grapenfelt @CarlGrapenfelt]

@danne_w På dormy finns det från 3-5 år
Börja med en 9a el 7a kanske

[Carl Grapenfelt @CarlGrapenfelt]

@Erik_Hansen_ Hur långt bak i tiden har du backtestat?

[Mikael Sarwe @MikaelSarwe]

🌍Week Ahead: US inflation has arrived

https://t.co/10nT7tEpPQ

We can't remember a week with so much evidence that our longstanding anti-transitory US inflation view is correct, but the Fed has interpretive precedence. Q4 risk-on mode, which is reasonable. Expect a noisier -22

[Mikael Sarwe @MikaelSarwe]

🌍Week Ahead: Volatility Comeback

https://t.co/463SwwPTdo

Equity volatility is back. We see 4 macro reasons why 2022 should be noisier than 2021: liquidity, growth slowdown, cost/margin problems & the risk of the Fed put looking different if inflation indicators stay elevated

[Carl Grapenfelt @CarlGrapenfelt]

@giodpizz Stoxx global 3000 + EM

[Carl Grapenfelt @CarlGrapenfelt]

1/ A short thread on profit margins:
Profit margins have benefitted from a multitude of tailwinds over the past couple of decades. See chart below

[Carl Grapenfelt @CarlGrapenfelt]

@giodpizz Around 4000 stocks in universe - same composition throughout chart

[Carl Grapenfelt @CarlGrapenfelt]

@VKMacro Agree

[Carl Grapenfelt @CarlGrapenfelt]

14/ In my experience a high multiple stock is at its most vulnerable when earnings growth decelerates. I am amazed that market participants are not more worried about lofty market valuations in combination with an increased likelihood of decelerating earnings growth /end

[Carl Grapenfelt @CarlGrapenfelt]

13/ In my mind we simply have to get used to slower earnings growth in the years to come. Compound this risk with the fact that we have valuation levels at such extremes that the expected return from equities is very meagre to start with.