Video

#SaxoStrats
Today's edition of the Saxo Morning Call features the SaxoStrats team discussing the continuing weakness of the US dollar as commodity prices recover ground and in the wake of key US equity indices hitting all-time highs Thursday.
Article / 09 September 2013 at 7:38 GMT

Quant Corner: Credit Suisse moved to positive, alpha last week

Head of Equity Strategy / Saxo Bank
Denmark

Sell-side analysts have revised up their estimates on forward 24-month return on equity for Credit Suisse. Combined with a positive relative momentum, our model has changed its view to positive on Credit Suisse. Last week's views generated 1.1 percent alpha.

Credit Suisse is ahead of peers

Credit Suisse has come a long way following a couple of years of pressure on the top line and faltering profits. In the past 12 months, profits before provisions have bounced back forcefully to levels not seen in more than two years. Sell-side analysts have persistently upgraded their estimates for return on equity, which is now among the highest for major European banks (see table). Its pro forma Basel III Common Equity Tier 1 capital ratio could be better and is currently below the average. However, measured by the important Leverage Ratio, it is among the less leveraged banks. Remember, it was the future Basel III Leverage Ratio that forced Barclays into a large rights issue some weeks ago. Taking all information into account, our model has revised Credit Suisse to a positive view.

Major European Banks

Views generated 0.5 percent alpha

Over the past week, the model's views generated 0.5 percent alpha with two negative views finally seeing negative performance and adding positively to alpha generation. The two best-performing banks among the positive views were KBC Groep and Societe Generale. The best performing bank among the model's views, which was also the biggest negative contributor to alpha, was HSBC, which is up almost 3percent over the past week.

Major European banks performance

Commerzbank is undecided

Commerzbank remains the model's least favourite bank and our Trade Idea from August 26 is still open. The trade idea was to sell Commerzbank on overvaluation and waning momentum with a target 8.00 and a stop at 9.07. The past 10 trading sessions have created a congestion area from 8.50-9.00 and traders seem to be undecided about where to take the stock.

Commerzbank's share price

Disclaimer

The Saxo Bank Group entities each provide execution-only service and access to Tradingfloor.com permitting a person to view and/or use content available on or via the website is not intended to and does not change or expand on this. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to Tradingfloor.com and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to Tradingfloor.com is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on Tradingfloor.com or as a result of the use of the Tradingfloor.com. Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. When trading through Tradingfloor.com your contracting Saxo Bank Group entity will be the counterparty to any trading entered into by you. Tradingfloor.com does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of ourtrading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws. Please read our disclaimers:
- Notification on Non-Independent Invetment Research
- Full disclaimer

Check your inbox for a mail from us to fully activate your profile. No mail? Have us re-send your verification mail