Quant Corner: French banks remain our equity model's top picks
France's three largest banks - Societe Generale, Credit Agricole and BNP Paribas - remain our equity quantitative model's favourite picks among major European banks driven by increasing expectations for profitability and benign valuations (see table below).
The model views are unchanged from last week. Deutsche Bank remains the model's top pick if it only takes fundamental data into account, but when the relative momentum is added, the view ends up at neutral. The perception of Deutsche Bank is still dominated by its big and complex balance sheet with relative weak results compared with its peers.
The chart below shows the weekly performance on a total return basis of the model's top picks from last week. The average return before costs is minus 0.74 percent driven by strong performance at Commerzbank (on the back of its better-than-expected Q2 results), UniCredit and Lloyds Banking Group.