Mutatis by VP Macro Analytics

Valuation, mutatis mutandis.

Most valuation scenarios change one input and hold everything else still. Mutatis changes them together: interest rates, inflation, growth, credit spreads and cash flows move the way an economy would, drawn from an ensemble of macroeconomic models.

Every valuation comes with its range, and with an account of where that range comes from.

A company's value after a one-point rise in interest rates Illustration. History up to today, then two ways of valuing the shock: a single line from changing the discount rate alone, or a fan of outcomes from scenarios where rates, inflation, growth and spreads move together. Today History Five years out Range of outcomes One precise answer

Illustration of the method, not a forecast or a recommendation.

What makes a Mutatis scenario different

The economy moves as a system

A rate shock carries through to inflation, growth and credit the way structural models say it should, so discount rates and cash flows stay consistent with each other.

Uncertainty, broken down by source

Each valuation range is split into what comes from disagreement between models, from parameters, from the company's sensitivity to the economy, and from the equity risk premium.

Tested without hindsight

Every backtest uses only the data that was published at the time, revisions included. Track records are earned, not fitted.

The Mutatis product line

Released in stages, beginning with a free weekly briefing.

  1. Mutatis NowcastFree weekly briefing

    Current estimates of US growth, inflation, employment and interest rates from the full model ensemble, each with its range, updated as new data is published.

  2. Mutatis ScenariosMonthly sector reports

    Consistent macro scenarios carried through to sector fundamentals such as net interest income, credit losses, margins and revenues. Launching with banks, followed by homebuilders, REITs and utilities.

  3. Mutatis ValuationSubscription

    Valuation ranges for individual companies under each scenario, the scenario implied by today's share price, and how much of each range comes from the macro outlook.