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| 文件名: 20111213 Style & Alpha Handbook Vol 2.pdf | |
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HSBC Global Research - Style & Alpha Handbook Vol. 2
Date: 13 December 2011 Language: English Page: 442 Introduction 8 Our product: looking back and looking ahead 8 Objectives of this handbook 10 Questions answered in this handbook 10 What is Style & Systematic Alpha Research? 10 Philosophy regarding equity markets and model building 11 How to use this handbook 11 Product overview 12 The seven pillars of alpha screen 12 Multi-factor models 12 Style & Sector Strategy 13 Style & Single Factor Analysis 13 Macro Sensitivity Tracker 13 Portfolio Analytics Software 14 Flexible client tools 14 Bespoke research 14 Overview: top-down and bottom-up product setup 14 Research, Tools & Model Updates 17 General product: two-pronged approach 17 Written research 17 Tools & Model Updates 21 Sourcing models and individual inputs 22 Style Rotation Strategy 23 Style timing in the context of the recent stock market environment 23 How we define the cycle 25 Global Style Cycle Model: Main conclusions 26 Style Cycle Model: Regional details 27 Other factors to determine our style cycle strategy 31 Sector Strategy 32 Sector strategy based on style strategy 32 Results 32 Multi-factor models: introduction 36 Overview 36 Product milestones 36 Global and regional stock universes 38 Performance overview 38 Performance data in model chapters 43 Multi-factor models: Global Models 45 The issue: Global versus Regional models 45 Our new solution: the system’s characteristics 45 What has changed 46 Advantages of the new approach 46 Models in practice: Three sheets of a model file plus a summary file 46 Region neutral calculation 53 Performance of global models in comparison 53 Additional charts for global models 56 How we treat ‘financials’ 58 Introduction: Why do we need a special framework for financial stocks? 58 Which are the affected models? 59 How we integrate and score factors for ‘financials’ 60 Value 61 Model description 61 Who should consider the model? 61 Main characteristics of the model 61 History of the model 62 Global – vs equal weighted benchmark 63 Global – vs MSCI AC World Value 64 North America – vs equal weighted benchmark 65 North America – vs MSCI North America Value 66 Europe – vs equal weighted benchmark 67 Europe – vs MSCI Europe Value 68 Japan – vs equal weighted benchmark 69 Japan – vs MSCI Japan Value 70 Asia/Pacific ex Japan – vs equal weighted benchmark 71 Asia/Pacific ex Japan – vs MSCI AC Asia Pacific ex JP Value 72 Emerging Markets – vs equal weighted benchmark 73 Emerging Markets – vs MSCI EM Value 74 Performance attribution – average monthly relative performance 75 Stock turnover and turnover reduction strategies 76 Active sector positions top 10% vs market – historical average 77 Median market cap 78 Global – sector & region over-/underweights 79 Global – special evaluations* 80 Momentum 81 Model description 81 Who should consider the Momentum model 81 Main characteristics of the model 82 History of the model 82 Global – vs equal weighted benchmark 83 North America – vs equal weighted benchmark 84 Europe – vs equal weighted benchmark 85 Japan – vs equal weighted benchmark 86 Asia/Pacific ex Japan – vs equal weighted benchmark 87 Emerging Markets – vs equal weighted benchmark 88 Performance attribution: average monthly relative performance 89 Stock turnover and turnover reduction strategies 90 Active sector positions top 10% vs market (historical average) 91 Median market cap 92 Global – sector & region over-/underweights 93 Global – special evaluations* 94 Value/Momentum 95 Model description 95 Who should consider the model 95 Main characteristics of the model 95 History of changes 95 Global – vs equal weighted benchmark 96 North America – vs equal weighted benchmark 97 Europe – vs equal weighted benchmark 98 Japan – vs equal weighted benchmark 99 Asia/Pacific ex Japan – vs eql weighted benchmark 100 Emerging Markets – vs equal weighted benchmark 101 Performance attribution – average monthly relative performance 102 Stock turnover and turnover reduction strategies 103 Active sector positions top 10% vs market – historical average 104 Median market cap 105 Global – sector & region OW/UW 106 Global – special evaluations* 107 (Non-cyclical) Growth 108 Model description 108 Who should consider the model? 108 Main characteristics of the model 109 History of changes 109 Global – vs equal weighted benchmark 110 Global – vs MSCI AC World Growth 111 North America – vs equal weighted benchmark 112 North America – vs MSCI North America Growth 113 Europe – vs equal weighted benchmark 114 Europe – vs MSCI Europe Growth 115 Japan – vs equal weighted benchmark 116 Japan – vs MSCI Japan Growth 117 Asia/Pacific ex Japan – vs equal weighted benchmark 118 Asia/Pacific ex Japan – vs MSCI AC Asia Pacific ex JP Growth 119 Emerging Markets – vs equal weighted benchmark 120 Emerging Markets – vs MSCI EM Growth 121 Performance attribution – average monthly relative performance 122 Stock turnover and turnover reduction strategies 123 Active sector positions top 10% vs market – historical average 124 Median market cap 125 Global – sector & region over-/underweights 126 Global – special evaluations* 127 Dividend 128 Model description 128 Who should consider the model? 128 Main characteristics of the model 128 History of changes 128 Global – vs equal weighted benchmark 130 Global – vs MSCI World High Dividend Yield 131 North America – vs equal weighted benchmark 132 North America – vs MSCI US Investable Market High DY 133 Europe – vs equal weighted benchmark 134 Europe – vs MSCI Europe High DY 135 Japan – vs equal weighted benchmark 136 Asia/Pacific ex Japan – vs equal weighted benchmark 137 Emerging Markets – vs equal weighted benchmark 138 Performance attribution – average monthly relative performance 139 Stock turnover and turnover reduction strategies 140 Active sector positions top 10% vs market – historical average 141 Median market cap 142 Global – sector & region over-/underweights 143 Global – special evaluations* 144 Contrarian Investing 145 Model description 145 Who should consider the model 145 Main characteristics of the model 146 History of changes 146 Global – vs equal weighted benchmark 147 North America – vs equal weighted benchmark 148 Europe – vs equal weighted benchmark 149 Asia/Pacific ex Japan – vs equal weighted benchmark 150 Emerging Markets – vs equal weighted benchmark 151 Performance attribution – average monthly relative performance 152 Stock turnover and turnover reduction strategies 153 Active sector positions top 10% vs market – historical average 154 Median market cap 155 Global – sector & region over-/underweights 156 Global – special evaluations* 157 FHQF 158 Model description 158 Who should consider the model? 158 Main characteristics of the model 158 History of changes 158 Global – vs equal weighted benchmark 160 North America – vs equal weighted benchmark 161 Europe – vs equal weighted benchmark 162 Japan – vs equal weighted benchmark 163 Asia/Pacific ex Japan – vs equal weighted benchmark 164 Emerging Markets – vs equal weighted benchmark 165 Performance attribution – average monthly relative performance 166 Stock turnover and turnover reduction strategies 167 Active sector positions top 10% vs market – historical average 168 Median market cap 169 Global – sector & region over-/underweights 170 Global – special evaluations* 171 Earnings Predictability 172 Model description 172 Who should consider the model? 172 Main characteristics of the model 172 Historical & future changes 172 Global* – vs equal weighted benchmark 174 North America – vs equal weighted benchmark 175 |
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