发帖
雷达卡
推出时间：2011.12.15
摘要：
In this handbook we describe our product suite in detail and explain how we search large stock universes for the best investment opportunities and use macro data to form our strategy decisions
As our product suite has grown substantially in 2011, we explain how the different models, tools and publications have been improved and work together
We do not analyse or comment on our current strategy, but instead answer general questions such as “how does HSBC generate systematic alpha ideas?’ and "which product is best suited to solve a particular investment problem?"
2011-12-15_汇丰银行_Style ／ Alpha Handbook Vol. 2.pdf
(12.02 MB, 需要: 15 个论坛币)
目录：
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
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