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Our industry quant model has generated a return of 57bp this month*, bringing the cumulative long-short strategy return since inception on October 11, 2011, to 391bp**.
We upgrade Pharmaceuticals to OW. Model rank rises to #6/24, driven by its high ROE (ranks #6/24), positive consensus earnings revision (ranks #1/24), and relatively uncrowded fund flow (ranks #4/24 as a contrary indicator). We also upgrade Diversified Financials to EW from UW.
We reiterate our OW position on Banks. Model rank remains #1/24, driven by its cheap P/B ratio (ranks #8/24), high ROE (ranks #9/24), positive earnings revision (ranks #9/24), and strong price momentum (ranks #6/24). We continue to hold ICBC, HDFC Bank, Bank Rakyat Indonesia, and Sberbank in our focus lists.
We downgrade Automobiles to EW from OW. Model rank drops to #8/24 from previous month’s #4/24, driven by its negative consensus earnings revision (ranks #23/24) and weak technical indicators. Also, the recent strength of KRW vs. JPY has negatively affected consensus expectations on Korean auto companies’ earnings (which weight around 50% in the MSCI EM/APxJ Auto industry).
We downgrade Retailing to UW from EW. Model rank drops to #22/24, driven by its expensive P/B ratio (ranks #17/24), negative consensus earnings revision (ranks #19/24) and weak price momentum (ranks #21/24).
Our current Overweight-rated industry groups are: Banks, Consumer Services, Real Estate, Energy, Semiconductors, and Pharmaceuticals. Our current Underweight-rated industry groups are: Consumer Durables, Food Beverage Tobacco, Retailing, Food & Staples Retailing, Tech Hardware, and Transportation.
We highlight 22 stocks in our OW industries with Morgan Stanley analyst Overweight ratings and good liquidity (see page 9).
Asia／GEMsStrategy：IndustryQuantModel，UpgradePharmatoOWandDiversifiedFinancial.pdf
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