摩根大通:亚洲证券市场投资策略报告2009年2月

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Pac In Style - Factor Analysis
Reversion Immersion
AsiaPac Quant Research
Robert SmithAC
(852) 2800 8569
robert.z.smith@jpmorgan.com
Steve Malin
(852) 2800 8568
steven.j.malin@jpmorgan.com
J.P. Morgan Securities (Asia Pacific) Limited
See page 94 for analyst certification and important disclosures, including non-US analyst disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may
have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision.
Family Composite Long-Short
Returns (January)
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Composite
Q-Score
Model
Composite
Value
Composite
Price (with
Reversion)
Composite
Earnings
Composite
Quality
Source: J.P. Morgan.
January was a positive month,
with our Q-Score composite
returns being held up by earnings
– in particular analyst
recommendation changes.
Value dragged the composite
down as the bottom fishing frenzy
seemed to reverse in January.
Quality also hurt our composite
as neither earnings certainty nor
ROE did well last month.
Price momentum came in just
above the line, with the strong
one-month price reversion
making up for the more heavily
weighted but failing 12-month.
Reversion Immersion
The recent trend of range bound and reverting
As usual, we ran our battery of factor tests through January ‘09 and, after
the recent up and down market movements, no-one raised any eyebrows
when we found that the 10-day Relative Strength Index and One-month
Price Reversion topped the factor performance table. Both of these are
classic short-term reversion indicators. It’s a dream environment for
technical pairs traders, but a little tougher for those seeking to invest
on the fundamentals.
With ICs of over just 5% considered to be good, it is clear that reversion in
Asia has been very prevalent in the past year and very strong in the past
three months. The IC for our reversionary factors in January is over 15%.
See inside for a look at price reversion over the past 12 months and the
current state of play of our factors.
January top & bottom performers
Top 5 factors ranked by IC for January 2009

TABLE OF CONTENTS
Reversion Immersion ...............................................................4
The January environment – At the top ...................................8
The January environment – The laggards..............................9
EARNINGS Factors.................................................................10
Composite forward earnings momentum (1Mth + 3Mth).....11
Forward earnings momentum (1Mth change)......................12
Forward earnings momentum (3Mth change)......................13
Forward earnings momentum (3Mth change) / co-efficient of
variation ..................................................................................14
Five-year historical earnings growth ....................................15
Forecast earnings growth FY1 to FY2 ..................................16
Net revisions to FY2 [up-down]/[up+down]..........................17
Net revisions to FY1 [up-down]/[up+down]..........................18
PRICE Factors ........................................................................19
12-month price momentum ...................................................20
One-month price momentum ................................................22
Three-month price momentum..............................................23
Six-month price momentum..................................................24
RSI 10-day ...............................................................................25
Price acceleration 6M.............................................................26
Percent off 52-week high .......................................................27
Composite co-efficient of variation (avg of FY1 and FY2) ..29
Number of consensus estimates (FY1) ................................30
Historical return on equity.....................................................31
Change in ROE between current and 12 months prior .......32
Asset turnover ........................................................................33
Sales growth ...........................................................................34
Payout ratio.............................................................................35
Interest cover..........................................................................36
Growth in asset turnover .......................................................37
Gearing....................................................................................38
EBIT margin growth ...............................................................39
SENTIMENT Factors...............................................................40
Consensus recommendation ................................................41
One-month change in consensus recommendation ...........42

Three-month change in consensus recommendation ........43
VALUE Factors .......................................................................44
Historical P/BV ratio ...............................................................45
Historical P/Cash earnings ratio ...........................................46
Historical earnings yield ........................................................47
One-year forward forecast P/E ..............................................48
One-year forward forecast P/E relative to history ...............49
One-year forward forecast P/E relative to sector.................50
Historical P/Sales ratio...........................................................51
Cash flow yield mean of FY1 and FY2 ..................................52
Historical dividend yield ........................................................53
EBITDA to enterprise value ...................................................54
Free cash flow to enterprise value........................................55
BLENDED Factors ..................................................................56
Composite value momentum quality price model...............57
Q-Score composite.................................................................58
Value to risk ............................................................................59
Value to growth.......................................................................60
Composite value.....................................................................61
Composite momentum...........................................................62
Composite price with 1M reversion ......................................64
Composite recommendation .................................................65
Composite value momentum model.....................................66
RISK Factors...........................................................................67
Success (Barra) ......................................................................68
Size (Barra) .............................................................................69
Volatility (Barra)......................................................................70
Value (Barra) ...........................................................................71
Liquidity ..................................................................................72
BETA........................................................................................73
Factor definitions ...................................................................74
J.P. Morgan quant services: factor back tests ....................80
Viewing the results.................................................................83
Universe & factor construction .............................................87
MSCI AP ex-Japan Top 250 current stock universe ............88

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