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1. Artificial Intelligence #1 — In this month's top 10 themes, we see Artificial Intelligence claim the number one spot again,
driven largely by a huge leap in its earnings momentum ranking from #63 to #7. Whilst the other top themes mostly remain the same compared to three months ago, FinTech and IT Services have made it into the top 10 themes, thanks to their much improved price and earnings momentum. The complete constituents list can be found here.
2. Unique Quantamental Framework — Our framework continues to deliver impressive returns from top quintile themes, achieving +70% return vs +13% return from bottom quintile themes vs +48% MSCI World since inception Jun '13. We show that investing in the largest 10 and 20 high exposure stocks within the top quintile themes captures most of this return, demonstrating that it is not driven by small and/or illiquid stocks.
3. Matrix Views & Stock Plays — We introduce the matrix views of historical top and bottom quintile themes, which show the dynamic nature of our quant ranking framework with manageable turnover. In terms of stocks with exposures to multiple themes, Tencent and Nvidia on the buy side feature prominently and Southern and Vestas Wind Systems on the sell side.
20170823-CitiGroup-Global Theme Machine：Thinking Thematically.pdf
(5.62 MB, 需要: 8 个论坛币)
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