发帖
雷达卡
【出版时间及名称】：2009年11月亚太地区证券市场投资策略报告
【作者】：摩根大通
【文件格式】：PDF
【页数】：47
【目录或简介】：
Table of Contents
Executive summary..................................................................3
Top Level Regional Sector Selection...........................................................................3
Level 2 (Country-Sector) Selection .............................................................................4
Background – Why Now? ........................................................5
Previous Analysis by J.P. Morgan Quant Team ..........................................................6
The Signal Development Framework......................................7
Preparing the Data-Set.............................................................8
The Test Process......................................................................9
Interpreting the Test Results.................................................10
Analysis Summary Statistics table.............................................................................10
Portfolio Index Returns..............................................................................................10
The 12 month Rolling Returns Chart.........................................................................11
The Cumulative Returns Chart ..................................................................................11
The Information Co-Efficient Chart ..........................................................................12
Factors Tested........................................................................13
Test 1 – Top Level Regional Backtest Results ....................14
Results over extended rebalance horizons .................................................................15
Cross Check on Start Dates........................................................................................16
PE 1 yr fwd Relative to history as a sector Selection tool .........................................18
RSI 30 day as a sector Selection tool.........................................................................19
Positive Earnings momentum as a sector Selection tool............................................20
How do we explain these results? ..............................................................................21
Analysing lead and lag at aggregate level..................................................................21
Confirming the result .................................................................................................22
Conclusions................................................................................................................25
Test 2 – Country-Sector Level Results .................................26
Extending the Investment Horizon ............................................................................27
How much Alpha do these factors generate? .............................................................28
Using our country selection model at country-sector level........................................28
Using a stock selection model at country-sector level ...............................................30
Single Factors - Targeting Free Cash Flow................................................................31
Single Factors - Forecast PE Shines ..........................................................................32
Value tempered by Risk adds consistency .................................................................33
Full 3 Month Quintile Tests sorted by Alpha.............................................................35
Conclusions................................................................................................................36
Country Selection Composite - 3 month Rebalance ..................................................38
Q-Score Composite - 3 month Rebalance..................................................................39
Free Cash Flow yield - 3 month Rebalance ...............................................................40
PE 1 yr Fwd - 3 month Rebalance .............................................................................41
Value to Risk factor - 3 month Rebalance .................................................................42
京公网安备 11010802022788号
