发帖
雷达卡
【出版时间及名称】：2009年11月亚太证券市场因素分析报告
【作者】：摩根大通
【文件格式】：PDF
【页数】：111
【目录或简介】：
TABLE OF CONTENTS
Year-to-date Performance Review ..........................................5
Factor themes of 2009..............................................................8
Recent Factor Environment...................................................10
Spotlight on Price Momentum...............................................12
Week-by-Week summary into November .............................13
October Summary ..................................................................15
Factor family performance in the past year .........................16
Appendix I: YTD Factor Performances................................17
EARNINGS Factors.................................................................18
Composite Forward Earnings Momentum (1Mth + 3Mth) ...19
Forward Earnings Momentum (1Mth Change) .....................20
Forward Earnings Momentum (3Mth Change) .....................21
Forward Earnings Momentum (3Mth Change) / Co-Efficient Of
Variation ..................................................................................22
5 years Historical Earnings Growth......................................23
Forecast Earnings Growth FY1 to FY2 .................................24
Net Revisions to FY2 [Up-Down]/[Up+Down].......................25
Net Revisions to FY1 [Up-Down]/[Up+Down].......................26
PRICE Factors ........................................................................27
12 Mth Price Momentum ........................................................28
12 Month Price Momentum adj. for volatility (Sharpe style)29
1 Mth Price Momentum ..........................................................30
3 Mth Price Momentum ..........................................................31
6 Mth Price Momentum ..........................................................32
RSI 10 day ...............................................................................33
Price Accel 6M ........................................................................34
Percent off 52 Week High ......................................................35
Composite Co-Efficient of Variation (Avg of FY1 and FY2) 37
Number of Consensus Estimates (FY1) ...............................38
Historical Return on Equity ...................................................39
Change in ROE Between Current and 12 Mths Prior...........40
Asset Turnover .......................................................................41
Sales Growth ..........................................................................42
Payout Ratio ...........................................................................43
Interest Cover .........................................................................44
12M Change in Asset Turnover.............................................45
Gearing....................................................................................46
12M Change in EBIT Margin ..................................................47
Altman Z score........................................................................48
Piotroski F score ....................................................................49
SENTIMENT Factors...............................................................50
Consensus Recom .................................................................51
1 Mth Change in Consensus Recom.....................................52
3 Mth Change in Consensus Recom.....................................53
Target Price 6 Month Momentum..........................................54
Sentiment Composite.............................................................55
VALUE Factors .......................................................................56
Historical P/Book Value Ratio ...............................................57
Historical P/Cash Earnings Ratio..........................................58
Historical Earnings Yield .......................................................59
1 year forward forecast PE ....................................................60
1 year forward forecast PE Relative to History....................61
1 year forward forecast PE Relative to Sector .....................62
Historical P/Sales Ratio .........................................................63
Cash Flow Yield Mean of FY1 and FY2 .................................64
Historical Dividend Yield .......................................................65
EBITDA to Enterprise Value ..................................................66
Free Cash Flow to Enterprise Value .....................................67
BLENDED Factors ..................................................................68
Composite Quality..................................................................69
Composite Value Momentum Quality Price Model ..............72
Q-Score Composite ................................................................73
Value to Risk...........................................................................74
Value to Growth......................................................................75
Composite Value ....................................................................76
Composite Momentum...........................................................77
Composite Price .....................................................................78
Composite Price with 1M Reversion.....................................79
Composite Recom..................................................................80
Composite Value Momentum Model.....................................81
RISK Factors...........................................................................82
Success (Barra) ......................................................................83
Size (Barra) .............................................................................84
Volatility (Barra)......................................................................85
Value (Barra) ...........................................................................86
Liquidity ..................................................................................87
BETA........................................................................................88
Factor definitions ...................................................................89
J.P. Morgan quant services: factor back tests ....................95
Viewing the results.................................................................98
Universe & factor construction ...........................................102
MSCI Asia Pac ex JP Top 250 Current Stock Universe .....103
京公网安备 11010802022788号
