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雷达卡
【出版时间及名称】：2009年12月亚太证券市场数量化研究报告
【作者】：摩根大通
【文件格式】：PDF
【页数】：104
【目录或简介】：
TABLE OF CONTENTS
Cross-sectional Correlation Monitor ......................................5
Recent Factor Environment.....................................................7
Spotlight on the Q-Score – last 15 years..............................10
November Summary...............................................................11
Factor family performance in the past year .........................12
EARNINGS Factors.................................................................13
Composite Forward Earnings Momentum (1Mth + 3Mth) ...14
Forward Earnings Momentum (1Mth Change) .....................15
Forward Earnings Momentum (3Mth Change) .....................16
Forward Earnings Mom (3Mth) / Co-Eff Of Variation ...........17
5-year Historical Earnings Growth........................................18
Forecast Earnings Growth FY1 to FY2 .................................19
Net Revisions to FY2 [Up-Down]/[Up+Down].......................20
Net Revisions to FY1 [Up-Down]/[Up+Down].......................21
PRICE Factors ........................................................................22
12-Month Price Momentum....................................................23
12-Month Price Momentum adj. for volatility (Sharpe)........24
1-Month Price Momentum......................................................25
3-Month Price Momentum......................................................26
6-Month Price Momentum......................................................27
RSI 10-day ...............................................................................28
Price Accel 6M ........................................................................29
Percent off 52-Week High ......................................................30
Composite Co-Efficient of Var (Avg of FY1 & FY2)..............32
Number of Consensus Estimates (FY1) ...............................33
Historical Return on Equity ...................................................34
Change in ROE Between Current and 12 Months Prior ......35
Asset Turnover .......................................................................36
Sales Growth ..........................................................................37
Payout Ratio ...........................................................................38
Interest Cover .........................................................................39
12M Change in Asset Turnover.............................................40
Gearing....................................................................................41
12M Change in EBIT Margin ..................................................42
Altman Z score........................................................................43
Piotroski F score ....................................................................44
SENTIMENT Factors...............................................................45
Consensus Recom .................................................................46
1-Month Change in Consensus Recom................................47
3-Month Change in Consensus Recom................................48
Target Price 6-Month Momentum..........................................49
Sentiment Composite.............................................................50
VALUE Factors .......................................................................51
Historical P/Book Value Ratio ...............................................52
Historical P/Cash Earnings Ratio..........................................53
Historical Earnings Yield .......................................................54
1-year forward forecast P/E ...................................................55
1-year forward forecast P/E Relative to History...................56
1-year forward forecast P/E Relative to Sector....................57
Historical P/Sales Ratio .........................................................58
Cash Flow Yield Mean of FY1 and FY2 .................................59
Historical Dividend Yield .......................................................60
EBITDA to Enterprise Value ..................................................61
Free Cash Flow to Enterprise Value .....................................62
BLENDED Factors ..................................................................63
Composite Quality..................................................................64
Composite Value Momentum Quality Price Model ..............65
Q-Score Composite ................................................................66
Value to Risk...........................................................................67
Value to Growth......................................................................68
Composite Value ....................................................................69
Composite Momentum...........................................................70
Composite Price .....................................................................71
Composite Price with 1M Reversion.....................................72
Composite Recom..................................................................73
Composite Value Momentum Model.....................................74
RISK Factors...........................................................................75
Success (Barra) ......................................................................76
Size (Barra) .............................................................................77
Volatility (Barra)......................................................................78
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