2010年亚太证券市场数量化投资策略

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【出版时间及名称】：2010年亚太证券市场数量化投资策略
        【作者】：野村证券
        【文件格式】：pdf
        【页数】：46
        【目录或简介】：
Contents
2009 overview: investment styles that worked in Asia 3
Analysing value: a change of leadership from P/BV to P/E 5
How risk relief affects value stocks 6
The revival of earnings-link factors 7
2010 factor outlook: a rebalancing act? 8
A reality check on quality and growth 8
Rising impact of profit margin during earnings recovery 11
Value spread suggests high sales-growth stocks are cheap 13
Quant screen and model in focus 15
Investment idea 1: screen stocks with good margins, sustainable sales growth
and reasonable valuations 15
Investment idea 2: enhanced earnings revision strategy 16
Flow of funds: watch out for shift of preference between
emerging/developed 21
Emerging markets clear-cut beneficiaries of recent unwinding of money market
funds 21
Technical analysis and valuation roundup 23
A look at key resistance and support levels around the region 23
Medium-term market level technicals 24
Valuation summary 28
P/E band — 12-month forward looking (market cap weighted) 29
Rolling forward calendar year P/BV 31
Rolling forward dividend yield 33
Implied risk premium 35
Cumulative market breadth 37
Appendix: Definition of factors 39

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关键词：数量化投资 量化投资 证券市场 投资策略 数量化 投资 证券 数量化 亚太

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