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【出版时间及名称】：2010年1月全球证券市场数量化投资策略
【作者】：汇丰银行
【文件格式】：PDF
【页数】：40
【目录或简介】：
In this report, we focus on style
rotation strategy…
􀀗 …and quantitative stock picking on a
global and regional basis
Momentum is the key strategy as
cycle turns from phase 2 to phase 3
Style strategy outlook
2009 was a typical transition year as the bear market petered out
and a bull market emerged. Until Q3 2009, value and reversal
styles (price reversal, negative analyst revisions, etc) led the
way, but the market has now shifted its focus to momentum.
In our last report, we introduced a six-phase style cycle model
for the optimal selection of alpha styles across the economic
cycle (AlphaScreen Style Rotation Outlook, Q4-2009,
7 October 2009). In this edition, we discuss whether the
market is still in phase 2 of our model (‘major upswing’) or
has already turned to phase 3 (‘late upswing’). We conclude
that the ISM indicator implies we may still be in late phase 2,
but the market has already shifted to phase 3 return
characteristics – hence the focus on momentum.
Our style timing indicators reveal that, in general, momentum
stocks are not yet overbought. This assumption appears true for
analyst revisions and fundamental momentum, but less so for
price momentum. Therefore, we would mainly focus on the first
two and less on pure price momentum stocks.
Stock picking
Our models as of 7 October 2009 outperformed the regional
benchmark by 4.4% on average. We provide six new
portfolios in this report. Below we list our new regional
model recommendations for stock selection.
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