2010年1月全球证券市场数量化投资策略

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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】：36
        【目录或简介】：
We introduce five new regional Growth
models, replacing those we previously
offered on a monthly basis
􀀗 The new models are looking for pure,
high-consistency, non-cyclical
Growth stocks with above-average
‘Growth visibility’
􀀗 Also taken into account is an attractive
valuation of the stock relative to its
projected growth rate
Growing the portfolio
What’s new?
These models aim to refine and compliment our existing
multi-factor model offerings. We have incorporated new and
unique factors to demarcate these models from others that
we offer and to reduce performance correlation within our
suite of products.
Factors included
􀀗 3Y prospective Sales-CAGR
􀀗 5Y EPS-CAGR (FY3 to FY-2)
􀀗 5Y Free-Cash-Flow-CAGR (FY3 to FY-2)
􀀗 Number of years (in %) negative EPS-growth last 10Y
􀀗 Volatility of yearly earnings growth (FY1 to FY-4)
􀀗 3Y PEG, 5Y PEG
􀀗 3Y Sales-CAGR 1Y change (6M change)
􀀗 5Y EPS-CAGR 1Y change (6M change)
􀀗 EPS-Variation coefficient FY1/FY2 separately FY3
We have back-tested our models using a 10Y history. All
models beat their respective regional MSCI Growth
benchmark after transaction costs.
Monthly updates
The models will be an integral part of our regular
quantitative offerings. Please ask your HSBC sales contact
to be included on our distribution list.

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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 汇丰银行 relative 证券市场 投资策略 account

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