发帖
雷达卡
【出版时间及名称】：2010年3月亚太证券市场数量化分析报告
【作者】：摩根大通
【文件格式】：pdf
【页数】：103
【目录或简介】：
Buying the dips…
The biggest factor theme at the moment is price momentum, with investors
looking to continue buying the stocks which demonstrated good 12 month
returns (i.e. the recovery/turnaround stories). Interestingly though, the
market’s conviction in the recovery theme is by no means clear-cut and
jumpiness with regards to the macro picture has seen these same stocks
being dumped sharply in favour of those with more defensive attributes on
several occasions – only for the market to then seemingly ‘realise its
mistake’ and return almost immediately to buy them back! This has led to
us also seeing a strong return from our short term reversion factors such as
the RSI signal and short term (1mth) price momentum.
As a result, ‘buying the strong winners over the last 12mths, that have been
sold off in the last month’, is currently the winning strategy (see chart to
the right). Given the ‘jumpiness’ shows no sign of abating we may see this
theme continue and it might be a good time to dust off the old technical
indicators to help identify the recently oversold long-term winners or
consider targeting pairs to exploit the prevalent short-term reversion.
TABLE OF CONTENTS
Recent Factor Environment.....................................................5
March-to-date Summary ..........................................................8
Composite performances – last 12 months ...........................9
Factor Reference Tables..........................................................9
EARNINGS Factors.................................................................12
Composite Forward Earnings Momentum (1Mth + 3Mth) ...13
Forward Earnings Momentum (1Mth Change) .....................14
Forward Earnings Momentum (3Mth Change) .....................15
Forward Earnings Momentum (3Mth Change) / Co-Efficient Of
Variation ..................................................................................16
5 years Historical Earnings Growth......................................17
Forecast Earnings Growth FY1 to FY2 .................................18
Net Revisions to FY2 [Up-Down]/[Up+Down].......................19
Net Revisions to FY1 [Up-Down]/[Up+Down].......................20
PRICE Factors ........................................................................21
12 Mth Price Momentum ........................................................22
12 Month Price Momentum adj. for volatility (Sharpe style)23
1 Mth Price Momentum ..........................................................24
3 Mth Price Momentum ..........................................................25
6 Mth Price Momentum ..........................................................26
RSI 10 day ...............................................................................27
Price Accel 6M ........................................................................28
Percent off 52 Week High ......................................................29
Composite Co-Efficient of Variation (Avg of FY1 and FY2) 31
Number of Consensus Estimates (FY1) ...............................32
Historical Return on Equity ...................................................33
Change in ROE Between Current and 12 Mths Prior...........34
Asset Turnover .......................................................................35
Sales Growth ..........................................................................36
Payout Ratio ...........................................................................37
Interest Cover .........................................................................38
12M Change in Asset Turnover.............................................39
Gearing....................................................................................40
12M Change in EBIT Margin ..................................................41
Altman Z score........................................................................42
Piotroski F score ....................................................................43
SENTIMENT Factors...............................................................44
Consensus Recom .................................................................45
1 Mth Change in Consensus Recom.....................................46
3 Mth Change in Consensus Recom.....................................47
Target Price 6 Month Momentum..........................................48
Sentiment Composite.............................................................49
VALUE Factors .......................................................................50
Historical P/Book Value Ratio ...............................................51
Historical P/Cash Earnings Ratio..........................................52
Historical Earnings Yield .......................................................53
1 year forward forecast PE ....................................................54
1 year forward forecast PE Relative to History....................55
1 year forward forecast PE Relative to Sector .....................56
Historical P/Sales Ratio .........................................................57
Cash Flow Yield Mean of FY1 and FY2 .................................58
Historical Dividend Yield .......................................................59
EBITDA to Enterprise Value ..................................................60
Free Cash Flow to Enterprise Value .....................................61
BLENDED Factors ..................................................................62
Composite Quality..................................................................63
Composite Value Momentum Quality Price Model ..............64
Q-Score Composite ................................................................65
Value to Risk...........................................................................66
Value to Growth......................................................................67
Composite Value ....................................................................68
Composite Momentum...........................................................69
Composite Price .....................................................................70
Composite Price with 1M Reversion.....................................71
Composite Recom..................................................................72
Composite Value Momentum Model.....................................73
RISK Factors...........................................................................74
Success (Barra) ......................................................................75
Size (Barra) .............................................................................76
Volatility (Barra)......................................................................77
Value (Barra) ...........................................................................78
Liquidity ..................................................................................79
BETA........................................................................................80
Factor Definitions...................................................................81
J.P. Morgan quant services: factor back tests ....................87
Viewing the results.................................................................90
Universe & factor construction .............................................94
MSCI Asia Pac ex JP Top 250 Current Stock Universe .......95
京公网安备 11010802022788号
