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雷达卡
【出版时间及名称】：2010年3月亚洲证券市场数量化投资策略
【作者】：汇丰银行
【文件格式】：pdf
【页数】：32
【目录或简介】：
Combining sector-based alpha sources
into a single model for Asia/Pacific ex
Japan
Annualised outperformance of 19.7%
since 2000
We explain methodology and model
construction in detail and show top 50
stocks – regular updates available
Introduction of Universal Alpha
model for Asia/Pacific ex Japan
The model
Our new Universal Alpha model for Asia/Pacific ex Japan
strives to capture alpha by combining factor strategies
generating the highest and most consistent performance
within their respective sector. We then incorporate sectorbased
alpha sources into a single Asia/Pacific ex Japan
model. With the implementation of various adjustments we
come up with a model providing alpha via stock-picking and
sector allocation. The model separates 12 sectors and
includes a total of 47 different alpha factors (between 6 and
11 factors per sector).
Performance
The top-decile strategy of our Universal Alpha model has
outperformed the overall market by an annualised 19.7%
pre-costs since 2000 (backtested). Even investing only in the
top 2% of stocks achieved an annualised 29.1% (pre-costs,
backtested). The monthly outperformance ratio (hit ratio)
was 74.6% (top 10%). The longer-term consistency of this
performance is remarkable as the top 10% strategy only
underperformed in the year 2008 – in all other years it beat
the benchmark. Our sector-neutral strategy has even
outperformed every single year including 2008.
Focus of report and model updates
In this report we focus on the methodology and construction
of the models, and also name the current top 50 stocks. We
provide updates, including the ranking of the stocks and all
factor value and factor score data, twice a month in excel
format for all stocks in the universe. Please ask your HSBC
sales contact to be included on our distribution list.
Universal Alpha at a glance 3
Top 50 stocks 4
Universal Alpha models in
perspective 5
Methodology in detail 7
Factors, weightings and
adjustment factors 13
Backtesting 17
Disclosure appendix 29
Disclaimer 31
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