2010年4月南非证券市场投资策略

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

【出版时间及名称】：2010年4月南非证券市场投资策略
        【作者】：摩根斯坦利
        【文件格式】：pdf
        【页数】：26
        【目录或简介】：
January work revisited – building a three-pillared
strategy. In January, we launched our overview of the
South African equity market and our Model Portfolio. In
today’s report we move on to focus on three areas: 1)
stocks to sell during the May-Nov period of historically
poor returns; 2) a new sector preference, favouring
Industrials and Financials over Resources; and 3) an
updated Model Portfolio that brings in this sector view.
Devising a ‘seasonality strategy’. As we expect zero
growth in the market in 2010, we explore a strategy to
take advantage of a range-bound market: seasonality.
We concur with the adage “sell in May, go away; come
back on St. Leger’s Day”, and come up with a 10-stock
Seasonality Sell Screen to improve the performance of
the strategy. This beta-matched screen is hedged
against FTSE JSE ALSI to exclude market risk, and
typically returns 4.2% (all alpha) over the period
(back-testing to 1995).
Moving to a sector valuation – Industrials look most
attractive. We have built valuation models for Industrial,
Financials and Resources stocks and favour them in
that order. Sector returns (12-month rolling) are 22%,
21% and -20%, respectively. The market return remains
at 0%. Our historical analysis suggests that sector
forecast returns in aggregate are typically optimistic, but
we use the relative attractiveness in our Model Portfolio.
Interestingly, analyst earnings forecasts appear c18%
too optimistic for Industrials and Financials (12 months
out) but 40% for Resources.
SA Model Portfolio – incorporating our new sector
preference. The largest OW stocks are Standard Bank,
SABMiller, Implats, Naspers and Kumba Iron Ore, at
35% of the portfolio combined.
A key risk is that the ZAR weakens rapidly in the
next few months, boosting the earnings of Resources,
our least liked sector. Our valuation model is geared by
0.5 to the earnings forecasts (i.e. each 10% increase in
earnings moves forecast returns by 5%) for that sector.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：市场投资 证券市场 投资策略 historically respectively 投资 证券 南非