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雷达卡
【出版时间及名称】：2010年3月人民币升值专题研究报告
【作者】：BNP
【文件格式】：pdf
【页数】：40
【目录】：
1) Lessons from 2005..................................................................................................................................................................... 3
Market performance trends ................................................................................................................................................ 3
Index targets ...................................................................................................................................................................... 4
Sector performance trends................................................................................................................................................. 5
Consumer and materials stand out..................................................................................................................................... 5
RMB appreciation stock picks ............................................................................................................................................ 7
A/H premium ...................................................................................................................................................................... 8
Indicators to watch for a turn in sentiment.......................................................................................................................... 8
Regional impact ............................................................................................................................................................... 10
End of the road for Korean won strength.......................................................................................................................... 10
2) Asset allocation recommendations ........................................................................................................................................ 11
MSCI Hong Kong cut to UNDERWEIGHT........................................................................................................................ 11
Malaysia raised to OVERWEIGHT................................................................................................................................... 12
Taiwan Index Target cut................................................................................................................................................... 12
Sector allocations............................................................................................................................................................. 12
Technology leads performance in Phase 4 ....................................................................................................................... 13
3) Country section ........................................................................................................................................................................ 14
China: Liquidity cycle has turned...................................................................................................................................... 14
MSCI Hong Kong: Reduce to Underweight (from Overweight) ......................................................................................... 16
Korea: Focus on selective value ...................................................................................................................................... 18
Taiwan: Near-term headwinds; uptrend intact................................................................................................................... 20
India: Broadening growth ................................................................................................................................................. 22
Singapore: Property market remains in focus ................................................................................................................... 24
Malaysia: Raised to Overweight....................................................................................................................................... 26
Indonesia: More rating upgrades to come......................................................................................................................... 28
Thailand: A value trap ...................................................................................................................................................... 30
4) Appendix 1................................................................................................................................................................................ 32
Country Asset Allocation model ....................................................................................................................................... 32
Mean reversion ................................................................................................................................................................ 32
Sharpe ratio...................................................................................................................................................................... 32
Cost of equity ................................................................................................................................................................... 32
Calculating the market price of risk .................................................................................................................................. 33
Translating the theory into practice Mean reversion.......................................................................................................... 33
Sharpe ratio...................................................................................................................................................................... 34
Cost of equity ................................................................................................................................................................... 34
Current model recommendations ..................................................................................................................................... 34
5) Appendix 2................................................................................................................................................................................ 35
Asian key macroeconomic forecasts................................................................................................................................ 35
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