2010年4月亚太证券市场数量化投资策略报告

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【出版时间及名称】：2010年4月亚太证券市场数量化投资策略报告
        【作者】：野村证券
        【文件格式】：pdf
        【页数】：36
        【目录或简介】：
Action
March saw a pick-up for risk factors, but value factors have not fared well. Recent
performance seems to support the rebalancing of Asian economies amid intraemerging
market trade and rising US demand, with earnings revision and predicted
surprises indicators seeing rising impact. Notably, IT sector ranks top by our earnings
momentum rankings, while transportation industry leads by predicted surprise score.
Earnings revisions back to the fore
 Market overview
Indonesia's JCI and Thailand's SET were 1Q 2010’s best-performing local indices,
while China's CSI 300 was a relative under-performer. Healthcare, Oil & Gas, and
Technology were outperformers in March; Telecoms and Utilities were the worst.
 Financial statistics and the revision index
FY2010 earnings growth has generally been revised up m-m in the results season.
Valuations of CSI 300 are now moving closer to regional peers’. By regional sector,
media, mining, oil & gas producers, automobiles & part, REITs, personal goods,
healthcare equipment, electronic & electrical equipment, general retailers,
industrial transportation, travel & leisure, technology hardware & equipment, and
banks look the most positive on m-m analyst revision index scores.
 Factor performance
We observed a move toward risk preference in March. Compared with February,
most factors in March had the opposite effect amid rising risk appetite. March saw
a revival of small-cap effect and an easing of short-term return reversal. Riskrelated
factors outperformed, but performance of valuation devices was mixed,
with cashflow yield registering better factor returns and dividend yield scoring the
most negative performance. Short-term earnings revision indicators had a greater
factor impact in March amid the results season. Earnings revisions and valuations
are the main focus recently, but an ability to sustain margins and top-line growth
may become important later this year amid rising cost concerns.

Contents
Market overview 3
Performance of FTSE All World Asia Pacific ex-Japan regional sector indices in
March 2010 4
Regional sector weightings for the FTSE AW Asia Pacific ex Japan Index 5
Asia-Pacific market financial statistics 6
P/E bands for Asia-Pacific markets 7
Valuation indicators, revision indices & RSI for FTSE AW Asia-Pacific ex Japan
sector Indices in March 2010 9
Revision indices for FTSE AW Asia-Pacific ex Japan regional industries 10
Factor performance for Asia-Pacific ex Japan 12
Historical factor return (Asia-Pacific ex-Japan) 15
Hong Kong 17
Singapore 18
Korea 19
Taiwan 20
Malaysia 21
Thailand 22
Australia 23
China 24
India 25
Overall quantitative indicator summary (end-March 2010) 26
Appendix I: Analysis of factor performance 27
Appendix II: Risk premium for Asia-Pacific markets 28
Appendix III: Cumulative breadth for Asia-Pacific markets 30
Appendix IV: Nomura Global Quantitative Research 32

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关键词：投资策略报告 数量化投资 证券市场 投资策略 量化投资 投资 证券 数量化 亚太

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