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[外行报告] 2010年4月亚太证券市场数量化分析报告 [推广有奖]

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bigfoot0517 发表于 2010-4-29 15:45:03 |显示全部楼层 |坛友微信交流群
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【出版时间及名称】:2010年4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】:32
        【目录或简介】:

We recently launched our Q-Profile, a historical snapshot of a number of
financial ratios for a stock. It is also useful to see where the region,
country or sector (as a group) is ‘sitting’ relative to its own 10 year trend
on various metrics – hence our new ‘G’roup-Profile.
• G-Profiles include 8 charts which all cover 10 years and include P/E,
P/B, ROE, DY and other popular valuation metrics and can be easily
assembled into chart-books to provide a quick summary of any MSCI
universe grouping.
• Because our G-Profile tool brings all of the various universe metrics into
one place, we can also run screens across all of them to seek out
countries/sectors that are cheap or expensive relative to their history. It
is easy to now see which country-sector has the most upside or downside
to ‘long-term levels’ as well as relative to each other.
• We illustrate this with a screen across the 120 country-sectors in the
region looking for ‘cheap’ and ‘expensive’ both in relative and absolute
terms. For ‘cheap’ we look for:
• Absolute P/E (1 year forward) < 15x
• More than 5% upside to its own 10yr median P/E
• Trading below its own 10yr median P/Book
• At least 4 stocks in the country-sector
• From the starting universe of 120 country-sectors, we find only 7 that
are still on the cheapish side. See within for the expensive countrysectors.

Introducing the G-Profile
Always interesting is where a region, country or sector is
at relative to its own 10 year trend on a particular metric.
As an alternative to running these types of charts on an
ad hoc basis we have developed a one page summary that
is designed to bring these relative measures on various
metrics into one place. Going forward, this screen and
report will be available on a monthly basis.
Profiles can be easily run for most MSCI universes
groupings and packaged into a chart book. For example
perhaps you are interested in seeing the profile for all the
resources stocks grouped in MSCI Asia? Or for all the
utility stocks in MSCI Europe? We now run these and
many more groups on a monthly basis.
Note that these profiles are for information only. Whilst
they provide an indication of how cheap or otherwise a
grouping is on a relative to history basis, it certainly
doesn’t represent a “view” (quantitative or otherwise).
How do we aggregate the factors?
We aggregate the factors by using a bottom-up capweighted
average, with some thresholds used on each
individual factor to ensure there are no extreme outliers
that can skew the result.
Note also that all the data used in creating the profiles is
all third party data with historical data sourced from
Reuters and estimates from Thomson consensus.
What is in a G-Profile?
There are 8 charts and 1 table included in the profile to
show historical trends. These nine components are
described below.
Share Price Index chart. This is the official MSCI share
price index (local currency).
The 12-month forward notional EPS chart. This chart
shows 12mth forward notional EPS integer. The 12-
month numbers are calculated as a pro-rata of FY1 and
FY2 forward EPS (using the balance date). We also
include a regression (trend) line through the EPS data as
well as 2SD upper and lower bands around the trend line.
This is to provide a basic context for estimating
cyclicality in forecasts.
The Earnings Yield (and Bond Yield) chart. This chart
shows the aggregated Earnings Yield of the group at each
point in history based on 12 month forward EPS. We also
include the local bond yield where available. For some
countries there is no bond yield data available at the start
of the period so we include a (dotted line) proxy using
the US bond yield + the average long term
premium/discount between the local rate and the US rate.
The ‘Implied Value of Growth’ chart. We express the
information displayed in the earnings yield and bond
yield chart in another way in the ‘Implied Value of
Growth’ (IVG) chart. (The IVG is calculated as 1-
Earnings Yield / (Bond Yield + ERP) using 12 Month
fwd EPS.) The lower the IVG the more growth is being
discounted.
The PE 1 year forward chart. A very popular chart and
requires little introduction. We include an average as
well as 2SD upper and 2SD lower bands provide some
context on the P/E valuations.
The Price/Book Value chart. In this chart we show the
trailing P/Book ratio and again include average, 2SD
upper and 2SD lower bands.
The ROE (trailing) chart. For a look at how the group is
fairing in terms of profitability we show a trailing ROE
chart. ROEs are often used to provide a basic proxy for
company quality.
The Dividend Yield (trailing) chart. It seems dividends
are always popular with investors – especially in
defensive markets. We use the groups actual dividends
paid in the last 12 months to calculate the trailing
dividend yield.
The Summary Table. The summary table shows key
metrics from all charts. It starts with the latest data values
for key metrics and then from the 10 year time series we
display the MIN, MAX and MEDIAN (monthly) level
for these metrics. We often find MEDIAN is a better
measure of "typical" level because it is less vulnerable to
distortion by “one off” events. However we also include
Average as well as the 2SD upper and lower levels
before finally displaying the % change from current to
the Min, Max, Median and Average levels.
Over the page we show an annotated sample.
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关键词:分析报告 证券市场 量化分析 数量化 introduction 证券 数量化 亚太

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2003201202 发表于 2010-4-29 15:55:32 |显示全部楼层 |坛友微信交流群
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