HSBC Global Research - Style & Alpha Handbook Vol. 2 - 行业分析报告

HSBC Global Research - Style & Alpha Handbook Vol. 2

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收藏 2011-12-13

HSBC Global Research - Style & Alpha Handbook Vol. 2
Date: 13 December 2011
Language: English
Page: 442

Introduction 8
Our product: looking back and looking ahead 8
Objectives of this handbook 10
Questions answered in this handbook 10
What is Style & Systematic Alpha Research? 10
Philosophy regarding equity markets and model building 11
How to use this handbook 11
Product overview 12
The seven pillars of alpha screen 12
Multi-factor models 12
Style & Sector Strategy 13
Style & Single Factor Analysis 13
Macro Sensitivity Tracker 13
Portfolio Analytics Software 14
Flexible client tools 14
Bespoke research 14
Overview: top-down and bottom-up product setup 14
Research, Tools & Model
Updates 17
General product: two-pronged approach 17
Written research 17
Tools & Model Updates 21
Sourcing models and individual inputs 22
Style Rotation Strategy 23
Style timing in the context of the recent stock
market environment 23
How we define the cycle 25
Global Style Cycle Model: Main conclusions 26
Style Cycle Model: Regional details 27
Other factors to determine our style cycle strategy 31
Sector Strategy 32
Sector strategy based on style strategy 32
Results 32
Multi-factor models:
introduction 36
Overview 36
Product milestones 36
Global and regional stock universes 38
Performance overview 38
Performance data in model chapters 43
Multi-factor models: Global
Models 45
The issue: Global versus Regional models 45
Our new solution: the system’s characteristics 45
What has changed 46
Advantages of the new approach 46
Models in practice: Three sheets of a model file plus a
summary file 46
Region neutral calculation 53
Performance of global models in comparison 53
Additional charts for global models 56
How we treat ‘financials’ 58
Introduction: Why do we need a special framework for
financial stocks? 58
Which are the affected models? 59
How we integrate and score factors for ‘financials’ 60
Value 61
Model description 61
Who should consider the model? 61
Main characteristics of the model 61
History of the model 62
Global – vs equal weighted benchmark 63
Global – vs MSCI AC World Value 64
North America – vs equal weighted benchmark 65
North America – vs MSCI North America Value 66
Europe – vs equal weighted benchmark 67
Europe – vs MSCI Europe Value 68
Japan – vs equal weighted benchmark 69
Japan – vs MSCI Japan Value 70
Asia/Pacific ex Japan – vs equal weighted benchmark 71
Asia/Pacific ex Japan – vs MSCI AC Asia Pacific
ex JP Value 72
Emerging Markets – vs equal weighted benchmark 73
Emerging Markets – vs MSCI EM Value 74
Performance attribution – average monthly
relative performance 75
Stock turnover and turnover reduction strategies 76
Active sector positions top 10% vs market –
historical average 77
Median market cap 78
Global – sector & region over-/underweights 79
Global – special evaluations* 80
Momentum 81
Model description 81
Who should consider the Momentum model 81
Main characteristics of the model 82
History of the model 82
Global – vs equal weighted benchmark 83
North America – vs equal weighted benchmark 84
Europe – vs equal weighted benchmark 85
Japan – vs equal weighted benchmark 86
Asia/Pacific ex Japan – vs equal weighted benchmark 87
Emerging Markets – vs equal weighted benchmark 88
Performance attribution: average monthly
relative performance 89
Stock turnover and turnover reduction strategies 90
Active sector positions top 10% vs market
(historical average) 91
Median market cap 92
Global – sector & region over-/underweights 93
Global – special evaluations* 94
Value/Momentum 95
Model description 95
Who should consider the model 95
Main characteristics of the model 95
History of changes 95
Global – vs equal weighted benchmark 96
North America – vs equal weighted benchmark 97
Europe – vs equal weighted benchmark 98
Japan – vs equal weighted benchmark 99
Asia/Pacific ex Japan – vs eql weighted benchmark 100
Emerging Markets – vs equal weighted benchmark 101
Performance attribution – average monthly
relative performance 102
Stock turnover and turnover reduction strategies 103
Active sector positions top 10% vs market –
historical average 104
Median market cap 105
Global – sector & region OW/UW 106
Global – special evaluations* 107
(Non-cyclical) Growth 108
Model description 108
Who should consider the model? 108
Main characteristics of the model 109
History of changes 109
Global – vs equal weighted benchmark 110
Global – vs MSCI AC World Growth 111
North America – vs equal weighted benchmark 112
North America – vs MSCI North America Growth 113
Europe – vs equal weighted benchmark 114
Europe – vs MSCI Europe Growth 115
Japan – vs equal weighted benchmark 116
Japan – vs MSCI Japan Growth 117
Asia/Pacific ex Japan – vs equal weighted benchmark 118
Asia/Pacific ex Japan – vs MSCI AC Asia Pacific
ex JP Growth 119
Emerging Markets – vs equal weighted benchmark 120
Emerging Markets – vs MSCI EM Growth 121
Performance attribution – average monthly
relative performance 122
Stock turnover and turnover reduction strategies 123
Active sector positions top 10% vs market –
historical average 124
Median market cap 125
Global – sector & region over-/underweights 126
Global – special evaluations* 127
Dividend 128
Model description 128
Who should consider the model? 128
Main characteristics of the model 128
History of changes 128
Global – vs equal weighted benchmark 130
Global – vs MSCI World High Dividend Yield 131
North America – vs equal weighted benchmark 132
North America – vs MSCI US Investable Market
High DY 133
Europe – vs equal weighted benchmark 134
Europe – vs MSCI Europe High DY 135
Japan – vs equal weighted benchmark 136
Asia/Pacific ex Japan – vs equal weighted benchmark 137
Emerging Markets – vs equal weighted benchmark 138
Performance attribution – average monthly
relative performance 139
Stock turnover and turnover reduction strategies 140
Active sector positions top 10% vs market –
historical average 141
Median market cap 142
Global – sector & region over-/underweights 143
Global – special evaluations* 144
Contrarian Investing 145
Model description 145
Who should consider the model 145
Main characteristics of the model 146
History of changes 146
Global – vs equal weighted benchmark 147
North America – vs equal weighted benchmark 148
Europe – vs equal weighted benchmark 149
Asia/Pacific ex Japan – vs equal weighted benchmark 150
Emerging Markets – vs equal weighted benchmark 151
Performance attribution – average monthly
relative performance 152
Stock turnover and turnover reduction strategies 153
Active sector positions top 10% vs market –
historical average 154
Median market cap 155
Global – sector & region over-/underweights 156
Global – special evaluations* 157
FHQF 158
Model description 158
Who should consider the model? 158
Main characteristics of the model 158
History of changes 158
Global – vs equal weighted benchmark 160
North America – vs equal weighted benchmark 161
Europe – vs equal weighted benchmark 162
Japan – vs equal weighted benchmark 163
Asia/Pacific ex Japan – vs equal weighted benchmark 164
Emerging Markets – vs equal weighted benchmark 165
Performance attribution – average monthly
relative performance 166
Stock turnover and turnover reduction strategies 167
Active sector positions top 10% vs market –
historical average 168
Median market cap 169
Global – sector & region over-/underweights 170
Global – special evaluations* 171
Earnings Predictability 172
Model description 172
Who should consider the model? 172
Main characteristics of the model 172
Historical & future changes 172
Global* – vs equal weighted benchmark 174
North America – vs equal weighted benchmark 175

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terrytong

2011-12-13 17:13:16

Europe – vs equal weighted benchmark 176
Global – Additional information 177
Global – sector & region OW/UW 178
Global – special evaluations* 179
North America & Europe – Additional information 180
SHORT 181
Model description 181
Who should consider the model? 181
Main characteristics of the model 181
History of changes 181
Global – vs equal weighted benchmark 183
North America – vs equal weighted benchmark 184
Europe – vs equal weighted benchmark 185
Global: Additional information 186
Global – sector & region over-/underweights 187
Global – special evaluations* 188
Additional information – Europe & North America 189
Statistic Bull/Bear 190
Model description 190
Who should consider the model? 190
Main characteristics of the model 191
History of changes 191
Global (Bull) – vs equal weighted benchmark 192
North America (Bull) – vs equal weighted benchmark 193
Europe (Bull) – vs equal weighted benchmark 194
Japan (Bull) – vs equal weighted benchmark 195
Asia/Pacific ex Japan (Bull) – vs equal weighted
benchmark 196
Emerging Markets (Bull) – vs equal weighted benchmark197
Global (Bear) – vs equal weighted benchmark 198
North America (Bear) – vs equal weighted benchmark 199
Europe (Bear) – vs equal weighted benchmark 200
Japan (Bear) – vs equal weighted benchmark 201
Asia/Pacific ex Japan (Bear) – vs equal weighted
benchmark 202
Emerging Markets (Bear) – vs equal weighted benchmark203
Global (Bull) – sector & region over-/underweights 204
Global (Bull) – special evaluations* 205
Global (Bull) – Additional information 206
Global (Bear) – sector & region over-/underweights 207
Global (Bear) – special evaluations* 208
Global (Bear) – Additional information 209
Universal Alpha 210
Model description 210
Who should consider the model? 210
Main characteristics of the model 211
History of introductions 211
Factors included 211
Global – vs equal weighted benchmark 216
North America – vs equal weighted benchmark 217
Europe – vs equal weighted benchmark 218
Japan– vs equal weighted benchmark 219
Asia/Pacific ex Japan – vs equal weighted benchmark 220
Performance attribution – average monthly relative
performance 221
Stock turnover and turnover reduction strategies 222
Active sector positions top 10% vs market –
historical average 223
Median market cap 224
Global – sector & region OW/UW 225
Global – special evaluations* 226
Regional Emerging Markets
models 227
Model description 227
Who should consider the model? 227
Main characteristics of the model 227
History of introduction 227
Global – vs equal weighted benchmark 229
Emerging Asia– vs equal weighted benchmark 230
CEEMEA ex MENA– vs equal weighted benchmark 231
Latin America – vs equal weighted benchmark 232
MENA – vs equal weighted benchmark 233
Performance attribution – average monthly relative
performance 234
Stock turnover and turnover reduction strategies 235
Active sector positions top 10% vs market –
historical average 236
Median market cap 237
Global – sector & region over-/underweights 238
Global – special evaluations* 239
Liquidity Rating 240
The case for a liquidity rating 240
Different liquidity measures combined in one
single rating 240
Liquidity measures included 240
Scoring and Output 241
Data 241
Bid-Ask / Volume (Median) 241
High-Low / Volume (Median) 242
Bid-Ask / Volume (Skew) 242
High-Low / Volume (Skew) 243
Shares traded / outstanding number of shares 243
Macro Sensitivity Tracker 245
Why tracking the macro scenarios 245
What do we offer? 245
A snapshot of Methodology 251
What do we plan to offer in 2012? 251
Methodology in detail 253
Portfolio Analytics Tool
(PAT) 3.0 259
Introduction: What is a PAT 259
A quick review of PAT 2.0 259
Advances in the PAT 3.0 260
Default regional benchmark 261
Global instead of regional scores 263
Coverage of North American Mid-caps 264
Screenshots of four reports of Portfolio Analytics Tool 264
Flexible Client Tools (1) Style
Strategy Tools 271
Flexible style strategy platform – the global version 271
Flexible style strategy platform – the GEM version 275
Methodology 278
Flexible Client Tools (2) Model
Composer 282
The rationale of global version 282
What is new? 282
The tool at a glance 283
The ‘Model Composer’ panel 283
The ‘Customize View’ panel 284
Screening output 285
Flexible Client Tools (3)
Flexible Model Screener 289
The tool at a glance 289
Methodology of model
building 293
General philosophy 293
Important decisions to take regarding factor and score
calculation 294
Stock and factor universes 294
Selection of factors 294
Factor weightings: Monte Carlo optimisation 295
Adjustment factors – in a nutshell 297
Model calculation 300
Detailed back-testing 301
Frequency of adjustments to factor and weightings of model 301
Factor strategies evaluation 306
What do we calculate? 306
Calculation process 306
Aggregation to factor group return spreads 307
How to use this data? 307
FAQs of our clients 339
General questions about the use of our products
and services 339
Choosing the right product 340
Methodology 341
Style Cycle Model 343
Appendix 1: Yearly Model
Performance Data 344
Appendix 2: factor/factor
group definitions 429
Single factor definition 429
Disclosure appendix 438
Disclaimer 440