The Quant Angle
Waiting for the New Year Cheer
AsiaPac/GEM Quant
Steve MalinAC
(852) 2800 8568
steven.j.malin@jpmorgan.com
J.P. Morgan Securities (Asia Pacific) Limited
Robert Smith
(852) 2800 8569
robert.z.smith@jpmorgan.com
J.P. Morgan Securities (Asia Pacific) Limited
Marc Menem
(44-20) 7325-7124
marc.a.menem@jpmorgan.com
J.P. Morgan Securities Ltd.
See page 39 for analyst certification and important disclosures, including non-US analyst disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may
have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision.
The Quant Quadrant
Still heading south...
TH
TW
SG
PH PK
NZ
MY
KR
IN
HK
AU CN
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
-15% -11% -8% -4% 0% 4% 8% 11% 15% 19%
Earnings Growth
3 Month Earnings Mom. %
Source: J.P. Morgan, IBES
With the recent downgrade trends
only easing for New Zealand and
Malaysia, the rest of Asia Pac
continues to see increasingly
negative momentum and falling
earnings growth.
Momentum for all markets is
negative, along with negative
growth for about half of them. And
the rest are also headed into
negative territory!
Waiting for the New Year Cheer
Performance around the Chinese New Year
Turning our quant magnifying glasses to the Hang Seng Index around Chinese
New Year we’ve calculated the average index performance for the 30 days before
and 30 days after the Chinese New Year date for the last 40 years. Typically we
see a bounce around CNY, but this year we’ve seen anything but – with only a
blip of encouragement as of today!
Largely due to this festive effect, we then chose to take a quick look at historical
weekly index returns across Asia Pacific. Market seasonality sayings are common
(‘Chinese New Year Effect’, ‘The January Effect’, ‘Sell in May and Stay Away’,
‘The Half-Month Effect), and much has been written on the reasons for, and
magnitude of market return seasonality. In our analysis we attempt to quantify this
seasonality for Asia Pac. (Page 4)
But despite the recent market performance, we’d like to wish everyone a prosperous
and happy new year!
2008 Factor Review
Dividend Yield was the All Star Performer
In this article we look at our entire suite of quant factors as well as their composite
family performance over the last 12 months. The best performance in terms of longshort
returns for the year was by far by Dividend Yield. It did an astounding 59.4% in
a year that saw most other factors struggling.
Our Q-Score composite (a typical four family composite) was hurt badly by on-again
off-again market turning, where stock performance was driven primarily by macro
news flow rather than rational company fundamentals – it ended the year poorly with a
performance of -13% for 2008. (Page 11)
Asia Pac Quant Fortnight
• The Latest Q-Scores (Page 2)
• Earnings Revisions Radar (Page 24)
• Recommendations Radar (Page 26)
• Overbought & Oversold (Page 29)
• The Fallen Angels (Page 33)