【出版时间及名称】：2009年亚太证券市场数量化回顾
        【作者】：摩根大通
        【文件格式】：pdf
        【页数】：103
        【目录或简介】：


TABLE OF CONTENTS
Recent Factor Environment.....................................................5
Last quarter of 2009 .................................................................7
December Summary.................................................................8
Factor family performance in 2009 .........................................9
Factor Reference Tables..........................................................9
EARNINGS Factors.................................................................12
Composite Forward Earnings Momentum (1Mth + 3Mth) ...13
Forward Earnings Momentum (1Mth Change) .....................14
Forward Earnings Momentum (3Mth Change) .....................15
Forward Earnings Momentum (3Mth Change) / Co-Efficient Of
Variation ..................................................................................16
5 years Historical Earnings Growth......................................17
Forecast Earnings Growth FY1 to FY2 .................................18
Net Revisions to FY2 [Up-Down]/[Up+Down].......................19
Net Revisions to FY1 [Up-Down]/[Up+Down].......................20
PRICE Factors ........................................................................21
12 Mth Price Momentum ........................................................22
12 Month Price Momentum adj. for volatility (Sharpe style)23
1 Mth Price Momentum ..........................................................24
3 Mth Price Momentum ..........................................................25
6 Mth Price Momentum ..........................................................26
RSI 10 day ...............................................................................27
Price Accel 6M ........................................................................28
Percent off 52 Week High ......................................................29
Composite Co-Efficient of Variation (Avg of FY1 and FY2) 31
Number of Consensus Estimates (FY1) ...............................32
Historical Return on Equity ...................................................33
Change in ROE Between Current and 12 Mths Prior...........34
Asset Turnover .......................................................................35
Sales Growth ..........................................................................36
Payout Ratio ...........................................................................37
Interest Cover .........................................................................38
12M Change in Asset Turnover.............................................39
Gearing....................................................................................40
12M Change in EBIT Margin ..................................................41
Altman Z score........................................................................42
Piotroski F score ....................................................................43
SENTIMENT Factors...............................................................44
Consensus Recom .................................................................45
1 Mth Change in Consensus Recom.....................................46
3 Mth Change in Consensus Recom.....................................47
Target Price 6 Month Momentum..........................................48
Sentiment Composite.............................................................49
VALUE Factors .......................................................................50
Historical P/Book Value Ratio ...............................................51
Historical P/Cash Earnings Ratio..........................................52
Historical Earnings Yield .......................................................53
1 year forward forecast PE ....................................................54
1 year forward forecast PE Relative to History....................55
1 year forward forecast PE Relative to Sector .....................56
Historical P/Sales Ratio .........................................................57
Cash Flow Yield Mean of FY1 and FY2.................................58
Historical Dividend Yield .......................................................59
EBITDA to Enterprise Value ..................................................60
Free Cash Flow to Enterprise Value .....................................61
BLENDED Factors ..................................................................62
Composite Quality..................................................................63
Composite Value Momentum Quality Price Model ..............64
Q-Score Composite ................................................................65
Value to Risk...........................................................................66
Value to Growth......................................................................67
Composite Value ....................................................................68
Composite Momentum...........................................................69
Composite Price .....................................................................70
Composite Price with 1M Reversion.....................................71
Composite Recom..................................................................72
Composite Value Momentum Model.....................................73
RISK Factors...........................................................................74
Success (Barra) ......................................................................75
Size (Barra) .............................................................................76
Volatility (Barra)......................................................................77
Value (Barra) ...........................................................................78
Liquidity ..................................................................................79
BETA........................................................................................80
Factor definitions ...................................................................81
J.P. Morgan quant services: factor back tests ....................87
Viewing the results.................................................................90
Universe & factor construction .............................................94
MSCI Asia Pac ex JP Top 250 Current Stock Universe .......95