India Equity Research Reports, IPO and Stock News Visit http://indiaer.blogspot.com/ for complete details �� ��
Asia Dynamics
Quant Strategy – what will the coming year bring?
What will coming year bring?
For our first Asia Dynamics report of the year, we looked at constructing a fair
value model for world equities using a Dividend Discount Model (DDM). The
results suggest that world equities are still undervalued, with around 30%
upside.
We also update our macro-style timing model to see what styles are the most
likely to perform in the current economic environment. The model remains
relatively bullish with strong exposures to Momentum and Analyst sentiment
strategies. Strategies of Growth and Quality are expected to underperform.
Finally, we look at the various January effects discussed in the media and test
them out in an Asian environment. We find that there is truth to some of the
January effects in Asia, and dispel a few ideas as well.
Country Model: Buy Thailand; sell India
The top three countries in our Macquarie Asia-Pacific Country Model this
month are: Thailand, Korea and Indonesia.
The bottom three countries are: India, Japan,and Australia.
Alpha Model: Another strong month
The Alpha model had a flat month last month, even though performance
has been very strong this year. Performance in Developed markets was
slightly positive while Emerging markets were slightly negative.
Key quant picks in the region
Stocks ranking well in the Macquarie Alpha Model this month include: China
Sinopec (China), ICBC (China) and Coretronic (Taiwan).
Stocks ranking poorly include: Hyundai (Korea), China Travel (Hong Kong)
and LCY Chemical (Korea).
What’s working: Analysts Sentiment comes back
Analyst Sentiment and Momentum make a comeback: Analyst signals
continue to profit while momentum is beginning to perform after a long period
of weakness.
No comments:
Post a Comment