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Dynamics
Asia Quant Strategy
What’s more important; countries or sectors?
A common question we hear from investors is what is more important, countries
or sectors? We investigate this issue in the Asia ex Japan universe and show
that for the broader Asia, country effects clearly dominate sector effects.
Further, we show that sectors only become dominant when smaller regions are
isolated.
Given the recent surge in oil prices, we calculated oil price betas for countries in
the MSCI AC World index. In conjunction with this, we have also looked at a
couple of academic studies that have been conducted on the relationship
between oil prices and emerging markets.
And finally, we highlight an article from Dynamics September 2010, looking at
earnings announcements in Hong Kong. Earnings surprises that are
announced at lunch time have a much slower reaction than after hours earnings
announcements, suggesting that there is a “dead market effect” in Hong Kong.
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, Singapore and Australia
Alpha Model: Another strong month
The Alpha model continued its strong run this year with last month’s IC
at 2.4%. The performance of the model differed strongly in Developed
markets vs Emerging, with ICs of -17.0% and 18.7% respectively.
Key quant picks in the region
Stocks ranking well in the Macquarie Alpha Model this month include:
Sinopec (China), SK Holdings (Korea) and Farglory Land (Taiwan).
Stocks ranking poorly include: LCY Chemical (Taiwan), Transurban
(Australia) and Foxconn (Hong Kong).
What’s working: Profit makes profits
Profitability signals have had a strong run in recent months. March has
seen strong performance in all ROA, ROE and ROIC.
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Dynamics
Asia Quant Strategy
What’s more important; countries or sectors?
A common question we hear from investors is what is more important, countries
or sectors? We investigate this issue in the Asia ex Japan universe and show
that for the broader Asia, country effects clearly dominate sector effects.
Further, we show that sectors only become dominant when smaller regions are
isolated.
Given the recent surge in oil prices, we calculated oil price betas for countries in
the MSCI AC World index. In conjunction with this, we have also looked at a
couple of academic studies that have been conducted on the relationship
between oil prices and emerging markets.
And finally, we highlight an article from Dynamics September 2010, looking at
earnings announcements in Hong Kong. Earnings surprises that are
announced at lunch time have a much slower reaction than after hours earnings
announcements, suggesting that there is a “dead market effect” in Hong Kong.
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, Singapore and Australia
Alpha Model: Another strong month
The Alpha model continued its strong run this year with last month’s IC
at 2.4%. The performance of the model differed strongly in Developed
markets vs Emerging, with ICs of -17.0% and 18.7% respectively.
Key quant picks in the region
Stocks ranking well in the Macquarie Alpha Model this month include:
Sinopec (China), SK Holdings (Korea) and Farglory Land (Taiwan).
Stocks ranking poorly include: LCY Chemical (Taiwan), Transurban
(Australia) and Foxconn (Hong Kong).
What’s working: Profit makes profits
Profitability signals have had a strong run in recent months. March has
seen strong performance in all ROA, ROE and ROIC.
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