汇丰银行全球投资策略全球Alpha策略手册第7版418页

Disclaimer&Disclosures:ThisreportmustbereadwiththedisclosuresandtheanalystcertificationsintheDisclosureappendix,andwiththeDisclaimer,whichformspartofit’ssystematicapproachtoalphagenerationThisreportisasummaryofourproductsuite,consistingofwrittenresearchandexcel-basedmodelsandinteractivetoolsWeexplainhowwesearchstockuniversesforthebestinvestmentopportunitiesandcombinedifferentstrategiesatvariousstagesoftheeconomiccycle(styletiming)WeaddstatisticstoshowwhichalphastrategiesworkbestindifferentregionsaswellaswithinglobalandregionalsectorsEQUITIES/ALPHASTRATEGYGLOBALSeptember2018By:VolkerBorghoff,KaiBoeckerandDr.PhilippKaufmann1EQUITIES/ALPHASTRATEGY●GLOBALSeptember2018Introduction67thedition:Lessismore6Whyafocusoninvestmentstylesiskey6Keychangestoourproductssince20167Keytopicsofthehandbook7Ourphilosophyonequitymarketsandmodelbuilding8Howtousethishandbook9Productoverview10TheninepillarsofAlphaStrategyResearch10AlphaStrategy10Sectorrankings(sectorstrategy)13Fundholdings&flows13Ideagenerationandspecialtopicreports14Multi-factormodels14MacroSensitivities16PortfolioAnalyticsTool17Value-addtools(StyleStrategyTool,SuperScreener)18Bespokeresearch19Overview:top-downandbottom-upproductsetup19GlobalAlphaStrategy23Long-termstyle&alpharegimes23TheStyleCycleModel24Howwedefinethecycle24Databehindtheresultsandstrategies27Mainresults28Sofar,sogood:ButhowcanIprojectwhichcyclephasethemarketwillheadfor?28Theupswing29Downswing(1):Mid-cyclecorrection30Downswing(2):primarybearmarketandrecession31TheBondYield–EconomicMomentummodel36Otherfactorstodetermineourstylecyclestrategy38Howtouseourresearchonstyletimingtogeneratestockideasandbuildlists40Sectorstrategy43Sectorstrategybasedonstylestrategy43Multi-factormodels:overview47Overview47Productmilestones47Globalandregionalstockuniverses50Performanceoverview50Universeoverview51Region-neutralcalculations54Performanceofglobalmodelsincomparison54Modelsinpractice:threesheetsofamodelfileplusasummaryfile58Howwetreatfinancials62Introduction:Whydoweneedaspecialframework?62Themodelsthatareaffected63Howweintegrateandscorefactorsforfinancials64StyleStrategyTools65TheglobalversionoftheStyleStrategyTool65TheGEMversionoftheStyleStrategyTool69Methodology70ContentsTHISCONTENTMAYNOTBEDISTRIBUTEDTOTHEPEOPLE'SREPUBLICOFCHINA(THEPRC)(EXCLUDINGSPECIALADMINISTRATIVEREGIONSOFHONGKONGANDMACAO)EQUITIES/ALPHASTRATEGY●GLOBALSeptember20182SuperScreener76Acomprehensivesolutionforsystematicideageneration76Thetoolataglance76SuperScreenerpanel77CustomiseViewpanel79ScreeningOutput80Modelsandfactorsavailableforselection80MacroSensitivityAnalyzer(MSA)6.085WhatistheMacroSensitivityAnalyzer(MSA)?85Preparingasensitivityreport88Interpretingthesensitivityreport91Scenario–IdeaGenerator92Scorecards99PortfolioAnalysis103Keyresultsofmacrosensitivityanalysis111Methodology115PortfolioAnalyticsTool(PAT)3.1121WhatisthePAT?121Ashortguideforusers125Portfoliocharacteristicsoverviews129DividendScorecardTool139Whatisthedividendscorecard?139Themainmenu139Theuniverseofstocks(bottom-upaggregation)140Factorsincluded141Individualweightings141Calculationmethodology,Colours,Ranking141RegionalScorecard1422/Dfactorcomparison142Global/RegionalSectorScorecard143Regionalsectors144FourDividendClustersandClusterPortfolioTool145Amulti-dimensionalapproachtohighyieldinvesting145Determiningthefourhighyieldgroups145Factorsweusetobuildtheclusters146Performanceofthefourclusters148Dividendclustercyclemodel149TheDividendclusterportfoliotool(DCT)151Benchmarks152DividendClusterMembership:Ashortuserguide152Dividendclustermembership:layout155Dividendclusterscores:layout157Howtheportfolioisrankedinourdividendmodel157Singlestockanalysis159GlobalCyclicalityRating160Introduction160Howwedefine‘cyclicality’161Measuresincluded161Scoringandoutput162Cyclicalityversusrelativestockpriceperformance162Asectorsnapshotofourcyclicalityscreening164Methodology165Modelinput166Simplelinearregressionmodel167Modeloutput:cyclicalityranking169LiquidityRating172Thecaseforaliquidityrating172Differentliquiditymeasurescombinedinonesinglerating172Liquiditymeasuresincluded173ScoringandOutput173RegionalandGloballiquidity173Data173Bid-Ask/Volume(Median)1743EQUITIES/ALPHASTRATEGY●GLOBALSeptember2018High-Low/Volume(Median)175Bid-Ask/Volume(Skew)175High-Low/Volume(Skew)176Sharestraded/outstandingnumberofshares177LiquidityRatinginpractice178EquityStylizer179ValueModel180Modeldescription180Whoshouldconsiderthemodel?180Maincharacteristicsofthemodel180Historyofthemodel181ValueModelGlobalvs.equalweightedbenchmark182ValueModelGlobal:Sector®ionover/underweights183ValueModelGlobal:Specialevaluations*184MomentumModel186Modeldescription186Whoshouldconsiderthemodel?186Maincharacteristicsofthemodel187Historyofthemodel187Modelfactorsindetail188MomentumModelGlobalvs.equal-weightedbenchmark193MomentumModelGlobal:Sector®ionover/underwe