野村证 券 2010年8月亚洲市场定量研究.pdf

Q U A N T I T A T I V E 18 August 2010 Nomura 1 Any authors named on this report are research analysts unless otherwise indicated. See the important disclosures and analyst certifications on pages 25 to 27. Erratum: This replaces an earlier published note in which the final column of Exhibit 3 was incorrect. We apologise for any confusion this may have caused our readers. Quantitative Landscape ASIA PACIFIC Rico Kwan, CFA +852 2252 2102 rico.kwan@ Yasuhiro Shimizu +852 2252 2107 yasuhiro.shimizu@  Action The credit crisis that originated in the US has generated a rebalancing of global investments from the West towards the East. Over the past year, we see a growing impact from Asia on the rest of the world. On quant factor investing, we highlight the performance differences between developed and emerging markets in Asia. Erratum: The changing landscape of Asian markets – a quantitative view  Recent market specifics The credit crisis that originated in the US has generated a rebalancing of global investments from the West towards the East. Since October 2008, the MSCI AC Asia Pacific ex-Japan index has outperformed the MSCI regional indices in the US and Europe, and there has been a growing impact from Asia on the rest of the world. Over the past year, we have seen the continuation of the uptrend in weights of Asian markets, impressive fund inflows to the region, and increased fund-raising activities by IPO. These all reflect a shifting investment preference to Asian markets.  Changes in return attributions We extend our return attribution analysis for Asia Pacific equities and estimate changes in the stock returns attributable to four factors: the global market, country-, sector- and stock-specific factors, over the past year. We see the continuation of the rising global factor effect on Asia equities when the global market recovered from the previous recessionary trough. Meanwhile, there is a significant decrease in the spread between country factor and sector factor effect in emerging Asia, signalling a converging characteristic of emerging Asia to the developed markets. Our analysis also suggests that the performance impact from Asia on the US/ European markets has grown over the past few years, and it is almost the same level as that from US/Europe on the Asian markets.  Investment factors that work Developments in financial market infrastructure, together with improved market depth, provide opportunities to invest in the region using quantitative approaches, in our view. We look at the factor performances in developed and emerging Asia, respectively. In the long run, the factor effectiveness in emerging Asia has been more consistent than that in developed Asia, especially for value investing and earnings-revision indicators. The differences are more evident when we look at different market cycles. After the credit crisis, the utility of quant factors for investing continues look more promising in emerging Asia than that in developed Asia, with significant alphas generated from valuation devices such as E/P and B/P, and earnings revision indicators such as normalised earnings yield and revision index in emerging Asia. N O MU R A I N T E RNA T I O NA L (HK ) L I MIT E D Analysts Rico Kwan, CFA +852 2252 2102 rico.kwan@ Yasuhiro Shimizu +852 2252 2107 yasuhiro.shimizu@ Tacky Cheng +852 2252 2105 tacky.cheng@ Sandy Lee +852 2252 2101 sandy.lee@ Global market factor effect 0 5 10 15 20 25 30 35 40 1994 1996 1998 2000 2002 2004 2006 2008 2010 Japan Developed Pacific ex-Japan Emerging Asia (%) YTD top factors in Asia Pacific ex Japan (2) 0 2 4 6 8 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 (%) Earnings yield Revision index Change in E/P Normalised E/P Note: Universe is MSCI AC Asia Pacific ex-Japan Index constituents. Source: MSCI, Worldscope, I/B/E/S, Nomura Quantitative Strategies Quantitative Landscape | Asia Pacific Rico Kwan, CFA / Yasuhiro Shimizu 18 August 2010 Nomura 2 Contents Recent market specifics 3 Increasing weight of Asian markets 3 Impressive net inflows 4 The biggest IPO market 5 Changes in return attributions 7 Rising trend of the global attributions 7 Smaller spread between the country and sector factor effects 8 Increasing influence in global markets 9 Investment factors that work — when and where 11 Factor performance comparison: developed and emerging Asia 12 Factor performance comparison: AU/NZ versus HK/SG 15 Appendix I: Factor performance in Asian sub-regions 17 Asia ex-Japan 17 Greater China 18 ASEAN 19 Appendix II: Methodology of return attribution analysis 20 Appendix III: Factor definition and analysis 21 Appendix IV: Market statistics 22 Average liquidity, spread, and return volatility per index stock 22 Market cap, turnover, and number of listed companies 22 Type of investor 23 Appendix V: Market charges and stocks lending costs 24 Quantitative Landscape | Asia Pacific Rico Kwan, CFA / Yasuhiro Sh。