Utkarsh Agrawal
Associate Director, Global Research & Design , S&P Dow Jones Indices
Do Signals From Earnings Revisions Matter for Size- or Sector-Neutral Fundamental Factor Strategies?
In our earlier blog, “How Important Are Earnings Revisions Signals for Fundamental Factor Strategies in Asia?”, we discussed that the signals from earnings revisions were important for fundamental factor strategies applied across broad markets. They reduced the risk and enhanced the return of the comparable factor portfolios, across the majority of markets. In our research…
- Categories Factors
- Tags Asia, earnings, earnings revisions, eps, factors, large-mid-cap, Pan Asia, sectors, small cap, smart beta
- Categories
- Factors
How Important Are Earnings Revisions Signals for Fundamental Factor Strategies in Asia?
In our previous blog, “The Hunt for Value With High Earnings Expectations in Asia,” we discussed how a simple sequential earnings revision screen historically delivered positive return alpha over the value screen in the majority of markets. The value screen was constructed based on the average of three underlying factors: book value-to-price ratio, earnings-to-price ratio,…
- Categories Factors
- Tags Asia, earnings, earnings revisions, eps, factors, Pan Asia, smart beta, value
- Categories
- Factors
A Glance at the Performance of Emerging ASEAN Markets
In our previous blog, The Growth of Emerging ASEAN, we discussed why market participants are showing increased interest in this region. In this post, let’s take a deeper look at how the emerging ASEAN equity markets—consisting of Indonesia, Malaysia, Philippines, Thailand, and Vietnam—performed historically. The emerging ASEAN equity markets collectively outperformed the Brazil, Russia, India,…
The Growth of Emerging ASEAN
The Association of Southeast Asian Nations (ASEAN) region is well known for its growth potential among market participants who seek to diversify their exposure within emerging markets. ASEAN originally consisted of Indonesia, Malaysia, Philippines, Singapore, and Thailand. It then expanded to include Brunei, Cambodia, Laos, Myanmar, and Vietnam. Within ASEAN, the World Bank classifies Singapore…
Revenue Exposure of the S&P/ASX 200
The S&P/ASX 200 is widely regarded as the institutional investable benchmark in Australia. It is composed of the largest 200 companies listed on the Australian Securities Exchange by float-adjusted market capitalization. Although the majority of the companies are domiciled in Australia, a lot of them derive a significant portion of their revenue from foreign markets….
- Categories Equities
- Tags Australia, Australian equities, revenue exposure, S&P/ASX 200, sectors
- Categories
- Equities
The Hunt for Value With High Earnings Expectations in Asia
In our previous blog, Earnings Revision Strategies in Asia, we discussed how those strategies performed in Asia. Although they worked well in various markets except Japan, there were some implementation challenges, such as high portfolio turnover and low liquidity for small-cap stocks. Therefore, implementing this strategy in combination with other fundamental factors with lower overall…
- Categories Factors
- Tags Asia, earnings, earnings revisions, factors, Pan Asia, S&P Enhanced Value Indices, value
- Categories
- Factors
Earnings Revision Strategies in Asia
Factor-based strategies have been regularly used by market participants in their portfolio construction process. Apart from the established factors like value, size, volatility, etc., research on alternative factors has remained important to explain sources of alpha. One such alternative factor is consensus analysts’ earnings forecasts. Ample empirical research exists that explains the market’s reaction to…
Impact of GICS Changes to Pan Asian Sectors: BAT Moving Away From Information Technology
In November 2017, S&P Dow Jones Indices and MSCI announced revisions to the GICS® structure to be implemented in September 2018.[1] These changes are going to affect the consumer discretionary, information technology, and telecommunication services sectors. As a consequence, the Pan Asian internet giants BAT (Baidu, Alibaba, and Tencent) will be reclassified into the communication…
Rising Interest Rates – Boon or Bane for Pan Asian Dividend Strategies?
In December 2016, the U.S. Fed raised the interest rate for the second time in the current rate hike cycle. Three more rate hikes were expected for this year, one of which took place in March. In a low interest rate environment, companies that have increasing dividends or offer high dividend yields look attractive to…
A Closer Look at the SPIVA India Year-End 2015 Scorecard
In 2015, the S&P BSE SENSEX remained volatile and ended in the red, at -3.68%. In contrast, the S&P BSE India Government Bond Index ended the year in the black, at 8.33%. The net investment by domestic mutual funds in the Indian equity and debt markets was significantly higher than the net investment by foreign…
- Categories Equities, India
- Tags index, India, S&P BSE SENSEX, spiva india