In our previous blog, our studies indicated that most factor indices in China exhibited distinct return characteristics during up and down markets. To understand the sources that drive differential factor performance, we examined the risk factor exposures and factor impact on the performance of S&P China A-Share Factor Indices[1] based on the Axioma AXCN4-MH China Read more […]
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 Read more […]
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, Read more […]
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 Read more […]
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 Read more […]
The story of Asian fixed income remains compelling, and select Asian bond markets recorded strong growth and solid performance in 2016. Most Asian currencies strengthened with the news of the Brexit, which may further improve sentiment among market participants. Asian bond yields, though tightened, are still at an elevated level compared with their global peers. Read more […]
As an exercise in understanding market volatility, we recently introduced the dispersion-correlation map to see how volatility manifests in dispersion and correlation. We saw very high levels of correlation at the beginning of January for both the S&P 500 and S&P Europe 350; the S&P Pan Asia BMI also sat at above average correlation then. Read more […]
This post is about the Chinese investment landscape covering the stock and bond markets and covers the challenges of the current Chinese stock market. Recent Chinese Stock Market Turmoil China A-Shares have rallied since Q4 2014 to their peak in mid-June 2015. The one-year performance for the S&P Total China BMI rose over 110% (from June Read more […]
Many people are asking if we are seeing withdrawals from commodities since oil has dropped about 25% since its high in June. While we don’t track asset flows of products based off the indices, the anecdotal answer is many view this as a buying opportunity. The IEA predicts an acceleration of oil demand growth from non-OECD countries Read more […]
Perception might be that lovers everywhere have always enjoyed the confection of affection, chocolate. However, it has taken some time for many Asian countries to adopt the taste, but it seems now they have fallen in love. The Singapore-based Cocoa Association of Asia said that in the fourth quarter of 2013 demand rose 10% from Asia including Malaysia, Singapore Read more […]
