Tag Archives: Pan Asia
4 Ways to Compare Asian and U.S. Dividend Markets
Dividends are becoming increasingly important as investors grapple with higher U.S. Treasury yields that do not appear to be going down anytime soon. However, not all dividend markets are created equal. Below are four charts that compare dividend index performance in Asia to the U.S. The S&P Pan Asia Dividend Aristocrats Index brings S&P Dow…
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The Case for Dividend Aristocrats in Pan Asia
During a time of acute monetary policy tightening throughout much of the western world, major Asian central banks have remained relatively more accommodative. In China, the People’s Bank of China cut its key five-year prime loan rate last week1 after cutting it only a few months ago in May. In addition to the looser monetary…
Shelter from the Storm
As we approach the final month of a rollercoaster year in the markets, adding a factor lens can provide perspective, especially when it comes to low volatility. The goal of low volatility strategies is to provide investors with protection in falling markets and participation in rising markets. The need for protection has become more relevant…
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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…
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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,…
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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…
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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…
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Asian Fixed Income: 2017 Pan Asia Report Card
The S&P Pan Asia Bond Index, which seeks to track local currency bonds in 10 countries and is calculated in USD, reversed its loss in 2016 and delivered a total return of 7.86% in 2017. Meanwhile, its yield-to-maturity widened 123 bps to 4.64% YTD. The S&P Pan Asia Corporate Bond Index outperformed the S&P Pan…
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Asian Fixed Income: Continuing Rally for Indonesian Bonds
Indonesian bonds, as tracked by the S&P Indonesia Bond Index, gained 5.59% YTD as of April 5, 2017. This is a continuation of the strong growth trend observed in 2016, when the index increased 13.7% owing to the Bank Indonesia’s cut in interest rates on six occasions throughout the year. Indonesia has been one of…
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