_亚洲风格指南_2024年上半年动量表现(英)

Industry and Company Analysis 1. Market Performance and Style Factors: * Momentum performed best in 1H24: Momentum, Quality, and Size factors posted strong returns in June, with 12-month Momentum and Momentum Composite leading the gains. Value factors, however, suffered losses. * Macroeconomic Factors: The explanatory power of macro factors, particularly the USD Index, declined slightly. The US 10Y-2Y Spread saw an increase in explanatory power. * Market Valuations: Asia ex-Japan market valuations increased from 12.6x 12-month forward PE in May to 12.8x in June. Financials traded below their lower quartile of historical PE ranges, while IT and Materials traded above their upper quartile. 2. Quantitative Style Performance: * Momentum Composite: The best performer YTD, up 22.2%. * Quality: Fundamental Growth and High Quality factors saw increases in valuations. * Value: Composite Value and Dividend Yield FS factors performed well. 3. Factor Descriptions: * Growth: EPS Growth and Fundamental Growth. * Momentum: Momentum Composite, Price Momentum, and Revision to 12m fwd EPS FS. * Quality: High Quality and Delta Quality. * Risk: Low Price Beta and Low Volatility. * Size: Float Adjusted Market Cap. * Value: Composite Value, Earnings Yield FS, Dividend Yield FS, Book Value Yield, and FCF Yield. 4. Valuation Method and Risk Statement: * The quantitative models rely on reported financial statement information, consensus earnings forecasts, and stock prices. * Errors in these numbers are sometimes impossible to prevent. * The models employ historical data to estimate the efficacy of stock selection strategies and the relationships among strategies, which may change in the future. 5. Required Disclosures: * The document was prepared by UBS Securities Asia Limited. * UBS does and seeks to do business with companies covered in its research reports. * Investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. 6. Analyst Certification: * Each research analyst primarily responsible for the content of this research report certifies that all of the views expressed accurately reflect his or her personal views about those securities or issuers and were prepared in an independent manner. 7. UBS Global Research Disclaimer: * This document has been prepared by UBS Securities Asia Limited, an affiliate of UBS AG. * Any opinions expressed in this document may change without notice and are only current as of the date of publication. * Different areas, groups, and personnel within UBS may produce and distribute separate research products independently of each other.