全球股票策略量化框架与持仓-Global Equity Strategy Quantitative Framework and Positioning

Summary of Key Points from the Conference Call Industry Overview - The report focuses on global equity strategy, analyzing various regions and sectors based on quantitative frameworks, earnings momentum, and macroeconomic indicators [1][2][3]. Regional Insights - UK: Ranked at the top of the regional aggregate scorecard due to cheap valuations and favorable macro conditions, with a score of 1.45 on the MCI scorecard [4][9]. - Japan: Ranked second but remains underweight; it has the highest operational leverage and is negatively impacted by tightening monetary conditions [4][9]. - GEM (Global Emerging Markets): Ranked third, supported by stronger economic and earnings momentum, with a tactical overweight focus on Brazil and China [4][9]. - Europe: Fourth place, showing deterioration in earnings momentum but remains the cheapest region on the valuation scorecard [4][9]. - US: At the bottom of the aggregate scorecard due to extreme valuations, although it ranks top on earnings momentum and risk appetite when excluding valuation [4][9]. Sector Analysis - Cyclical Sectors: Overweight on financials, particularly in Europe and Japan, and marginally overweight on technology with a selective approach [5]. - Defensive Sectors: Overweight on US healthcare equipment, household products, and flavoring companies due to their cheap valuations [5]. - Luxury Goods: Increased allocation to luxury sectors [5]. Crowding and Market Sentiment - The US is identified as the most crowded region historically, while Europe is the least crowded [6][16]. - The most crowded sectors include Autos, Real Estate, and Semiconductors, while Food Producers, Paper, and Beverages are the least crowded [6][16]. Earnings Momentum and Trends - Earnings vs. Trend: Software earnings are 10% above trend, Semiconductors are 67% above trend, while Healthcare Equipment is 16% below trend [14]. - Machine Learning Insights: Commercial services and software sectors show the most upside potential, while pharmaceuticals and tech hardware are expected to face downside risks [15]. Valuation Insights - Valuation Scorecard: Beverages and Household Products are the cheapest sectors, while Semiconductors and Capital Goods are the most expensive [12][48]. - Overall Sector Rankings: Food Producers rank at the top, followed by Healthcare Equipment and Beverages [12][45]. Macro and Economic Indicators - The macro scorecard indicates that the near-term scenario involves falling markets, USD, ISM, and Global PMIs, with flat inflation expectations [41][50]. - Economic Momentum: Regions are ranked based on Composite PMI new orders and macro surprises, with Europe ex UK showing the highest improvement [30][31]. Recommendations - Analysts recommend a cautious approach towards sectors like Autos and Construction Materials, which are seen as consensus shorts, while Commercial Services and Food Retail are viewed as consensus longs [17]. Conclusion - The report emphasizes a strategic focus on regions and sectors that are undervalued or show strong earnings momentum, while being cautious of crowded sectors and potential macroeconomic headwinds [4][5][6][9].