美股量化策略-GICS重新分類已經(jīng)開始

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時間:2018-07-20

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1、若出現(xiàn)數(shù)據(jù)缺失,圖表錯位,可加微信:535600147,憑下載記錄截圖索取pdf版本increaseswereforstocksstayinginthetechsector:AAPL,MSFTandINTC(Exhibit1).Thebiggestdecreaseswereforstocksinthenewcommunicationssector:GOOG,FB,GOOGLandVZ.WethenscaledtheMayholdingschangesbyaveragedailytradingvolumestogaugetheirimpac

2、t.ThelargestscaledbuyswereforMA,ADP,ADBEandAAPL,ataround10%ofdailytradingvolume.StockssuchasVZ,FB,GOOGandGOOGLhadlessthan10%ofdailytradingvolumesold.However,somesmallertelecomstockshadover100%ofdailytradingvolumesoldinMay.4.IsGICStheonlyclassificationsystemthatischanging?

3、No,theICBclassificationsystem,usedbyFTSERussellIndexes,willundergoreclassificationonDecember31,2018.WhilethetelecomsectorwillalsochangeforICB,thechangesaredifferent:telecomequipmentwillmovefromtechtotelecom,ratherthaninternetcompaniesinGICS.Soinsteadof,say,FBenteringtheGI

4、CScommunicationssector,wemayhaveCSCOenteringtheICBcommunicationssector.RealestatewillalsobebrokenoutfromtheICBfinancialsectorattheendofthisyear.5.Howarerecentperformanceandvaluationforthenewsectors?Thecommunicationssectorhaslaggedthecurrentandnewtechanddiscretionarysector

5、sin2018returns,andithasa-1.9%annualizedalphain2018(Exhibit2),basedonour6-factorriskmodel.Also,whilecorrelationsbetweentelecomandbothtechanddiscretionaryhaverecentlydeclined,correlationswiththecommunicationsectorandnewtech/discretionarysectorsremainelevated.Thecommunicatio

6、nservicessectorisexpensiverelativetotechonforwardearningsandfreecashflow,andhasaloweryield.Asareminder,thetop5investorimplicationsfromouroriginalanalysis:1.Sectorfunds,bothpassiveandactive,mustsellstocksthatareexitingaffectedsectorsandbuystocksthatareentering.2.Activemana

7、gerswithsectorconstraintsmayneedtoadjustpositionstocomplywithnewsectorlimits.Itmaybeanopportunitytoincreasepositionsthatwereonceconstrained.3.Investorswithtop-downsectorviewsmayhavetorevisetheirviewsandmethodologyforthenewsectors.4.Investorswhopickstocksusingpeergroupsorf

8、actorsmayneedtoreevaluatetheirapproachtothenewsectors.5.Quantitativeinvestorsthathavesectormodel

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