資源描述：
《美股量化策略-GICS重新分類已經(jīng)開始》由會員上傳分享，免費在線閱讀，更多相關內容在行業(yè)資料-天天文庫。
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
