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1、GEMQuantPanoramaQuantitativeStrategy
2、GEM30November2010PerformanceopportunityinGEMCarrieZhao+16468555855QuantitativeStrategistMLPF&S¢PerformanceopportunityfromGEMstockselectioncarrie.zhao@baml.comTheopportunityforGEMinvestorstoaddalphafromstockselectionhasfallenGirishNair>>+85225363982Quantita
3、tiveStrategistdramatically(Chart46).AlthoughthedispersionofstockreturnsinGEMisatMerrillLynch(HongKong)recordlowlevels,investorsmayfindopportunityfromstockselectionwithingirish.nair@baml.comcertainsectors.OuranalysisshowsthatstockreturnsareconsistentlymorespreadoutinAutos/Durables/Services,Med
4、ia,Industrials,TechHardwareandMaterials,providingrelativelymoreopportunitytoaddtoperformance.TheGlobalWaveWhatfactorshaveworkedYTDTheGlobalWave–whichquantifiesYear-to-dateinGEM,smallSize,Risk,andValuestrategieshaveperformedthetrendsinglobaleconomicactivity–best(Chart66).Interestingly,Growthha
5、sbeenlaggardsinGEM.Weexpectresumeditsuptrendlastmonth.Growthstrategiestoplaycatch-up,andValueandsmallSizetocontinuetoworkwellgiventhecurrentmacroenvironment.Chart2:GlobalWaveValuationsremainattractive6560TheprospectivePEofGEMremainsbelowlong-termaveragelevels(Chart31).55Earningsforecastsforth
6、eregionareup64%fromtroughlevels(Chart33),5045outpacingmarketperformance.ThissupportsourcontinuedpositiveviewonGlobalWave40GEM.353025Chart1:DispersionofstockreturnsbyGEMsector888990919293949596979899000102030405060708091011GlobalWavePeakTroughn0.32Source:MLGlobalQuantitativeStrategy,MSCI,IBES,
7、OECD,IMF0.300.28Styleportfolios0.26QuantessentialValue0.24QuantessentialGrowth0.22QuantessentialQualityQuantessentialRisk0.20QuantessentialMomentumGEMMediaUtilitiesTelecomEnergyBanksQuantessentialDividend12mAverageAnnualised1-monthDispersioMaterialsRetailingInsuranceQuantessentialSmallSizeInd
8、ustrialsHealthCareTechHardwareSoftware&Serv.Auto,Dur,ServicesDivFinancials,REConsumerStaplesGEMBoosterPortfolio(foranupturn)GEMBunkerPortfolio(foradownturn)Source:MerrillLynchGEMQuantitativeStrategy,MSCI,IBESc58da9b710df662c>>Employedbyanon-U
