20080606-Macquarie-Alpha model performance
Strong earnings yield continues, but
not good enough for Alpha
Impact
􀂃 The Macquarie Alpha model had a slightly negative month in May, yielding a
long-short return spread of -0.2%.
􀂃 It was another month of momentum factors, earnings certainty and earnings
revisions performing poorly, which led to the negative performance.
􀂃 The positive news for the month was again the strong performance of both
earnings yield and dividend yield.
􀂃 More details are contained in our monthly Dynamics. Please contact us for a
copy of the document or the Macquarie Alpha model.
Outlook
􀂃 The Macquarie Alpha model comprises seven factors: earnings revisions,
valuation, long-term price momentum, short-term price reversal, consensus
broker recommendation, change in broker recommendation and earnings
certainty.
􀂃 The performance of the model over the longer term is shown below. Note the
model has been running unchanged and hence ‘out of sample’ since 2001.
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水鱼注意：阅读权限一律提高至30以上。有意见可以自行去订阅Thomson或者Bloomberg，那里报告又多又快，也不要求你阅读权限的。
