Aggregate Earnings Summary
In this report we breakdown the just finished Earning Season by each sector and look at the new aggregate guidance for FY3/17. However, we are using two of our products that some of you may not be familiar with. So we want to give a brief explanation about them.
Specific Company Factor Analysis
Instead of looking across a universe of Companies to find which factor drive that universe, we use a time series for a specific company to see which factor drives that company. For example, if PBR is high, does the company underperform or does it not matter. Toho Gas is a great example. As you see in the chart below, PBR has a 29% IC, which means that when PBR is low, price rebounds, and when it is high it tends underperform.
The Portfolio Analyser breaks down the exposure to all the different factors. For this report we are using it to understand attributes of the different sectors. However, the main use is to verify that you have the desired exposures in your portfolio and do not have any unwanted exposures. For example you may have a Value strategy, but in fact the portfolio is more geared to growth. As an example, we screened for names with high Sales Growth and Low PBR. As you can see, this mock-portfolio has huge exposure to Sales yield growth and Book Yield. Happy to discuss the calculations, but this report is not the place to go into detail.
Full report available here