wolfe定量研究2010年股票选择研究报告.pdf

QUANTITATIVE RESEARCH QUANTITATIVE RESEARCH PORTFOLIO DESIGN AND SELECTION PORTFOLIO DESIGN AND SELECTION April 6, 2010 THE MOST IMPORTANT REPORT THE MOST IMPORTANT REPORT THAT WE WILL PUBLISH ON STOCK SELECTION IN 2010 THAT WE WILL PUBLISH ON STOCK SELECTION IN 2010 Introducing The “Quality Of Reporting (QOR)” Score: A Better Measure Of Quality Our core philosophy on investing is the belief that economic prospects explain most of what takes place across financial markets. Observing the influence of the business cycle on the overall market and sector rotation is often pretty clear, while seeing its effect on quantitative-investment strategies is more opaque. Our research tells us that quant factors often perform very differently in the various phases of the business cycle. As we approach a cycle peak in leading economic indicators, the differentiation in performance between stocks increases and the added-value of valuation screens gradually increase. The upcoming peak in LEIs is likely to usher in the sweet spot for valuation-based investment strategies. The Rise In Accruals Brings Into Question The Quality Of The Earnings Recovery 0.9 1,600 1.1