2025-06-11-花旗集团-澳大利亚雷达屏幕_使用价值和动量选股_15页_462kb

Australian Radar Screen Stock Selection Summary

CITI's Approach: The Australian Radar Screen uses proprietary quant models combining relative value and momentum to screen stocks for systematic investing. It ranks stocks into four quadrants: Attractive (cheap with strong sentiment), Glamour (expensive with strong sentiment), Contrarian (cheap with weak sentiment), and Unattractive (expensive with weak sentiment). The long-short strategy aims to harvest value and momentum returns.

Performance Highlights:

• Monthly outperformance since last rebalance: +4.8% on a long-short basis.
• 12-month dollar outperformance: 18.7%.
• Historical backtest (1997-2025): Annualized return 5.45% at an information ratio of 0.56.
• Performance varies by cycle; struggled during tech bubble and emerging market selloffs but remains consistent overall.
• Attractive quadrant is the best performer, unattractive is the worst; glamour outperforms contrarian in Australian equities.

Key Current Recommendations:

• Attractive Portfolio (Long): Includes QBE Insurance (MV), Telstra Group (TT), Inghams Group, Evolution Mining, and Medibank Private. These stocks have strong momentum and low valuation.
• Unattractive Portfolio (Short): Includes Aristocrat Leisure, Xero Limited (XR), ALS Ltd, Reliance Worldwide, and SGH Ltd. These have weak momentum and high valuation, leading to poor performance.

Historical Insights:

• Performance summary shows volatility and drawdowns (e.g., max drawdown -60%), with positive rolling information ratio in most periods.
• Decade-long data highlights cyclical impacts, including market-specific events like the 2008 crisis and recent EM selloffs.

Disclosures and Risks:

• Analyst certifications and conflicts of interest noted; firm may have conflicts due to investment banking relationships or market-making activities.
• Recommendations are based on relative attractiveness; past performance is not indicative of future results; ETF/stock risks include liquidity and regulatory considerations in various jurisdictions.

Overall Takeaway: The model provides systematic stock selection based on value and momentum, offering outperformance but with inherent risks. Investors should evaluate personal objectives and market conditions.