Morgan Stanley-China Quantitative Strategy A-shares Alpha Guide – 1Q24-105735160

MJanuary4,202410:40AMGMTIdeaChinaQuantitativeStrategyAsiaPacificMorganStanleyAsiaLimited++8522848-7102+8522848-6853A-sharesAlphaGuide–1Q24GilbertWong,CFA+8522848-8845MorganStanley's"A-sharesAlphaGuide"providesaQuantitativeStrategistcomprehensivequarterlyupdateof:1)stockideasinQuantChinaGilbert.Wong@morganstanley.comLong-OnlyModelStockScreen;2)quantsignalsandmarketdynamicsthatwearemonitoring;and3)ourlatesttakeawaysLauraWangandrecommendationsonthemarket.EquityStrategistMLaura.Wang@morganstanley.comMarketoverview:TheChinaA-sharesmarketcontinuedtotrendlowerin4Q23,asJasonNg,CFAtheCSI300andCSI500returned-6.2%and-4.6%,respectively,inlocalcurrency.Value(e.g.Materials,Industrials)outperformedGrowth(e.g.,TechHardware,QuantitativeStrategistMedia).Concurrently,LowBetafactoroutperformedthemost,butQuality,Jason.Dl.Ng@morganstanley.comMomentum,andLargecapunderperformed.MorganStanleyappreciatesyoursupportinQuantChinastockscreenperformanceandchangehighlights:Ourscreenthe2024InstitutionalInvestorAll-AsiaoutperformedCSI300by+1.9%in4Q23,roundingupoutperformancein2023atResearchTeamSurvey.Votingwillopen+3.1%intotal.Theoutperformancein4Q23wasdrivenbyourexposuretowardLowearlyJanuary2024.BetaValuestocks,whileourshortpricemomentumexposurealsoplayedout.Headinginto1Q24,ourscreen(Exhibit8)continuedtosuggestexploringalphaExhibit1:QuantCh...