UBS Equities-Global Equity Strategy _Quantitative Framework Update_ Garth...-109840155(1)

ab14August2024GlobalResearchandEvidenceLabGlobalEquityStrategyQuantitativeFrameworkUpdateEachmonth,weupdatethethreekeypartsofourquantitativeframework:1)Scorecards-Ourindividualscorecardsranksectorsbasedonvaluations,sensitivitytoourproposedmacroscenario,earningsmomentum,pricemomentum(whereextreme),positioningandqualityfundamentals.Thecompositescorecardcombinesallthesefactorsintooneoverallscore.2)EarningsversusTrend-WelookattheEPSversustrendtoevaluateoneelementofearningsriskaswellasthefitwithtrend.3)MachineLearning-Thislooksatwhichmacrovariablesarethemostimportanttotherelativesectorreturnsbyrefittingandtrainingamachinelearningmodelonathree-monthrollingbasis.Thevariableswelookatarelargelydailymacroproxies(suchas2-10YieldCurve,Harddata,AINarrative,ChinaProxy,Softdata,US10ybreakevenandUS10yrealyield)andaresuppliedbySeanSimonds(seeTacticalDashboard).Thisquantitativeframeworkconstitutesonlyonepartofouroverallweightingsanalysis.Regions:OurmostpreferredregionsareCont.EuropefollowedbytheUK(whichisadefensivemarketandnowscoresnumber2onourregionalscorecard,up2places)andpartsofGEM,down1placeto3rd(EasternEurope,Brazil).Japanremainsnumber1onourscorecardbutotherfactors(veryhighoperationalleverage,Yenstrength,BoJratehikingcycle,outsizedexposuretoChina)areproblematicforJapan.TheUSstaysatthebottomofourregionalscorecard.Sectors:I...