Share-price weakness not justified

研报英文原文证据摘录

Share-price weakness not justified

Macquarie Equity Research Yum China

Alpha Model Decomposition Key Quant Findings

The quant model currently holds a reasonably positive The Macquarie Alpha is decomposed into its sector and

view on Yum China. The strongest style exposure is market relative factor & styles exposures (a higher/better

Valuations, indicating this stock is under-priced in the percentile is coded in green, whilst lower in red).

market relative to its peers. The weakest style exposure

is Price Momentum, indicating this stock has had weak relativePercentileto

medium to long term returns which often persist into the

sectors market

future. Factors / Styles (/481) (/3111) Core factors in definition

ALPHA 81% 67% Built from the styles below

Macquarie Alpha Model: Key rankings VALUE 69% 68% Book, CF, Yield, Earnings Multiples

ANALYST 74% 64% Revisions (Earnings, Recommendations)

The Macquarie Quant’s flagship Alpha model is a dynamic MOMENTUM 47% 33% Price Momentum

multi-factor model based on a staple of quant factors such

as value, momentum, revisions, quality, and risk. GROWTH 71% 73% EPS, Sales (Forecast, Historic)

PROFITABILITY 39% 70% ROE, Margin, Asset Turnover

Global Market (Country) Sector

Consumer QUALITY 65% 77% Accruals, Earn Stability, Cash Conversion Whole Universe United States Services

CAPITAL 71% 83% Investment/Capex, Net share issuance

Macquarie Alpha

5027/17998 1016/3111 90/481 LIQUIDITY 33% 93% Size, Turnover, Analyst Coverage Model

Fundamental LOW RISK 74% 82% Beta, Volatility, Earn.Cert, Leverage 2884/17998 447/3111 82/481 (Consensus) *

TECHNICAL 93% 93% MACD, RSI, Bollinger, Williams R, etc

* based on Total Shareholder Return = Consensus Price target / Current Price

Factors driving the Alpha Model vs peers