ab10 January 2024Global Research and Evidence LabGlobal StrategyQuantamental Signal Ideas - Top & Bottom Ranked StocksDetails on the methodology/model can be found in our Q-Series report11 Quantamental signals to spot opportunities in global equitiesWe recently introduced our new quantamental framework for single stocks. This model uses 11 high-performing indicators that aim to extract information from price momentum, stocks’ fundamentals and investors’ sentiment/positioning... In this note, we flag stocks across five regions (US, EU, China, Japan and Australia) that screen well quantitatively in our framework and qualitatively based on UBS analysts’ ratings. An easy-to-read dashboard will help visualize the quantamental scores, while our analysts have shared a short blurb highlighting their fundamental views on the selected stocks.What are the model’s recommendations today?Based on the stock-level scores and an optimisation for portfolio balance, we find that the highest-scoring stocks tend to come from sectors like Auto Components, Energy, Transportation, Capital Goods and Communication Services. The lowest-scoring stock list is dominated by Food Beverage & Tobacco, Household Personal Products, Staples, Health Care, Tech and Real Estate stocks. Do note these recommendations can differ from the fundamental views of our equity strategy team.What are the industries whose rankings have changed the most?Compared to the previous update (done on 15th November), our model is raising its (already high) risk-on stance, reverting its year-end risk reduction. Most industries have seen their overall scores upgraded, especially the cyclical ones like Industrials, Financials and Real Estate. Defensives are exhibiting the lowest improvements, when Energy is the only sector where scores have deteriorated, albeit from a very high level. What are the notable differences across regions?Staples stocks exhibit great scores in Japan but not in the other four regions. Real estate companies rate poorly in the US and China but great in Japan, Australia and Europe. Materials and Tech names continue to rank (relatively) badly in China. Utilities in Australia scores very low as well, especially compared to other markets. UBS publishes a report that utilizes a quantamental framework for single stocks known as the "Quantamental Signals Strategy." The model uses 11 high-performing indicators to filter a trading signal for each stock globally. If you have any questions about this product, please speak to your UBS sales representative or email the Quantitative Research Team at qa@ubs.com. An easy-to-read dashboard that includes all stocks listed on the S&P 500, Eurostoxx 600, MSCI China, Nikkei 225 and S&P/ASX 200 is also available, and you should contact your UBS sales representative or the Quantitative Research team at qa@ubs.com for details and pricing.This report has been prepar...
