Citi’s World Radar Screen seeks to measure relative value and momentum for a global cross-section of stocks covering both developed and emerging markets. Citi believes that “cheap stocks with good momentum are likely to outperform expensive stocks with poor momentum.”
World radar screen – November picks
Sector-wise, region-wise selections of stocks that meet the above criteria are shown in the table below:
It is interesting that six out of the ten sectors show U.S. companies as the best picks, both regionally (in the U.S.) as well as globally.
Relative value-momentum maps
The model is able to generate rankings for industry groups, sectors and regions. Plotting these on a Relative Value-Momentum Map provides a highly visual snapshot of their rankings on the count of Glamour, Attractive, Unattractive and Contrarian quadrants.
Industry Group Map
Most attractive Industry Groups globally are Health Care Equipment & Svcs, Automobiles & Components, Insurance, Banks and Diversified Financials.
Most unattractive Industry Groups are Real Estate, FBT, Software & Services, Consumer Durables and Food & Staples.
According to the analysts, “there was minimal change in sector ratings this month.”
Interestingly, emerging markets rank alongside the U.K. as ‘contrarian’ bets, while Japan ranks high as an ‘attractive’ region. The U.S. is low on value but high on momentum, and therefore qualifies as a ‘glamour’ region.
These ratings have not changed much over the previous month, save Asia ex Japan, which changed quadrants from “unattractive” to “contrarian.”
Model Performance for the month
The analysts said, “The decile return spread for the MSCI World universe was 1.3%. Japan was the only country/region to exhibit negative performance; down 3.32%. All the other major country/regions were up: US (1.99%); UK (2.41%); Europe ex UK (2.67%), and Asia ex Japan (3.07). Emerging Markets was slightly down: -0.21%.”
The above article referred to the research study “World Radar Screen – November Update” by Citi Quantitative analysts Chris Montagu, Liz Dinh, Javier Guardo, Helen Krause, Jason Bennett, Matt Burgess, Natasha D’Silva, Rahul Jalan, James Murray and David Chew.