S&P Capital IQ® provides professional investors with high quality data, stock selection models (signals), and value-added research, helping its clients achieve superior results. Since the launch S&P Capital IQ's four U.S. stock selection models in January 2011, we released a suite of global stock selection models targeting both developed and emerging markets. In this report, we introduce a stock selection model for the Japanese equity market that completes our global model offering.
The S&P Capital IQ Japan model offers a systematic and robust approach to stock picking in Japan. The model was tested within the S&P Japan Broad Market Index (BMI) and we document the following:
- The Japan model generated statistically significant excess returns in the S&P Japan BMI.
- Institutional Ownership, or 'Smart Money,' based signals are complementary to fundamental and technical signals.
- The model showed robust performance across 7 GICS sectors (Energy, Telecommunications, and Utilities are excluded due to limited coverage).
- Consistent Performance in both Value and Growth regimes.
- Robust model performance after controlling for market capitalization and beta exposures.