Style & Alpha Special-Introduction of global 'Cyclicality Rating'

abcGlobal Research

Introduction of our global single stock

cyclicality rating

Model indicates the cyclicality relative to GDP changes for the majority of stocks in our universe (approx. 4,850 names)

Stocks are classified from decile 1 (highest cyclicality) to decile 10 (non-cyclical)

Unique cyclicality measure for single stocks We introduce our new global cyclicality rating which

provides an indication of cyclicality of individual stocks at a

glance. Cyclicality in our view is measured by a company’s

sensitivity to a change in GDP growth rates. The rating will

be included in our monthly model overview.

Factors included Sales per Employee

Margins: Gross profit, EBITDA, Net profit

Growth: EPS & Sales

Special factors for financial stocks: Pre-tax profit

margin, Loan coverage ratio, CFO/net premiums

written, DPS Growth

Where to find it The model provides the investor with a unique cyclicality rating

for the majority of the stocks in our global universe. Companies

are divided into 10 deciles, of which decile 1 consists of the

most-cyclical stocks and decile 10 consists of the least-cyclical

stocks. We also provide the factor data used to calculate the

rating on a yearly basis.

Cyclicality rating in our Monthly Overview

Source: HSBC

Global Equity Style & Systematic Alpha

Style & Alpha Special

Introduction of global ‘Cyclicality Rating’

12 March 2012 Rocco Strauss* Analyst HSBC Trinkaus & Burkhardt AG, Germany +49 211 910 2027 [email protected]

Volker Borghoff* Analyst HSBC Trinkaus & Burkhardt AG, Germany +49 211 910 3298 [email protected]

Yi Xie* Analyst HSBC Trinkaus & Burkhardt AG, Germany +49 211 910 1601 [email protected]

Kai Boecker* Analyst HSBC Trinkaus & Burkhardt AG, Germany 49 211 910 3721 [email protected]

View HSBC Global Research at: http://www.research.hsbc.com

*Employed by a non-US affiliate of HSBC Securities (USA) Inc, and is not registered/qualified pursuant to FINRA regulations

Issuer of report: HSBC Trinkaus & Burkhardt AG

Disclaimer & Disclosures This report must be read with the disclosures and the analyst certifications in the Disclosure appendix, and with the Disclaimer, which forms part of it

http://www.research.hsbc.com/

2

Global Equity Style & Systematic Alpha 12 March 2012

abc

Introduction: Global Cyclicality Rating 3

Cyclicality and Price Performance 5

A sector snapshot of our cyclicality screening 7

Macro figures and fundamental factors in detail 10

Methodology 14

Overview of Decile 1 and Decile 10 stocks 19

Disclosure appendix 37

Disclaimer 39

Contents

3


abc

Introduction Shorter-lasting business cycles with generally

lesser degrees of fluctuation of leading indicators

in the recent 2 decades (except the trough of

financial crisis in 2008/2009, see chart 1) require

a more sophisticated look behind the scenes and

from a style & alpha point of view a smart way to

filter firms that are rather cyclical or non-cyclical.

In fact, it seems that macro influences on stock

prices are even on the rise during the last few

years. One of our clients tells us that 20 years ago

he invested 80% of time to analyse the

fundamentals of a company and 20% on the

macro environment to make investment decisions

and now this ratio has nearly reversed.

Our impression is that most other investors are

making similar adjustments to the way they

allocate their time. Alongside our style rotation

strategies we discuss in our Style Rotation

Outlook quarterly reports this constitutes another

reason for us to deal with cyclicality issues.

(1) Leading indicators worldwide since 1961

88

9092

9496

98

100102

104106

108

30

3438

4246

50

5458

6266

70

OCED Leading Ind icato r ( lhs) ISM (rhs)

Source: HSBC, Factset

In times when the economy shifts gears heading

towards a recession or even only into a mid-cycle

growth deceleration, investors will not want to

buy cyclical shares. With our cyclicality tiering

we aim to provide investors with an additional

add-on which will be integrated into our monthly

updated style models.

How we define ‘cyclicality’ When we talk about the ‘cyclicality of a stock’ we

basically mean the degree to which the

fundamental ratios of this stock follow the general

prevailing macroeconomic trend measurable by

changes in GDP growth.

Introduction: Global Cyclicality Rating

A new factor integrated in our global style models

We measure how company-specific fundamental factors react to

global and regional GDP changes

Rating from decile 1 (highest cyclicality) to 10 (lowest cyclicality)

https://www.research.hsbc.com/midas/Res/RDV?p=pdf&key=giAs13FRKM&n=315944.PDF

https://www.research.hsbc.com/midas/Res/RDV?p=pdf&key=giAs13FRKM&n=315944.PDF

4


abc

We want to emphasise that we do not aim to

analyse the cyclicality of a specific company

relative to inter-sector business cycles, e.g. in case

of innovative technologies being introduced as the

new standard. For example, new electronic

passports may boost shares of companies involved

with that specific technology even if the economy

in heading to a recession, and our analysis does

not capture such industry-specific dynamics.

We rather aim to provide investors with guidance

on how fundamentals of a company are likely to

be affected when the overall macro environment

is expected to improve or to deteriorate. In other

words we measure the repercussions of a typical

macro call on the company’s P&L. We also stress

that the cyclicality rating is entirely based on

these fundamental observations and is not directly

related to stock price changes. Clearly, we expect

- and our backtests reveal - there is a strong

relationship between cyclicality of the stock and

the relative performance of the stock (more

further below).

Measures included Macro measure

We use a composite measure of 50% global GDP

and 50% regional GDP, taking into account that

resourcing and selling markets of a company are a

global and regional mix of influences.

The next tables show the fundamental ratios we

include to calculate the ratio. For detailed

information on the measures we use, please view

the next chapter.

Fundamental measures (2) Overview of fundamental measures & factor weightings

Non-financials

Banks & Diversified Financials

Insurance companies

Real Estate

General factors used

Sales per Employee 12% 14% 14% Gross profit margin 20% EBITDA margin 20% 22% 22% Net profit margin 20% Sales growth 14% EPS growth 14% 30% 30% 30%

Additional measures for financials stocks Pre-tax profit margin 22% 22% Loan coverage ratio 12% CFO/net premium written 12% DPS growth 70%

Source: HSBC

Scoring and output Scoring

For each factor we require at least ten data points

since 1997 and use a regression analysis to

evaluate the sensitivity of the factor y-o-y changes

to GDP y-o-y changes. Afterwards, we apply our

standard scoring system to calculate scores for

each cyclicality measure mentioned above. We

then aggregate these single factor scores to a total

score, which directly relates to the cyclicality

assessment of a stock. All stocks from our global

universe are then classified into 10 deciles.

Where to find it

The rating provides the investor with a simple

cyclicality tiering for the majority of the approx.

7,500 stocks in our universe. Companies are

divided into 10 deciles, of which the first decile

(Tier 1) comprises the most cyclical stocks and

the tenth decile (Tier 10) comprises those stocks

that are least exposed to the economic cycle.

(3) Cyclicality Rating in our Monthly Overview


5


abc

Cyclicality vs. relative stock price performance As described above, we exclusively use fundamental

measures to determine to which decile (or to which

grade of cyclicality) a stock belongs.

Nonetheless, in the final analysis our selection

must result in a stock price performance that

reflects our cyclicality approach. Generally, one

would expect that the most-cyclical stocks (decile

1) would tend to move side-by-side with common

economic indicators such as the ISM, Ifo or the

OECD Leading Indicator, and that these economic

indicators would be contra indicators for the non-

cyclical stocks (decile 10).

Therefore we have calculated the y-o-y relative

performance of our three highest-cyclical deciles

(chart 4, next page) and our three most non-

cyclical deciles (chart 5, next page) to the overall

global market (deciles and global market each

equal-weighted). We have used the US-

manufacturing PMI as our macro indicator for

comparison as it tracks changes in the economic

activity in a very timely manner.

Both charts behave as we had expected. The relative

performance of decile 1 (most-cyclical stocks)

offers the strongest correlation to the economic

indicator (ISM) almost through the whole period of

the last 15 years, while deciles 2 and 3 already show

much weaker correlation. The relative performance

of the stocks in decile 10 (most-non-cyclical stocks)

show clearly the most contrarian movements

compared to the economic indicator (ISM), while

deciles 9 and 8 show lower significance but still

trend in the opposite direction.

Cyclicality and Price Performance

6


abc

(4) Relative performance* y-o-y (monthly rolling) of most cyclical global deciles vs ISM

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

Dec

97

Dec

98

Dec

99

Dec

00

Dec

01

Dec

02

Dec

03

Dec

04

Dec

05

Dec

06

Dec

07

Dec

08

Dec

09

Dec

10

Dec

11

33

37

41

45

49

53

57

61

65

Rel perf decile 3 Rel perf decile 2 Rel perf decile 1 ISM

Source: HSBC *stock price performance of all stocks of a certain decile relative to all global stocks which are tiered in our fundamentals based cyclicality rating (c. 4,800 stocks)

(5) Relative performance* y-o-y (monthly rolling) of most non-cyclical global deciles vs ISM

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Dec

97

Dec

98

Dec

99

Dec

00

Dec

01

Dec

02

Dec

03

Dec

04

Dec

05

Dec

06

Dec

07

Dec

08

Dec

09

Dec

10

Dec

11

33

37

41

45

49

53

57

61

65

Rel perf dec ile 8 Rel perf decile 9 Rel perf decile 10 ISM

Source: HSBC *stock price performance of all stocks of a certain decile relative to all global stocks which are tiered in our fundamentals based cyclicality rating (c. 4,800 stocks)

7


abc

Neglecting the fact that companies may migrate

their core business towards other areas or

differentiate their product portfolio over time, in

theory there are three possible scenarios regarding

the cyclicality of companies:

(1) Cyclical stocks

A stock is called ‘cyclical’ when its fundamental

figures perform well in times of strengthening

GDP figures in an expansive economic

environment, and deteriorate when the economy

becomes weak.

On a global basis, we find that Industrials, Materials

and Information Technology are the most exposed

sectors to GDP changes (see chart 7a). Cyclical

stocks can mainly be found in the deciles 1 (highest

cyclicality), 2 and 3 of our tiering.

(2) Non-cyclical stocks

A stock is called ‘Non-cyclical’ if it does not

necessarily move in accordance with the total market

when the economic cycle points towards a trough or

a peak. Its fundamentals will remain rather stable

throughout the whole economic cycle.

Our analysis points to Consumer Staples, Health

Care and Utilities as the less-cyclical sectors.

Non-cyclical stocks generally are ranked in

deciles 10 (lowest cyclicality), 9 and 8.

Compilation of global deciles Chart 7a gives evidence that the first two deciles –

accommodating the most-cyclical names – of our

cyclicality rating are dominated by stocks from

the Materials, Information Technology,

Industrials and Financials sector.

(7a) World – sector contribution to deciles

0%10%

20%30%40%50%

60%70%80%90%

100%

1 2 9 10

Utili tiesTelecommunicationMaterialsInformation Tech.IndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer Disc .


Health Care, Consumer Staples and Utilities

provide the smallest contribution to the first

decile, but are the clear dominators of the tenth

decile showing the most non-cyclical stocks.

A sector snapshot of our cyclicality screening

Health Care, Consumer Staples and Utilities have lowest

exposure to cyclicality

Materials, Information Technology, Industrials and Financials

dominate the most-cyclical deciles

8


abc

Detailed sector allocation Chart 7b shows the percentage (y-axis) of

companies belonging to a certain sector broken

down to each decile (x-axis). We have drawn the

lines for the three most significantly cyclical

sectors (red coloured lines) and the three most-

non-cyclical sectors (black/grey coloured lines).

The global breakdown provides a very clear

picture of the three most-non-cyclical sectors

– Consumer Staples, Utilities and Healthcare

(3 black/grey shaded lines) – as less than 3% of

all companies from these three are in the first

decile but 12% or more are allocated to the tenth

decile. Industrials, Materials and Information

Technology draw a contrariwise picture as all

sectors contribute their highest percentage of

stocks to the first decile and a constantly

decreasing amount to the later deciles.

(7b) World – detailed sector breakdown*

0.0%

4.0%

8.0%

12.0%

16.0%

20.0%

1 2 3 4 5 6 7 8 9 10Consumer St aples Utilit ies MaterialsIndustrials Health Care Info rmat ion Tech.

Source: HSBC, Factset *Top 3 cyclical sectors 3 red lines; top 3 non-cyclical sectors 3 black/grey lines

For a regional breakdown, please view the next

page.

9


abc

Regional breakdown North America – sector contribution to deciles North America – detailed sector breakdown*

0%

10%20%30%40%

50%60%

70%80%90%

100%

1 2 9 10

Utili tiesTelecommunicationMaterialsInformation Tech.IndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer Disc.

0%

3%

6%

9%

12%

15%

18%

21%

1 2 3 4 5 6 7 8 9 10Consumer St aples Healt h Care Informat ion Tech.Financials Ut ilit ies Indust rials

Source: HSBC, Factset Source: HSBC, Factset *Top 3 cyclical sectors 3 red lines; top 3 non-cyclical sectors 3 black/grey lines

Western Europe – sector contribution to deciles Western Europe – detailed sector breakdown*

0%10%20%

30%40%50%60%70%80%90%

100%

1 2 9 10

UtilitiesTelecommunicationMaterialsInformation Tech.IndustrialsHeal th CareFinancialsEnergyConsumer StaplesConsumer Disc.

0%

3%

6%

9%

12%

15%

18%

21%

1 2 3 4 5 6 7 8 9 10Energy Health Care Inf ormation Tech.

Materials Ut ilit ies Consumer Disc.


Japan – sector contribution to deciles Japan – detailed sector breakdown*

0%10%

20%30%40%

50%60%70%80%90%

100%

1 2 9 10

Utili tiesTelecommunic ationMaterialsInformation Tech.IndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer Disc.

0%

5%

10%

15%

20%

25%

30%

1 2 3 4 5 6 7 8 9 10Health Car e Financials M ater ialsIndustri als Consumer Staples Information Tech.


Asia ex Japan/Australia – sector contribution to deciles Asia ex Japan/Australia – detailed sector breakdown*

0%10%

20%

30%40%

50%

60%70%

80%

90%100%

1 2 9 10

UtilitiesTelecommunicationMaterialsInformation Tech.IndustrialsHealth CareFinanc ialsEnergyConsumer StaplesConsumer Disc.

0%3%6%9%

12%15%18%21%24%

1 2 3 4 5 6 7 8 9 10Health Care Ut ilit ies Informat ion Tech.

Financials Telecommunic at ion Indust rials


10


abc

Macro figures GDP is used as the relevant reference figure of

choice on the macro side. The reference parameter

that we compare each stock to is a combined

figure of 50% global GDP change y-o-y and 50%

of regional GDP change y-o-y. Regions are

defined as: North America, Western Europe,

Japan, Australia & New Zealand, Asia ex Japan &

ex Australia, LatAm and CEEMEA.

Fundamental measures For all fundamental ratios we have carried out a

regression analysis with at least 10 data points

since 1997, where we analyse the sensitivity of

each fundamental factor to the macro

development (50% of global GDP + 50% of

regional GDP). For more detailed information on

the methodology please view the next chapter.

Sales per Employee

Sales is one of the best indicators for the influence

of a macro slowdown or widening, but can be

manipulated by certain variables.

Sales per Employee is mostly used when

comparing companies of a certain sector with

each other as its results provide conclusions about

a company’s profitability compared to its peers.

For our Cyclicality rating we do not aim to

Macro figures and fundamental factors in detail

We use a composite of 50% global GDP and 50% regional GDP

on the macro side

Detailed description of fundamental factors used in the model

To account for structural differences, a special set of factors is

applied to financial stocks

Weightings of fundamental factors among different sectors

Sales per

Employee

Gross profit

margin

Net profit

margin

EBITDAmargin

SalesGrowth

EPSGrowth

Pre-tax profit

margin

Loan coverage

ratio

CFO/net premium

written

DPS Growth

Total

Non-financials 12% 20% 20% 20% 14% 14% 100% Bank & Diversified financials 14% 22% 30% 22% 12% 100% Insurance 14% 22% 30% 22% 12% 100% Real Estate 30% 70% 100%

Source: HSBC

11


abc

compare a company’s Sales per Employee against

its peers, but rather look at the yearly change of

this figure for each company separately and

compare it to the GDP change of the same period.

Using Sales per Employee provides a cleaner

picture on sales in the case of ongoing or finalised

mergers and acquisitions as sales on a stand-alone

basis could cause stronger deviation from one

year to another.

The ratio declines more strongly for cyclical

companies than the GDP changes, while non-

cyclical companies have a rather stable ratio.

Margins

For our analysis we have used a set of different

margins to account for structural differences

among several sectors and subsectors as some

companies may face deteriorating bottom line

margins at constant top line figures (e.g. due to

higher marketing costs in economic contraction

periods) and visa versa (e.g. gross profits shrinks

meanwhile net profit margin is kept unchanged

based on cuts in marketing or R&D budgets

which may cause problems in the long run). The

margins we use are:

Gross profit margin measures the proportion

of money left after subtracting COGS from

total revenues which is used to cover

additional expenses as SG&A, D&A and

future savings or dividends.

EBITDA margin is one of the most common

profit margins and provides a good view on

profitability across different sectors as it

excludes the effects of different accounting

methods for D&A (depreciation &

amortization) across sectors, companies and

countries. A stable EBITDA margin

throughout the business cycle may indicate a

non-cyclical company.

Net profit margin shows the profitability at

bottom line level as it is calculated as net

income divided by total revenues.

Cyclical companies usually show slumping

net profit margins in coincidence with

dropping sales figures.

Highly cyclical stocks (deciles 1, 2 and 3) have

margins that massively improve once the

economy is in an upswing as well as we see

dramatically falling margins once the economy

turns sour. Non-cyclical companies (deciles 10, 8

and 9) rather show stable margins.

Sales growth

Sales growth provides a picture of the growth rate

y-o-y and it is assumed that a large drop of this

top line figure will cause a significantly higher

shrinking of EPS figures for cyclical companies

than for non-cyclicals (based e.g. on fixed costs).

Although this ratio generally provides similar

results as the aforementioned ratio ‘Sales per

Employee, due to weak data quality of employee

numbers especially in years before 2002 and in

emerging markets, we use Sales growth as an

additional measure.

EPS growth

While sales growth over time provides the investor

with a view on the deviation of the top line, EPS

refers to the bottom line and indicates how well for

example negative sales growth deviations can be

absorbed by reducing marketing cost, R&D budgets

or the pace of reducing COGS as commodity prices

usually shrink in times of economic downturns.

However, rather constant EPS growth rates indicate

a non-cyclical company.

Sales & EPS growth proportionally will fall

significantly more for cyclical companies than the

GDP changes, while non-cyclical companies have

a rather stable ratio.

12


abc

A special framework for financial stocks is needed Some or all of the above-mentioned ratios are not

applicable for certain subsectors of financial

stocks. To account for structural differences we

implement additional ratios for each sub group

(banks & diversified financials, insurance

companies and real estate companies).

Pre-tax profit margin (banks & diversified

financials and insurance companies)

Usually, banks, diversified financials and insurance

companies do not report EBITDA, and for this

reason we use pre-tax profit as a substitute. Similar

to the EBITDA margin, the pre-tax profit margin is a

measure of the operating efficiency and profitability

of a company. The measure is calculated as:

Banks & diversified financials

pre-tax profit

interest income + non-interest income

Insurance company

pre-tax profit

(earned premiums + investment income + other

operating income)

Highly cyclical financial stocks (deciles 1, 2 and

3) have a pre-tax profit margin that improves

significantly once the economy is in an upswing

as well as we see dramatically stronger falling

margins once the economy turns sour. Non-

cyclical banks and insurance companies (deciles

10, 8 and 9) which are e.g. more exposed to retail

banking than to investment banking show rather

stable margins in comparison.

Loan coverage ratio (banks & diversified

financials)

The loan-loss reserve – often called allowance for

loan losses – is a contra-asset account recognised

on the balance sheet of a bank. On a quarterly

basis, the loan-loss reserve gains by the amount of

loan-loss provisions and will decrease by the level

of charges for defaulted loans, credits and leases.

A loan is classified as a non-performing loan

when interest payments have been suspended by

90 days or more or if the loan has been

restructured, although the default of a certain

credit is not necessarily determined yet. The ratio

is calculated as:

loan-loss allowance

non-performing loans

High values of this figure are preferred as they

show a more stable and less-risky credit approval

and lending process, which leads to a rather non-

cyclical business as an economic downturn will

have less effect on the business than for banks

with low loan coverage ratios.

CFO to net premium written (Insurance

companies)

For an insurance company, operating cash flow is

the firm’s major source of funding. If we see the

CFO declining or even moving into negative

territory, it is a strong sign of a deteriorating

business environment. In contrast, a strong cash

flow to net premiums written may indicate strong

growth opportunities in the underlying business.

Higher values show less dependency to a negative

macro environment and thus indicate that a

company is less cyclical.

DPS growth (Real Estate)

The growth of Dividends per share (DPS growth)

provides the investor with the growth rate of total

dividends paid out over a complete period

(including semi-annual and other interim

dividends, excluding special dividends) divided

by the number of outstanding ordinary shares

issued.

We use this ratio for Real Estate companies as

they generally have a rather long-term oriented

business approach (real estate development of

new projects usually takes several years, real

13


abc

estate operators maintain mostly long-term

lettings, etc.). An advantage to give this figure

greater weight in considering real estate

companies is its lower volatility compared to EPS

growth, as this figure deteriorates based on e.g.

development costs at the beginning of building

activities and other ‘regular‘ one-offs.

This ratio proportionally deviates considerably

more significantly for cyclical Real Estate

companies with higher exposure to office space

rather than to long term residential lettings.

14


abc

Overview of the method The cyclicality analysis is a regression-based

analysis intended to identify stocks with superior

sensitivity to the economic cycle. In practical

terms, we first specify the best macro indicator to

represent the economic cycle, e.g. GDP growth.

And then, we calibrate the sensitivity of stock

fundamental factors (not price) to the macro

indicator, e.g. net margin, EPS growth etc. Stocks

with high sensitivity to the macro cyclical

indicator are viewed as cyclical stocks.

Model input: macro indicator The most widely recognized economic cycle

indicators are, among others, leading indicators

and GDP growth. While leading indicators like

ISM PMI or German IFO are closely followed by

most strategists, probably due to its frequent and

in-time update, we prefer GDP growth in our case.

The primary rationale is that we consider

cyclicality as a stock feature that is rooted in the

nature of company’s business model. Our goal is

to disclose how business operation is impacted by

the real macro economic situation instead of

subjective expectations as represented by the

leading indicators.

And to ensure the financial report fully

incorporates the influence of GDP growth and to

avoid the lagging effect of revisions, we opt to

base the regression analysis on annual data

frequency.

Model input: fundamental factor To characterize the company performance, we use

fundamental factors derived from a stock’s annual

reports instead of its price return. Indeed, while

price return might be the most efficient measure,

it is however too vulnerable to various news and

side effects, i.e. it is not a pure reflection of the

stock fundamentals. To specify the appropriate

factors, we require them to have good data

quality, i.e. available for most stocks in the stock

universe. The list of factors implemented is:

Sales per Employee

Gross profit margin

EBITDA margin

Net profit margin

Sales growth

EPS growth

Pre-tax profit margin (for Banks & Diversified

Financials)

Loan coverage ratio (for Banks & Diversified

Financials)

CFO net premium written (for Insurance)

DPS growth (for Real Estate)

The first 6 factors apply to all stocks while the last

4 only apply to the corresponding financial

subsectors.

Methodology

15


abc

Simple linear regression model The simple linear regression (SLR) model is

deployed to study stock cyclicality. The GDP

growth is our predictor and the fundamental

factors are the dependent variables. Each

fundamental factor is regressed against GDP

growth to verify its sensitivity. The raw data is 16

year (i.e. 1996 – 2011) annual historical data of

GDP growth and micro factors. Instead of

regression on the level of micro factors to the

level of GDP growth, we convert the level to YoY

change for both, as we are more interested in how

variation in GDP growth leads to changes in a

company’s operation.

Estimation of change in GDP growth

We first differentiate the global economic growth

to the regional growth in that we partition the

world into the following regions:

North America

Western Europe

Japan

Australia & New Zealand

Asia ex Japan and ex Australia

Latin America

CEEMEA

The change of GDP growth is the incremental

difference of the growth rate in current and last

year.

globalGDPt

globalGDPt

globalGDPt GGG ,

1,,

−−=Δ (1)

(the same for regionalGDPtG ,Δ ). The variation in

macro-economic growth versus the performance

of a single stock better reflects both the global

economic trend and also the regional trend within

the area where the company is situated. So the

change in GDP growth for each stock is defined

as the average change of the growth in the world

and its own region:

( )regionalGDPt

globalGDPtt GGG ,,5.0 Δ+Δ⋅=Δ (2)

Estimation of factor change

The change is calculated using various formulas

depending on the nature of the factor. For growth

factors like EPS growth or Sales growth, we

define the change as:

11

1

1

−+

+=Δ−t

tt F

FF (3)

The growth factor is bounded with -100% and the

denominator is therefore always meaningful. This

is not always the case for factors like Net/Gross

margin where we employ the same formula as

change of GDP growth:

1−−=Δ ttt FFF (4)

Estimation of sensitivity

The macro indicator tGΔ and fundamental series

tFΔ derived from (1-4) are then substituted into

the regression model:

( ) ( )tt GF Δ⋅+=Δ 10 ββ

and followed by the hypothetical test for 1β :

0: 10 ≤βH 0: 11 >βH

A typical slope test is conducted by constructing

the t-statistic:

21 ~/1 −= ntsT ββ

T is a standardized measure of slope, i.e. the t-

statistics of various factors are of comparable

magnitude and can be combined using specific

weightings to derive a unique t-score for each stock:

=i

iscore TT i for each factor

16


abc

Please refer to the table ‘Factor weightings’ for

detailed weightings.

Note

It might be noticed that the original GDP growth

and micro factor series have 16 years of data,

while after converting into y-o-y data, the sample

size is 15. From a statistical point of view, the size

is too small for a meaningful regression analysis.

This is however the best we can come up with

considering that most fundamental data are dating

back to no earlier than 1995.

Nevertheless, we require a qualified factor to have

a minimum of 10 years of data available for each

stock, otherwise, the factor is eliminated from the

factor group for the stock and its weighting is

redistributed to the rest factors proportionally.

Model output: cyclicality ranking

The whole universe of stocks is then ranked based

on the scoreT and deciles are derived from the

rank. To obtain an intuitive view of how well the

cyclicality deciles can differentiate cyclical stocks

from the rest, we evaluated the bias of cyclicality

in sectors.

Cyclicality bias in sectors

Using the MSCI GICS Level 1 sector

classification and counting the sector distribution

of stocks within each decile, we find the 5 sectors

that contribute most to the top cyclical decile are

(in the ‘Decile 1’ column of the table below):

Financials

Industrials

Information Technology

Materials

Consumer Discretionary

Conversely, the 3 sectors with least presence in

the top decile are:

Health Care

Telecommunication

Utilities

Factor weightings

Sales per

Employee

Gross profit

margin

Net profit

margin

EBITDA margin

SalesGrowth

EPS Growth

Pre-tax profit

margin

Loan coverage

ratio

CFO/net premium

written

DPS Growth

Total

Non-financials 12% 20% 20% 20% 14% 14% 100% Bank & Diversified financials 14% 22% 30% 22% 12% 100% Insurance 14% 22% 30% 22% 12% 100% Real Estate 30% 70% 100%

Source: HSBC

Two dimensional distribution of stocks in deciles and sectors

Decile1 Decile2 Decile3 Decile4 Decile5 Decile6 Decile7 Decile8 Decile9 Decile10 All Ranked

Consumer Discretionary* 9.4% 10.9% 11.5% 10.0% 12.3% 8.9% 8.3% 9.9% 9.0% 9.7% 100.0%Consumer Staples 2.4% 2.4% 6.0% 9.0% 10.5% 11.1% 14.1% 15.3% 15.6% 13.5% 100.0%Energy 2.8% 10.4% 15.2% 14.0% 8.4% 10.4% 9.2% 8.0% 9.2% 12.4% 100.0%Financials* 14.8% 10.8% 8.8% 8.6% 8.2% 10.5% 9.3% 8.4% 11.2% 9.3% 100.0%Health Care 0.7% 2.5% 5.9% 6.7% 7.7% 12.1% 14.6% 15.6% 15.6% 18.6% 100.0%Industrials* 14.6% 13.7% 10.3% 10.0% 9.7% 8.2% 9.1% 6.8% 8.4% 9.2% 100.0%Information Technology* 13.4% 10.6% 11.6% 12.3% 11.5% 9.3% 9.2% 9.5% 6.2% 6.4% 100.0%Materials* 13.0% 15.1% 12.8% 12.2% 9.6% 9.2% 7.1% 7.3% 6.7% 6.9% 100.0%Telecommunication Services 0.9% 2.8% 3.7% 8.3% 10.1% 15.6% 16.5% 17.4% 17.4% 7.3% 100.0%Utilities 1.0% 3.7% 6.8% 7.3% 9.9% 15.2% 14.7% 17.3% 12.6% 11.5% 100.0%All stocks 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 100.0%

Source: HSBC *grey-shaded sector are largest contributors to the first decile (highest cyclicality)

17


abc

In the bottom decile however (the second to last

column of the table), Consumer Staples, Energy,

Health Care and Utilities all have double-digit

contribution. The outcome fit well into our

empirical observation.

Unlike in the liquidity rating model, where we

provide both regional and global liquidity ratings,

we offer only a unique global cyclicality rating as

we do not find significant bias in our cyclicality

ratings relative to regions or size (market cap).

Cyclicality homogeneity in region

In each decile, the proportion of stocks from

each region is the same as that in the whole

stock universe

Stock distribution in regions

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

NorthAmerica

WesternEurope

Japan Australia /New Zealand

Asia exJapan/Australia

LatAm CEEMEA

All Deciles Decile1 Decile3 Decile5 Decile7 Decile9

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

NorthAmerica

WesternEurope

Japan Australia /New Zealand

Asia exJapan/Australia

LatAm CEEMEA

All Deciles Decile1 Decile3 Decile5 Decile7 Decile9

Source: HSBC

We focus on stocks in each decile and see whether

they are contain concentrations of stocks in a

certain region. The portion of stocks from each

region in the decile is compared to the total

portion of stocks from the region in the stock

universe. Please refer to the table and chart ‘Stock

distribution in regions’.

No large bias is detected for any region, e.g. North

America counts for 41.2% of the total number of

stocks in deciles, while the portion is 45.1% for

the 1st decile, 44.6% for 2nd decile etc.

In each region, the proportion of stocks in each

decile is almost the same as that in the global

range (i.e. ~10% in each decile)

Stock distribution in regions

Decile1 Decile2 Decile3 Decile4 Decile5 Decile6 Decile7 Decile8 Decile9 Decile10 All Deciles

North America 45.1% 44.6% 43.1% 41.7% 37.5% 37.8% 41.5% 39.5% 39.5% 41.9% 41.2% Western Europe 31.1% 24.4% 24.6% 22.5% 28.0% 26.4% 22.7% 23.8% 23.3% 15.7% 24.3% Japan 10.4% 8.9% 8.3% 7.9% 7.2% 8.1% 8.7% 8.3% 5.8% 8.5% 8.2% Australia/New Zealand 2.1% 2.5% 2.1% 2.3% 3.5% 3.1% 2.5% 3.1% 3.1% 2.7% 2.7% Asia ex Japan/Australia 9.5% 14.0% 16.4% 19.2% 18.2% 19.0% 17.8% 18.6% 21.9% 24.0% 17.9% LatAm 0.4% 2.5% 2.1% 2.1% 2.1% 2.7% 1.2% 3.5% 1.7% 1.9% 2.0% CEEMEA 1.4% 3.1% 3.5% 4.3% 3.5% 2.9% 5.6% 3.1% 4.8% 5.4% 3.8%

Source: HSBC

Stock distribution in deciles

Decile1 Decile2 Decile3 Decile4 Decile5 Decile6 Decile7 Decile8 Decile9 Decile10

North America 10.9% 10.8% 10.4% 10.1% 9.1% 9.2% 10.1% 9.6% 9.6% 10.2% Western Europe 12.8% 10.1% 10.1% 9.3% 11.5% 10.9% 9.4% 9.8% 9.6% 6.5% Japan 12.6% 10.9% 10.1% 9.6% 8.8% 9.8% 10.6% 10.1% 7.1% 10.4% Australia/New Zealand 7.7% 9.2% 7.7% 8.5% 13.1% 11.5% 9.2% 11.5% 11.5% 10.0% Asia ex Japan/Australia 5.3% 7.9% 9.1% 10.8% 10.2% 10.6% 10.0% 10.4% 12.3% 13.4% LatAm 2.1% 12.4% 10.3% 10.3% 10.3% 13.4% 6.2% 17.5% 8.2% 9.3% CEEMEA 3.8% 8.2% 9.3% 11.5% 9.3% 7.7% 14.8% 8.2% 12.6% 14.3% All Regions 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0% 10.0%

Source: HSBC

18


abc

Stock distribution in deciles

0.0%

5.0%

10.0%

15.0%

20.0%

1 2 3 4 5 6 7 8 9 10

All Region North America Western Europe JapanAustralia/New Zealand LatAm CEEMEA

0.0%

5.0%

10.0%

15.0%

20.0%

1 2 3 4 5 6 7 8 9 10

All Region North America Western Europe JapanAustralia/New Zealand LatAm CEEMEA

Source: HSBC

We look into the distribution of stocks in each

decile for each region to see whether any

particular region, such as North America for

instance, can be considered to be more cyclical

than the others. Please refer to the table and chart

‘Stock distribution in deciles’.

Apart from Latin America, none of the other

geographical regions appears to have any bias to

more- or less-cyclical deciles. Latin America

appears less cyclical as the top decile dominates

only 2.1% of the regional universe, but this may

be simply due to the fact that Latin American

stocks make up a relatively small part of our total

universe, rather than any actual bias.

Cyclicality homogeneity in market cap

Finally, we look for any bias of cyclicality relative

to market cap, i.e. whether top-decile cyclical

stocks are biased to large or small cap stocks. A

simple measure is the median market cap of

stocks within each decile (see chart below).

For various deciles, the median market cap

fluctuates around the median market cap of the

whole stock universe, indicating that the

cyclicality rating shows no bias to market cap.

Median market cap (in USDbn) of stocks in each decile

0.0

0.5

1.0

1.5

2.0

2.5

All

dec iles

1 2 3 4 5 6 7 8 9 10

Source: HSBC

19


abc

Overview of decile 1 (most cyclical stocks) in alphabetical order

Overview of Decile 1 and Decile 10 stocks

Overview of decile 1 (most cyclical stocks) – Part 1/9 (ordered by sector and name)

Name Tier Country Sector Market Cap(USDm)

t-score

Autoliv Inc. 1 USA Consumer Discretionary 5,698.7 2.7 Barratt Developments PLC 1 Great-Britain Consumer Discretionary 2,091.2 3.6 Bellway PLC 1 Great-Britain Consumer Discretionary 1,514.3 4.1 Beneteau S.A. 1 France Consumer Discretionary 1,052.5 3.0 Bharat Forge Ltd. 1 India Consumer Discretionary 1,414.8 2.3 BMW AG 1 Germany Consumer Discretionary 57,014.1 2.3 BorgWarner Inc. 1 USA Consumer Discretionary 8,705.4 3.0 Brembo S.p.A. 1 Italy Consumer Discretionary 752.3 2.7 Brunswick Corp. 1 USA Consumer Discretionary 2,024.7 3.8 Build-A-Bear Workshop Inc. 1 USA Consumer Discretionary 89.3 2.9 Cabela's Inc. 1 USA Consumer Discretionary 2,376.2 3.4 Calida Holding AG 1 Switzerland Consumer Discretionary 239.4 2.3 Consorcio ARA S.A.B. de C.V. 1 Mexico Consumer Discretionary 413.0 2.5 Continental AG 1 Germany Consumer Discretionary 17,618.7 3.1 Daihatsu Motor Co. Ltd. 1 Japan Consumer Discretionary 8,005.1 2.2 Daily Mail & General Trust PLC 1 Great-Britain Consumer Discretionary 2,598.9 4.3 Daimler AG 1 Germany Consumer Discretionary 61,606.6 2.9 Drew Industries Inc. 1 USA Consumer Discretionary 584.2 2.5 F.C.C. Co. Ltd. 1 Japan Consumer Discretionary 1,178.8 2.6 Formosa Taffeta Co. Ltd. 1 Taiwan Consumer Discretionary 1,653.5 2.8 Gentex Corp. 1 USA Consumer Discretionary 3,383.0 2.4 Genuine Parts Co. 1 USA Consumer Discretionary 9,684.3 2.6 Gildan Activewear Inc. 1 Canada Consumer Discretionary 3,105.0 2.8 Harley-Davidson Inc. 1 USA Consumer Discretionary 10,510.6 3.4 Harman International Industries Inc. 1 USA Consumer Discretionary 3,228.6 4.3 Hermes International S.C.A. 1 France Consumer Discretionary 38,506.4 2.9 JAKKS Pacific Inc. 1 USA Consumer Discretionary 402.7 3.2 JCDecaux S.A. 1 France Consumer Discretionary 6,031.4 3.6 Johnson Controls Inc. 1 USA Consumer Discretionary 21,280.4 4.4 Journal Communications Inc. 1 USA Consumer Discretionary 484.9 2.8 Kaufman & Broad S.A. 1 France Consumer Discretionary 442.9 3.7 Kenneth Cole Productions Inc. Cl A 1 USA Consumer Discretionary 160.7 4.0


20


abc



t-score

Koninklijke Ten Cate N.V. 1 Netherlands Consumer Discretionary 818.0 3.2 Leoni AG 1 Germany Consumer Discretionary 1,506.9 3.8 Linamar Corp. 1 Canada Consumer Discretionary 1,182.8 3.6 Magna International Inc. 1 Canada Consumer Discretionary 10,653.3 4.4 Maisons France Confort 1 France Consumer Discretionary 227.5 3.4 Marriott International Inc. 1 USA Consumer Discretionary 11,985.8 4.0 Meredith Corp. 1 USA Consumer Discretionary 1,455.5 3.3 Michelin 1 France Consumer Discretionary 11,889.9 3.2 Movado Group Inc. 1 USA Consumer Discretionary 526.9 3.2 New Wave Group AB 1 Sweden Consumer Discretionary 321.3 3.4 New York Times Co. Cl A 1 USA Consumer Discretionary 958.8 2.4 Nikon Corp. 1 Japan Consumer Discretionary 10,652.4 4.0 Nissin Kogyo Co. Ltd. 1 Japan Consumer Discretionary 1,085.8 2.5 Nokian Renkaat Oyj 1 Finland Consumer Discretionary 5,679.3 4.1 Oriental Watch Holdings Ltd. 1 Hong Kong Consumer Discretionary 257.2 2.7 PPR S.A. 1 France Consumer Discretionary 21,083.7 2.3 RCS MediaGroup S.p.A. 1 Italy Consumer Discretionary 701.6 2.3 Redrow PLC 1 Great-Britain Consumer Discretionary 633.0 4.5 Renault S.A. 1 France Consumer Discretionary 15,023.4 4.8 Roularta Media Group N.V. 1 Belgium Consumer Discretionary 276.2 3.2 Royal Caribbean Cruises Ltd. 1 USA Consumer Discretionary 5,959.3 3.1 SABAF S.p.A. 1 Italy Consumer Discretionary 215.0 3.1 Saizeriya Co. Ltd. 1 Japan Consumer Discretionary 824.5 2.4 Sekisui House Ltd. 1 Japan Consumer Discretionary 6,456.1 3.2 Shangri-La Asia Ltd. 1 Hong Kong Consumer Discretionary 7,622.6 2.8 Singapore Press Holdings Ltd. 1 Singapore Consumer Discretionary 4,822.8 2.3 Sioen Industries N.V. 1 Belgium Consumer Discretionary 155.5 2.5 Sogefi S.p.A. 1 Italy Consumer Discretionary 376.3 3.6 Spir Communication S.A. 1 France Consumer Discretionary 190.4 4.2 Starbucks Corp. 1 USA Consumer Discretionary 37,285.7 2.3 Starwood Hotels & Resorts Worldwide 1 USA Consumer Discretionary 10,475.9 2.2 Superior Industries International Inc. 1 USA Consumer Discretionary 486.2 4.2


21


abc



t-score

Swatch Group AG 1 Switzerland Consumer Discretionary 23,413.6 3.9 Takkt AG 1 Germany Consumer Discretionary 946.9 2.5 Tamron Co. Ltd. 1 Japan Consumer Discretionary 827.0 2.9 Television Broadcasts Ltd. 1 Hong Kong Consumer Discretionary 2,792.6 2.4 Television Francaise 1 S.A. 1 France Consumer Discretionary 2,364.0 3.0 Thai Stanley Electric PCL 1 Thailand Consumer Discretionary 400.9 2.7 Thor Industries Inc. 1 USA Consumer Discretionary 1,698.9 5.6 Toyota Industries Corp. 1 Japan Consumer Discretionary 9,871.8 2.3 Trigano S.A. 1 France Consumer Discretionary 357.7 4.7 Volkswagen AG (Pfd Non-Vtg) 1 Germany Consumer Discretionary 78,877.8 2.8 Winnebago Industries Inc. 1 USA Consumer Discretionary 244.6 5.1 Yamaha Motor Co. Ltd. 1 Japan Consumer Discretionary 4,898.0 3.0 Zale Corp. 1 USA Consumer Discretionary 101.1 2.9 Bunge Ltd. 1 USA Consumer Staples 9,589.4 2.6 Chocoladefabriken Lindt & Spruengli 1 Switzerland Consumer Staples 7,577.4 2.9 Estee Lauder Cos. Cl A 1 USA Consumer Staples 18,540.5 2.4 Golden Agri-Resources Ltd. 1 Singapore Consumer Staples 6,728.2 3.0 Kesko Oyj 1 Finland Consumer Staples 3,193.1 2.4 Koninklijke Wessanen N.V. 1 Netherlands Consumer Staples 250.6 3.2 Metro AG 1 Germany Consumer Staples 11,663.6 2.4 Tyson Foods Inc. Cl A 1 USA Consumer Staples 7,213.4 2.3 Apache Corp. 1 USA Energy 40,595.9 2.3 Devon Energy Corp. 1 USA Energy 29,167.9 2.8 Forest Oil Corp. 1 USA Energy 1,466.3 2.5 Pason Systems Inc. 1 Canada Energy 1,144.2 2.3 PetroQuest Energy Inc. 1 USA Energy 389.1 2.4 Showa Shell Sekiyu K.K. 1 Japan Energy 2,433.5 3.1 SM Energy Co. 1 USA Energy 4,942.2 2.7 ABSA Group Ltd. 1 South Africa Financials 14,608.9 2.3 Aeon Credit Service Co. Ltd. 1 Japan Financials 2,487.5 3.4 Amata Corp. PCL 1 Thailand Financials 568.6 2.7 American Express Co. 1 USA Financials 60,971.7 3.5 Ameris Bancorp 1 USA Financials 279.1 2.7 Australand Property Group 1 Australia Financials 1,562.8 3.8 Banca Monte dei Paschi di Siena 1 Italy Financials 6,158.0 3.0 BancFirst Corp. 1 USA Financials 611.0 3.5 Banco Santander S.A. 1 Spain Financials 71,443.8 2.3 Bank of Ireland Ord Stk EUR0.64 1 Ireland Financials 5,100.1 2.9 Bank of New York Mellon Corp. 1 USA Financials 26,312.6 3.2 Bank of Nova Scotia 1 Canada Financials 59,524.6 2.9 Bank of Queensland Ltd. 1 Australia Financials 1,757.1 2.4 Bendigo & Adelaide Bank Ltd. 1 Australia Financials 3,094.4 2.4 Camden Property Trust 1 USA Financials 4,933.1 2.8 Capital One Financial Corp. 1 USA Financials 26,981.1 2.7 CBL & Associates Properties Inc. 1 USA Financials 2,665.4 5.3 Charter Hall Retail REIT 1 Australia Financials 966.5 3.4 Cheung Kong (Holdings) Ltd. 1 Hong Kong Financials 31,325.1 2.3 City National Corp. 1 USA Financials 2,466.8 2.8 Close Brothers Group PLC 1 Great-Britain Financials 1,736.9 2.6 CoBiz Financial Inc. 1 USA Financials 206.2 2.5 Columbia Banking System Inc. 1 USA Financials 816.5 2.7 Comerica Inc. 1 USA Financials 5,818.1 3.1 Commerce Bancshares Inc. 1 USA Financials 3,389.5 2.5 Commerzbank AG 1 Germany Financials 12,391.6 3.2 CommonWealth REIT 1 USA Financials 1,512.0 5.7 Crawford & Co. Cl B 1 USA Financials 224.8 3.4 Duke Realty Corp. 1 USA Financials 3,603.3 2.7 Enterprise Financial Services Corp. 1 USA Financials 202.5 4.7 Euler Hermes S.A. 1 France Financials 3,282.9 2.9 EXOR S.p.A. 1 Italy Financials 5,617.1 3.2


22


abc



t-score

First Commonwealth Financial Corp. 1 USA Financials 616.4 2.3 First Community Bancshares Inc 1 USA Financials 224.9 3.7 First Financial Corp. (Indiana) 1 USA Financials 405.0 2.6 First Merchants Corp. 1 USA Financials 313.3 4.6 FirstRand Ltd. 1 South Africa Financials 17,576.9 2.5 Franklin Resources Inc. 1 USA Financials 25,459.6 4.3 Fulton Financial Corp. 1 USA Financials 1,922.9 2.4 Gecina 1 France Financials 5,856.8 2.8 GPT Group 1 Australia Financials 5,913.0 3.5 Great Portland Estates PLC 1 Great-Britain Financials 1,731.5 3.2 Hammerson PLC 1 Great-Britain Financials 4,357.5 4.5 Hang Lung Group Ltd. 1 Hong Kong Financials 8,861.3 2.8 Henderson Land Development Co. Ltd. 1 Hong Kong Financials 13,852.8 3.7 Heritage Financial Corp. 1 USA Financials 197.4 2.5 Hospitality Properties Trust 1 USA Financials 3,084.3 4.8 IGM Financial Inc. 1 Canada Financials 11,673.9 4.1 ING Groep N.V. 1 Netherlands Financials 33,007.1 2.3 Janus Capital Group Inc. 1 USA Financials 1,612.7 2.6 KBC Group N.V. 1 Belgium Financials 8,257.1 3.7 Kerry Properties Ltd. 1 Hong Kong Financials 6,318.0 2.4 KeyCorp 1 USA Financials 7,423.9 2.6 Kilroy Realty Corp. 1 USA Financials 3,051.8 2.3 Kimco Realty Corp. 1 USA Financials 7,472.1 3.9 Lakeland Bancorp Inc. 1 USA Financials 231.6 2.6 Land Securities Group PLC 1 Great-Britain Financials 8,426.0 7.7 LaSalle Hotel Properties 1 USA Financials 2,238.4 5.2 M&T Bank Corp. 1 USA Financials 10,092.2 3.4 Macerich Co. 1 USA Financials 7,307.1 5.1 MainSource Financial Group Inc. 1 USA Financials 211.4 3.1 Malayan Banking Bhd 1 Malaysia Financials 21,989.2 4.1 MCG Capital Corp. 1 USA Financials 325.7 2.2 Mediobanca Banca di Credito 1 Italy Financials 5,436.8 2.5 MetLife Inc. 1 USA Financials 40,175.9 3.2 Mirvac Group 1 Australia Financials 4,322.4 3.4 Mitsubishi Estate Co. Ltd. 1 Japan Financials 24,355.8 2.9 Mizrahi Tefahot Bank Ltd. 1 Israel Financials 1,777.4 2.5 Morgan Stanley 1 USA Financials 35,377.9 3.0 National Penn Bancshares Inc. 1 USA Financials 1,287.9 3.1 Natixis 1 France Financials 10,765.6 2.3 Perpetual Ltd. 1 Australia Financials 1,010.3 4.2 Post Properties Inc. 1 USA Financials 2,375.5 3.1 Power Corp. of Canada 1 Canada Financials 10,244.8 3.6 Power Financial Corp. 1 Canada Financials 19,424.0 3.7 Provident Financial Services Inc. 1 USA Financials 815.9 2.6 Rathbone Brothers PLC 1 Great-Britain Financials 842.3 2.2 Raymond James Financial Inc. 1 USA Financials 4,697.6 2.9 Redwood Trust Inc. 1 USA Financials 905.6 2.3 Regency Centers Corp. 1 USA Financials 3,832.6 4.3 S&T Bancorp Inc. 1 USA Financials 575.3 2.6 S.Y. Bancorp Inc. 1 USA Financials 304.4 3.5 SCBT Financial Corp. 1 USA Financials 420.0 2.8 Schroders PLC 1 Great-Britain Financials 6,621.1 2.2 Segro PLC 1 Great-Britain Financials 2,777.0 3.5 Simon Property Group Inc. 1 USA Financials 40,621.4 3.3 Skandinaviska Enskilda Banken AB 1 Sweden Financials 15,187.8 2.9 SL Green Realty Corp. 1 USA Financials 6,654.7 2.3 StellarOne Corp. 1 USA Financials 253.7 3.4 Suncorp Group Ltd. 1 Australia Financials 10,619.5 2.8 SunTrust Banks Inc. 1 USA Financials 11,799.0 3.0 SVB Financial Group 1 USA Financials 2,599.8 2.5


23


abc



t-score

Swedbank AB 1 Sweden Financials 18,575.7 2.6 T. Rowe Price Group Inc. 1 USA Financials 15,457.4 3.8 TCF Financial Corp. 1 USA Financials 1,712.8 2.7 Tokyo Tatemono Co. Ltd. 1 Japan Financials 1,703.6 2.4 U.S. Bancorp 1 USA Financials 54,729.0 2.2 Umpqua Holdings Corp. 1 USA Financials 1,331.5 2.7 Unipol Gruppo Finanziario S.p.A. 1 Italy Financials 1,053.4 4.1 United Overseas Bank Ltd. 1 Singapore Financials 22,001.6 2.4 Virginia Commerce Bancorp 1 USA Financials 262.4 3.9 WesBanco Inc. 1 USA Financials 505.4 2.7 West Coast Bancorp (Oregon) 1 USA Financials 322.9 2.3 Westpac Banking Corp. 1 Australia Financials 65,356.0 3.4 Weyerhaeuser Co. 1 USA Financials 11,127.0 2.3 Wing Hang Bank Ltd. 1 Hong Kong Financials 2,809.7 2.6 Wing Tai Holdings Ltd. 1 Singapore Financials 789.0 2.6 Yapi Kredi Sigorta A.S. 1 Turkey Financials 675.5 2.5 InterMune Inc. 1 USA Health Care 806.9 2.2 Lincare Holdings Inc. 1 USA Health Care 2,291.0 2.6 Sartorius AG Nvtg Prf 1 Germany Health Care 1,013.0 2.4 3M Co. 1 USA Industrials 59,362.6 3.2 Aalberts Industries N.V. 1 Netherlands Industrials 1,999.5 5.6 Adecco S.A. 1 Switzerland Industrials 9,413.7 2.7 Air France-KLM 1 France Industrials 1,648.5 4.2 All Nippon Airways Co. Ltd. 1 Japan Industrials 7,871.5 3.9 Amada Co. Ltd. 1 Japan Industrials 2,688.0 2.4 Ametek Inc. 1 USA Industrials 7,544.7 3.1 Anhui Heli Co. Ltd. 1 China Industrials 802.4 2.5 Arkansas Best Corp. 1 USA Industrials 441.3 4.0 Asahi Glass Co. Ltd. 1 Japan Industrials 10,100.2 2.6 Asiana Airlines Inc. 1 South Korea Industrials 1,206.6 2.3 Atlas Copco AB 1 Sweden Industrials 28,436.5 2.3 Avery Dennison Corp. 1 USA Industrials 3,012.5 4.0 B&B Tools AB 1 Sweden Industrials 262.2 2.3 Barrett Business Services Inc. 1 USA Industrials 173.6 3.7 Bobst Group S.A. 1 Switzerland Industrials 475.0 4.9 Bodycote PLC 1 Great-Britain Industrials 1,213.0 3.8 Bossard Holding AG 1 Switzerland Industrials 435.8 2.8 Bucher Industries AG 1 Switzerland Industrials 2,162.4 3.6 Cascade Corp. 1 USA Industrials 576.5 4.1 Caterpillar Inc. 1 USA Industrials 70,016.0 3.3 Cathay Pacific Airways Ltd. 1 Hong Kong Industrials 7,630.9 2.6 CDI Corp. 1 USA Industrials 312.1 2.2 China Airlines Ltd. 1 Taiwan Industrials 2,358.4 2.4 Citra Marga Nusaphala Persada 1 Indonesia Industrials 439.1 2.5 CLARCOR Inc. 1 USA Industrials 2,496.1 2.8 Commercial Vehicle Group Inc. 1 USA Industrials 314.1 2.6 Compagnie de Saint-Gobain S.A. 1 France Industrials 23,954.5 4.3 Cookson Group PLC 1 Great-Britain Industrials 2,895.8 2.4 Cooper Industries PLC Cl A 1 USA Industrials 9,391.5 3.2 Cummins Inc. 1 USA Industrials 22,593.7 2.9 Danaher Corp. 1 USA Industrials 36,194.8 3.7 Derichebourg 1 France Industrials 547.4 2.7 Deutsche Lufthansa AG 1 Germany Industrials 6,023.4 2.7 Deutz AG 1 Germany Industrials 796.5 2.5 Dover Corp. 1 USA Industrials 11,274.7 3.4 DXP Enterprises Inc. 1 USA Industrials 550.2 2.4 Eaton Corp. 1 USA Industrials 16,316.6 3.8 Emerson Electric Co. 1 USA Industrials 36,053.4 2.9 Exel Industries S.A. 1 France Industrials 307.3 2.4 Fanuc Corp. 1 Japan Industrials 41,836.5 4.9


24


abc



t-score

Fastenal Co. 1 USA Industrials 15,575.9 2.8 Ferrovial S.A. 1 Spain Industrials 8,783.8 2.3 Finnair Oyj 1 Finland Industrials 395.1 2.2 Forward Air Corp. 1 USA Industrials 962.7 3.4 G&K Services Inc. Cl A 1 USA Industrials 607.5 2.5 Gardner Denver Inc. 1 USA Industrials 3,439.0 2.7 General Electric Co. 1 USA Industrials 198,610.0 2.3 Georg Fischer AG 1 Switzerland Industrials 1,859.4 4.4 Graco Inc. 1 USA Industrials 2,949.4 4.8 Grafton Group PLC 1 Ireland Industrials 958.2 3.3 Greenbrier Cos. Inc. 1 USA Industrials 594.2 3.3 Groupe CRIT S.A. 1 France Industrials 225.8 2.7 Haulotte Group S.A. 1 France Industrials 271.1 2.8 Herman Miller Inc. 1 USA Industrials 1,210.0 2.6 HNI Corp. 1 USA Industrials 1,143.5 2.8 IDEX Corp. 1 USA Industrials 3,358.9 3.3 Illinois Tool Works Inc. 1 USA Industrials 26,239.9 4.0 INDUS Holding AG 1 Germany Industrials 629.9 3.0 International Consolidated Airlines 1 Spain Industrials 4,747.0 2.5 Interroll Holding AG 1 Switzerland Industrials 307.3 2.7 Jacquet Metal Service 1 France Industrials 313.7 4.5 Jungheinrich AG 1 Germany Industrials 1,092.7 4.0 Kawasaki Kisen Kaisha Ltd. 1 Japan Industrials 1,628.6 4.4 Kaydon Corp. 1 USA Industrials 1,158.9 2.3 Kelly Services Inc. Cl A 1 USA Industrials 525.3 4.6 Kendrion N.V. 1 Netherlands Industrials 303.1 2.6 Keppel Corp. Ltd. 1 Singapore Industrials 15,081.9 2.5 Kier Group PLC 1 Great-Britain Industrials 727.8 3.8 Komatsu Ltd. 1 Japan Industrials 27,596.0 3.4 Komax Holding AG 1 Switzerland Industrials 311.8 5.4 Krones AG 1 Germany Industrials 1,653.9 3.5 KUKA AG 1 Germany Industrials 687.1 2.7 Lincoln Electric Holdings Inc. 1 USA Industrials 3,817.6 2.4 LISI Link Solutions for Industry 1 France Industrials 877.4 2.6 Makino Milling Machine Co. Ltd. 1 Japan Industrials 866.6 4.0 MAN SE 1 Germany Industrials 16,225.2 3.2 Manitou BF S.A. 1 France Industrials 910.1 5.0 Manitowoc Co. 1 USA Industrials 1,845.1 3.1 ManpowerGroup 1 USA Industrials 3,394.7 2.5 Meitec Corp. 1 Japan Industrials 724.3 3.3 Michael Page International PLC 1 Great-Britain Industrials 2,212.0 3.2 Mitsui O.S.K. Lines Ltd. 1 Japan Industrials 5,178.2 2.7 Moog Inc. Cl A 1 USA Industrials 1,853.9 2.6 Mori Seiki Co. Ltd. 1 Japan Industrials 1,169.6 3.1 Muehlbauer Holding AG & Co. KGaA 1 Germany Industrials 446.2 2.8 NCI Building Systems Inc. 1 USA Industrials 230.3 3.3 Neptune Orient Lines Ltd. 1 Singapore Industrials 2,814.6 3.2 Nippon Yusen K.K. 1 Japan Industrials 4,880.7 4.0 NN Inc. 1 USA Industrials 140.7 4.6 Nordson Corp. 1 USA Industrials 3,465.4 3.9 NSK Ltd. 1 Japan Industrials 4,194.1 2.4 Obayashi Corp. 1 Japan Industrials 3,311.4 2.5 OKUMA Corp. 1 Japan Industrials 1,346.7 3.5 Old Dominion Freight Line Inc. 1 USA Industrials 2,584.9 3.4 Orient Overseas (International) Ltd. 1 Hong Kong Industrials 4,292.2 3.4 Oshkosh Corp. 1 USA Industrials 2,049.6 5.0 Paccar Inc. 1 USA Industrials 15,927.4 3.0 Pacer International Inc. 1 USA Industrials 194.1 2.4 Palfinger AG 1 Austria Industrials 835.9 4.1 Ponsse Oyj 1 Finland Industrials 291.3 7.3


25


abc



t-score

Quanex Building Products Corp. 1 USA Industrials 558.7 2.9 R. Stahl AG 1 Germany Industrials 212.3 2.2 Resources Connection Inc. 1 USA Industrials 523.2 3.4 Rieter Holding AG 1 Switzerland Industrials 905.9 4.1 Robert Walters PLC 1 Great-Britain Industrials 285.6 2.5 Rockwell Automation Inc. 1 USA Industrials 11,210.6 2.6 Russel Metals Inc. 1 Canada Industrials 1,629.1 3.9 Sandvik AB 1 Sweden Industrials 17,227.6 4.8 Scania AB B 1 Sweden Industrials 14,739.9 5.0 Schuler Ag Young Shares (01/10 1 Germany Industrials 328.1 2.8 Schweiter Technologies AG 1 Switzerland Industrials 863.6 3.1 Simpson Manufacturing Co. 1 USA Industrials 1,416.3 4.3 Singapore Airlines Ltd. 1 Singapore Industrials 10,116.0 2.8 SKF AB 1 Sweden Industrials 10,539.6 2.7 SMC Corp. 1 Japan Industrials 11,700.3 3.3 Snap-On Inc. 1 USA Industrials 3,449.3 2.7 Steelcase Inc. 1 USA Industrials 1,154.1 2.5 Sun Hydraulics Corp. 1 USA Industrials 750.8 4.4 Synergie S.A. 1 France Industrials 279.7 3.0 Tennant Co. 1 USA Industrials 773.9 5.7 Terex Corp. 1 USA Industrials 2,477.1 2.9 THK Co. Ltd. 1 Japan Industrials 2,724.0 5.8 Timken Co. 1 USA Industrials 4,933.9 3.3 Toro Co. 1 USA Industrials 2,021.7 3.0 Toshiba Machine Co. Ltd. 1 Japan Industrials 832.0 2.9 Transcontinental Inc. Cl A 1 Canada Industrials 1,027.7 2.4 Tsubakimoto Chain Co. 1 Japan Industrials 1,153.2 2.8 Vacon Oyj 1 Finland Industrials 738.5 3.0 Volvo AB 1 Sweden Industrials 28,719.1 2.9 Wabash National Corp. 1 USA Industrials 673.0 3.1 Wienerberger AG 1 Austria Industrials 1,336.0 3.8 Yang Ming Marine Transport Corp. 1 Taiwan Industrials 1,559.8 3.3 Advanced Energy Industries Inc. 1 USA Information Technology 483.4 3.6 Altera Corp. 1 USA Information Technology 11,976.2 3.2 ANADIGICS Inc. 1 USA Information Technology 154.7 2.9 Analog Devices Inc. 1 USA Information Technology 11,377.1 3.2 Anixter International Inc. 1 USA Information Technology 2,264.5 4.0 Applied Materials Inc. 1 USA Information Technology 15,622.5 3.7 ASM International N.V. 1 Netherlands Information Technology 1,844.4 3.5 ASM Pacific Technology Ltd. 1 Hong Kong Information Technology 5,060.3 3.9 ASML Holding N.V. 1 Netherlands Information Technology 19,098.5 4.5 AT&S Austria Technologie und Systemtechnik AG

1 Austria Information Technology 308.9 4.1

Atmel Corp. 1 USA Information Technology 4,550.0 2.5 ATMI Inc. 1 USA Information Technology 693.3 3.3 AU Optronics Corp. 1 Taiwan Information Technology 4,585.8 2.7 austriamicrosystems AG 1 Austria Information Technology 770.6 3.4 Avnet Inc. 1 USA Information Technology 5,033.2 2.4 Axcelis Technologies Inc. 1 USA Information Technology 166.0 2.3 Barco N.V. 1 Belgium Information Technology 806.2 3.9 Brooks Automation Inc. 1 USA Information Technology 771.8 2.7 Cabot Microelectronics Corp. 1 USA Information Technology 792.7 2.5 Canon Inc. 1 Japan Information Technology 59,976.9 3.0 Chroma Ate Inc. 1 Taiwan Information Technology 860.7 2.4 Cognex Corp. 1 USA Information Technology 1,713.3 3.6 Coherent Inc. 1 USA Information Technology 1,289.2 2.6 CTS Corp. 1 USA Information Technology 321.8 2.8 Cymer Inc. 1 USA Information Technology 1,415.3 2.5 Dainippon Screen Manufacturing 1 Japan Information Technology 2,114.5 3.4 Daktronics Inc. 1 USA Information Technology 354.8 2.6 Dell Inc. 1 USA Information Technology 30,540.6 2.5


26


abc



t-score

Diodes Inc. 1 USA Information Technology 1,015.5 4.0 Domino Printing Sciences PLC 1 Great-Britain Information Technology 1,145.4 2.8 Elmos Semiconductor AG 1 Germany Information Technology 214.4 4.6 Fairchild Semiconductor International 1 USA Information Technology 1,663.9 2.7 FARO Technologies Inc. 1 USA Information Technology 888.9 2.5 FUJIFILM Holdings Corp. 1 Japan Information Technology 12,567.2 2.7 Hitachi High-Technologies Corp. 1 Japan Information Technology 3,171.0 3.8 Horiba Ltd. 1 Japan Information Technology 1,401.7 3.2 INFICON Holding AG 1 Switzerland Information Technology 448.5 3.5 Intel Corp. 1 USA Information Technology 134,442.0 3.0 Ixia 1 USA Information Technology 915.3 2.2 Jabil Circuit Inc. 1 USA Information Technology 5,259.0 2.9 Jenoptik AG 1 Germany Information Technology 421.3 2.3 Keyence Corp. 1 Japan Information Technology 14,202.3 2.7 King Yuan Electronics Co. Ltd. 1 Taiwan Information Technology 497.5 2.9 Kyocera Corp. 1 Japan Information Technology 16,850.6 2.3 Lectra S.A. 1 France Information Technology 160.0 3.3 LEM Holding S.A. 1 Switzerland Information Technology 555.8 2.9 Littelfuse Inc. 1 USA Information Technology 1,244.9 3.4 Melexis N.V. 1 Belgium Information Technology 702.4 4.3 MEMC Electronic Materials Inc. 1 USA Information Technology 890.3 2.6 Micrel Inc. 1 USA Information Technology 609.0 2.4 Micron Technology Inc. 1 USA Information Technology 7,991.5 2.5 MKS Instruments Inc. 1 USA Information Technology 1,497.6 4.9 Molex Inc. 1 USA Information Technology 4,331.5 2.8 National Instruments Corp. 1 USA Information Technology 3,105.0 6.0 Novellus Systems Inc. 1 USA Information Technology 3,182.1 3.0 OMRON Corp. 1 Japan Information Technology 5,022.9 2.4 Power-One Inc. 1 USA Information Technology 500.0 2.8 Rofin-Sinar Technologies Inc. 1 USA Information Technology 669.5 2.2 Rogers Corp. 1 USA Information Technology 578.6 3.3 Saes Getters S.p.A. 1 Italy Information Technology 198.7 4.1 Schaffner Holding AG 1 Switzerland Information Technology 185.4 3.1 Seagate Technology Inc. 1 USA Information Technology 12,393.8 3.4 Semtech Corp. 1 USA Information Technology 1,831.7 2.9 Silicon Image Inc. 1 USA Information Technology 437.8 2.6 STMicroelectronics N.V. 1 France Information Technology 6,383.3 3.2 Supertex Inc. 1 USA Information Technology 214.7 2.5 Taiwan Semiconductor Manufacturing 1 Taiwan Information Technology 69,375.7 2.4 Teradyne Inc. 1 USA Information Technology 2,934.8 2.6 Texas Instruments Incorporated 1 USA Information Technology 37,383.3 2.9 TKH Group N.V. 1 Netherlands Information Technology 835.2 2.6 Tokyo Electron Ltd. 1 Japan Information Technology 9,451.2 4.3 Tokyo Seimitsu Co. Ltd. 1 Japan Information Technology 884.9 2.9 TT Electronics PLC 1 Great-Britain Information Technology 471.8 3.8 Ultra Clean Holdings Inc. 1 USA Information Technology 172.3 3.8 United Microelectronics Corp. 1 Taiwan Information Technology 6,465.4 2.3 Vaisala Oyj 1 Finland Information Technology 392.3 2.2 Vanguard International Semiconductor 1 Taiwan Information Technology 695.9 2.8 Vishay Intertechnology Inc. 1 USA Information Technology 1,665.0 2.3 Wintek Corp. 1 Taiwan Information Technology 1,413.7 3.0 Yaskawa Electric Corp. 1 Japan Information Technology 2,363.0 2.9 Zebra Technologies Corp. Cl A 1 USA Information Technology 1,975.3 2.5 Acerinox S.A. 1 Spain Materials 3,282.4 4.2 Albemarle Corp. 1 USA Materials 5,469.7 2.3 Alcoa Inc. 1 USA Materials 10,181.3 4.5 Aluminum Corp. of China Ltd. 1 China Materials 13,151.9 2.9 Angang Steel Co. Ltd. 1 China Materials 5,541.8 2.2 Anglo American PLC 1 Great-Britain Materials 52,840.4 2.3 AptarGroup Inc. 1 USA Materials 3,452.0 2.2


27


abc



t-score

Aurubis AG 1 Germany Materials 2,358.8 3.8 Cabot Corp. 1 USA Materials 2,499.5 2.3 China FiberGlass Co. Ltd. 1 China Materials 2,040.0 3.1 China Petrochemical Development 1 Taiwan Materials 2,395.7 2.5 Cytec Industries Inc. 1 USA Materials 2,723.4 2.3 Daido Steel Co. Ltd. 1 Japan Materials 2,929.4 4.2 DIC Corp. 1 Japan Materials 1,853.9 2.2 Eramet S.A. 1 France Materials 3,729.2 3.7 Eregli Demir ve Celik Fabrikalari T.A.S.

1 Turkey Materials 4,773.2 2.2

Grupo Empresarial ENCE S.A. 1 Spain Materials 643.2 3.7 Gubre Fabrikalari T.A.S. 1 Turkey Materials 546.3 2.7 Hoganas AB 1 Sweden Materials 1,252.1 2.9 Iluka Resources Ltd. 1 Australia Materials 7,062.0 2.9 Imerys 1 France Materials 4,340.1 2.8 Jaya Tiasa Holdings Bhd 1 Malaysia Materials 709.6 2.7 Kobe Steel Ltd. 1 Japan Materials 4,971.1 2.3 Koninklijke DSM N.V. 1 Netherlands Materials 9,857.2 3.5 Lonmin PLC 1 Great-Britain Materials 3,316.5 2.5 Major Drilling Group International 1 Canada Materials 1,369.9 2.9 Materion Corp. 1 USA Materials 533.0 3.5 Metorex Ltd 1 South Africa Materials 1,160.2 2.8 Minerals Technologies Inc. 1 USA Materials 1,107.6 3.0 Minmetals Resources Ltd. 1 Hong Kong Materials 2,732.1 2.5 Mitsubishi Materials Corp. 1 Japan Materials 4,213.0 3.3 M-Real Oyj 1 Finland Materials 893.9 2.8 Nan Ya Plastics Corp. 1 Taiwan Materials 18,337.4 2.3 National Aluminium Co. Ltd. 1 India Materials 2,952.2 3.6 Nippon Steel Corp. 1 Japan Materials 18,525.8 2.7 Nisshin Steel Co. Ltd. 1 Japan Materials 1,624.0 5.3 Nordic Aluminium Oyj 1 Finland Materials 191.3 3.5 Nucor Corp. 1 USA Materials 13,135.0 2.4 Olympic Steel Inc. 1 USA Materials 249.0 2.7 Outokumpu Oyj 1 Finland Materials 317.7 4.5 Portucel-Empresa Produtora de Pasta de Papel S/A

1 Portugal Materials 1,993.9 2.3

PPG Industries Inc. 1 USA Materials 13,764.3 2.3 Rautaruukki Oyj 1 Finland Materials 1,537.8 3.7 Rio Tinto PLC 1 Great-Britain Materials 99,161.0 2.4 Schmolz + Bickenbach AG 1 Switzerland Materials 841.0 4.5 Showa Denko K.K. 1 Japan Materials 3,389.3 3.5 SINOPEC Yizheng Chemical Fibre 1 China Materials 3,440.4 2.3 Southern Copper Corp. 1 USA Materials 26,213.3 2.3 SSAB AB 1 Sweden Materials 2,941.2 2.9 Stora Enso Oyj 1 Finland Materials 5,831.3 2.7 Tata Steel Ltd. 1 India Materials 8,212.8 2.5 Teijin Ltd. 1 Japan Materials 3,179.6 2.3 Tessenderlo Chemie N.V. 1 Belgium Materials 915.6 3.0 ThyssenKrupp AG 1 Germany Materials 12,825.6 4.2 Tubacex S.A. 1 Spain Materials 364.7 3.1 United States Steel Corp. 1 USA Materials 3,847.1 2.5 Universal Stainless & Alloy Products 1 USA Materials 240.7 2.3 Vale Indonesia 1 Indonesia Materials 3,735.7 3.6 Victrex PLC 1 Great-Britain Materials 1,727.0 3.0 voestalpine AG 1 Austria Materials 5,489.6 2.8 Wacker Chemie AG 1 Germany Materials 4,739.9 4.5 West Fraser Timber Co. Ltd. 1 Canada Materials 1,892.9 2.2 Oi S.A. Pref 1 Brazil Telecommunication Services 4,089.2 2.6 New Jersey Resources Corp. 1 USA Utilities 1,896.7 2.2 Pinnacle West Capital Corp. 1 USA Utilities 5,109.8 2.7


28


abc

Overview of decile 10 (most non-cyclical stocks) in alphabetical order

Overview of decile 10 (most non-cyclical stocks) – Part 1/9 (ordered by sector and name)


t-score

Aeropostale Inc. 10 USA Consumer Discretionary 1,537.5 -1.3 Ameristar Casinos Inc. 10 USA Consumer Discretionary 635.7 -0.6 Apollo Group Inc. Cl A 10 USA Consumer Discretionary 5,352.4 -1.3 Apollo Tyres Ltd. 10 India Consumer Discretionary 797.4 -0.7 Arcelik A.S. 10 Turkey Consumer Discretionary 2,894.6 -1.0 Asbury Automotive Group Inc. 10 USA Consumer Discretionary 837.7 -0.7 Balkrishna Industries Ltd. 10 India Consumer Discretionary 467.8 -1.6 Beijing Capital Tourism Co. Ltd. 10 China Consumer Discretionary 523.3 -0.9 Beijing Wangfujing Department Store (Group) Co. Ltd.

10 China Consumer Discretionary 2,214.1 -1.3

Berjaya Sports Toto Bhd 10 Malaysia Consumer Discretionary 1,951.1 -0.8 Bijou Brigitte Modische Accessoires 10 Germany Consumer Discretionary 740.2 -0.8 Blue Nile Inc. 10 USA Consumer Discretionary 467.5 -0.7 Bob Evans Farms Inc. 10 USA Consumer Discretionary 1,082.0 -0.8 Buckle Inc. 10 USA Consumer Discretionary 2,270.6 -0.8 Carphone Warehouse Group PLC 10 Great-Britain Consumer Discretionary 1,262.2 -1.3 Central Plaza Hotel PCL 10 Thailand Consumer Discretionary 522.0 -0.6 Chang Chun Eurasia Group Co. Ltd. 10 China Consumer Discretionary 773.1 -0.6 Charter Communications Inc. Cl A 10 USA Consumer Discretionary 6,085.4 -0.7 Cheng Shin Rubber Industry Co. Ltd. 10 Taiwan Consumer Discretionary 5,966.4 -1.1 China CYTS Tours Holding Co. Ltd. 10 China Consumer Discretionary 1,075.6 -0.8 Chongqing Department Store Co. 10 China Consumer Discretionary 2,077.0 -1.0 Clas Ohlson AB 10 Sweden Consumer Discretionary 890.8 -1.0 Consolidated Media Holdings Ltd. 10 Australia Consumer Discretionary 1,640.6 -1.5 Denny's Corp. 10 USA Consumer Discretionary 396.1 -0.6 Dixons Retail PLC 10 Great-Britain Consumer Discretionary 829.0 -0.7 Domino's Pizza Inc. 10 USA Consumer Discretionary 2,280.8 -1.3 Domino's Pizza UK & IRL PLC 10 Great-Britain Consumer Discretionary 1,129.1 -1.3 Dongfeng Automobile Co. Ltd. 10 China Consumer Discretionary 1,191.8 -0.6 DreamWorks Animation SKG Inc. Cl A 10 USA Consumer Discretionary 1,442.6 -0.7 Emei Shan Tourism Co. Ltd. 10 China Consumer Discretionary 1,065.4 -0.6 Eniro AB 10 Sweden Consumer Discretionary 208.1 -0.6 Exide Industries Ltd. 10 India Consumer Discretionary 2,315.8 -1.1


29


abc



t-score

Fuel Systems Solutions Inc. 10 USA Consumer Discretionary 526.8 -0.6 Funai Electric Co. Ltd. 10 Japan Consumer Discretionary 833.5 -1.3 Garmin Ltd. 10 USA Consumer Discretionary 9,147.3 -0.6 GD Midea Holding Co. Ltd. 10 China Consumer Discretionary 7,706.2 -0.6 Gree Electric Appliances Inc. of Zhuhai 10 China Consumer Discretionary 10,202.6 -1.4 Guilin Tourism Corp. Ltd. 10 China Consumer Discretionary 480.0 -1.3 Hankook Tire Manufacturing Co. Ltd. 10 South Korea Consumer Discretionary 5,736.6 -1.1 Hefei Department Store Group Co. Ltd. 10 China Consumer Discretionary 1,241.3 -0.7 Hero MotoCorp Ltd. 10 India Consumer Discretionary 7,478.0 -2.1 Hot Topic Inc. 10 USA Consumer Discretionary 371.4 -0.7 Hotel Shilla Co. Ltd. 10 South Korea Consumer Discretionary 1,549.4 -1.1 Jack in the Box Inc. 10 USA Consumer Discretionary 1,017.5 -1.2 Jumbo S.A. 10 Greece Consumer Discretionary 603.5 -0.7 Kenda Rubber Industrial Co. Ltd. 10 Taiwan Consumer Discretionary 800.9 -1.6 Kirkland's Inc. 10 USA Consumer Discretionary 326.8 -2.1 Knology Inc. 10 USA Consumer Discretionary 681.2 -0.7 Komeri Co. Ltd. 10 Japan Consumer Discretionary 1,540.0 -1.0 La-Z-Boy Inc. 10 USA Consumer Discretionary 710.7 -1.2 Lewis Group Ltd. 10 South Africa Consumer Discretionary 955.4 -0.8 LKQ Corp. 10 USA Consumer Discretionary 4,566.7 -0.9 Marui Group Co. Ltd. 10 Japan Consumer Discretionary 2,633.3 -1.2 Maruti Suzuki India Ltd. 10 India Consumer Discretionary 7,521.4 -0.7 Minor International PCL 10 Thailand Consumer Discretionary 1,330.6 -1.2 New York & Co. Inc. 10 USA Consumer Discretionary 201.3 -0.6 Nexen Tire Corp. 10 South Korea Consumer Discretionary 1,316.4 -1.1 Oriental Land Co. Ltd. 10 Japan Consumer Discretionary 9,617.0 -1.4 Overstock.com Inc. 10 USA Consumer Discretionary 120.9 -0.8 Parkson Holdings Bhd 10 Malaysia Consumer Discretionary 2,017.0 -3.1 Pendragon PLC 10 Great-Britain Consumer Discretionary 301.0 -0.5 PetMed Express Inc. 10 USA Consumer Discretionary 238.6 -1.1 Point Inc. 10 Japan Consumer Discretionary 899.8 -1.1 Scholastic Corp. 10 USA Consumer Discretionary 894.6 -0.8


30


abc



t-score

Shaanxi Broadcast & TV Network Intermediary Co. Ltd.

10 China Consumer Discretionary 942.1 -1.0

Skyworth Digital Holdings Ltd. 10 Hong Kong Consumer Discretionary 1,441.6 -1.0 SL Corp. 10 South Korea Consumer Discretionary 608.1 -0.8 Smith & Wesson Holding Corp. 10 USA Consumer Discretionary 350.9 -1.7 Sonic Corp. 10 USA Consumer Discretionary 482.6 -0.6 Spartan Motors Inc. 10 USA Consumer Discretionary 183.8 -1.0 Sportingbet PLC 10 Great-Britain Consumer Discretionary 387.6 -0.8 Sturm Ruger & Co. 10 USA Consumer Discretionary 801.8 -0.8 TCL Multimedia Technology Hld. 10 Hong Kong Consumer Discretionary 596.3 -1.2 Telegraaf Media Groep 10 Netherlands Consumer Discretionary 595.2 -0.8 Tong Yang Industry Co. Ltd. 10 Taiwan Consumer Discretionary 642.2 -0.7 Wet Seal Inc. Cl A 10 USA Consumer Discretionary 296.4 -0.6 Xinjiang Youhao Group Co. Ltd. 10 China Consumer Discretionary 551.4 -0.7 Yinchuan Xinhua Department Store 10 China Consumer Discretionary 687.7 -1.1 Zhongxing Shenyang Commercial Building Group Co. Ltd.

10 China Consumer Discretionary 373.6 -1.3

Angel Yeast Co. Ltd. 10 China Consumer Staples 1,471.6 -0.9 Binggrae Co. Ltd. 10 South Korea Consumer Staples 481.7 -0.6 Casey's General Stores Inc. 10 USA Consumer Staples 1,915.9 -1.3 Central European Distribution Corp. 10 USA Consumer Staples 293.8 -1.7 Centrale Laitiere 10 Morocco Consumer Staples 1,470.5 -1.3 Charoen Pokphand Foods PCL 10 Thailand Consumer Staples #NV -1.4 China Foods Ltd. 10 Hong Kong Consumer Staples 2,421.0 -0.7 Chiquita Brands International Inc. 10 USA Consumer Staples 425.5 -0.8 Colgate-Palmolive Co. 10 USA Consumer Staples 44,519.2 -0.6 Compania Cervecerias Unidas S.A. 10 Chile Consumer Staples 4,403.3 -0.9 Cranswick PLC 10 Great-Britain Consumer Staples 602.2 -0.7 Dean Foods Co. 10 USA Consumer Staples 2,221.9 -0.8 Fancl Corp. 10 Japan Consumer Staples 878.9 -1.2 GFPT PCL 10 Thailand Consumer Staples 411.5 -1.9 Green Mountain Coffee Roasters Inc 10 USA Consumer Staples 9,867.4 -0.6 Gruma S.A.B. de C.V. 10 Mexico Consumer Staples 1,349.3 -0.8 Grupo Bimbo S.A.B. de C.V. 10 Mexico Consumer Staples 10,621.1 -1.0 Heineken Holding N.V. 10 Netherlands Consumer Staples 12,896.1 -0.6 Henan Shuanghui Investment & Development Co. Ltd.

10 China Consumer Staples 9,866.7 -2.3

Illovo Sugar Ltd. 10 South Africa Consumer Staples 1,576.6 -0.9 J.M. Smucker Co. 10 USA Consumer Staples 8,521.8 -1.1 Kikkoman Corp. 10 Japan Consumer Staples 2,376.2 -0.6 Kobayashi Pharmaceutical Co. Ltd. 10 Japan Consumer Staples 2,117.4 -0.7 Kraft Foods Inc. 10 USA Consumer Staples 66,892.3 -0.7 L.D.C. S.A. 10 France Consumer Staples 898.2 -1.3 Lifeway Foods Inc. 10 USA Consumer Staples 149.8 -1.4 Lotte Samkang Co. Ltd. 10 South Korea Consumer Staples 483.6 -1.5 Maple Leaf Foods Inc. 10 Canada Consumer Staples 1,639.0 -0.8 Metro Inc. Cl A 10 Canada Consumer Staples 5,118.0 -0.6 New Hope Liuhe Co Ltd 10 China Consumer Staples 4,868.9 -1.2 Nichirei Corp. 10 Japan Consumer Staples 1,522.8 -1.0 Nisshin Seifun Group Inc. 10 Japan Consumer Staples 3,046.4 -0.7 Pantry Inc. 10 USA Consumer Staples 272.6 -1.2 Pick 'n Pay Stores Ltd. 10 South Africa Consumer Staples 2,624.6 -1.3 QL Resources Bhd 10 Malaysia Consumer Staples 901.8 -0.7 Ralcorp Holdings Inc. 10 USA Consumer Staples 4,030.5 -0.8 Robert Wiseman Dairies PLC 10 Great-Britain Consumer Staples 442.5 -1.0 Shanghai Friendship Group Inc. 10 China Consumer Staples 3,365.8 -0.8 Snyders-Lance Inc. 10 USA Consumer Staples 1,530.0 -2.0 Souza Cruz S.A. 10 Brazil Consumer Staples 23,452.9 -1.1 Thai Union Frozen Products PCL 10 Thailand Consumer Staples 2,019.9 -0.6 Tongaat-Hulett Ltd. 10 South Africa Consumer Staples 1,414.5 -0.7 Toyo Suisan Kaisha Ltd. 10 Japan Consumer Staples 2,872.3 -1.5 United Plantations Bhd 10 Malaysia Consumer Staples 1,678.3 -0.9 Yamazaki Baking Co. Ltd. 10 Japan Consumer Staples 3,082.1 -0.8


31


abc



t-score

AltaGas Ltd. 10 Canada Energy 2,777.2 -1.5 AWE Ltd. 10 Australia Energy 935.2 -0.7 Beach Energy Ltd. 10 Australia Energy 1,719.6 -1.0 BP PLC 10 Great-Britain Energy 146,876.0 -1.0 Diamond Offshore Drilling Inc. 10 USA Energy 9,505.3 -1.2 Enbridge Inc. 10 Canada Energy 29,741.0 -1.0 Energy Resources of Australia Ltd. 10 Australia Energy 663.1 -1.7 Farstad Shipping ASA 10 Norway Energy 1,162.0 -0.7 Fred. Olsen Energy ASA 10 Norway Energy 2,623.3 -0.8 Geokinetics Inc. 10 USA Energy 37.4 -0.9 Gloucester Coal Ltd. 10 Australia Energy 1,711.1 -1.8 Guizhou Panjiang Refined Coal Co. Ltd. 10 China Energy 5,055.3 -1.4 Gulf Island Fabrication Inc. 10 USA Energy 420.0 -1.1 Gulfmark Offshore Inc. Cl A 10 USA Energy 1,299.3 -0.9 Helix Energy Solutions Group Inc. 10 USA Energy 1,889.7 -1.0 Helmerich & Payne Inc. 10 USA Energy 6,345.4 -0.6 Hunting PLC 10 Great-Britain Energy 1,844.1 -0.6 IRPC PCL 10 Thailand Energy 3,107.5 -0.8 Matrix Service Co. 10 USA Energy 331.0 -0.6 Niko Resources Ltd. 10 Canada Energy 2,234.7 -1.5 Origin Energy Ltd. 10 Australia Energy 14,748.4 -1.4 Rentech Inc. 10 USA Energy 387.4 -1.1 Saipem S.p.A. 10 Italy Energy 21,451.3 -0.6 SapuraCrest Petroleum Bhd 10 Malaysia Energy 2,080.1 -0.8 Shanxi Lanhua Sci-Tech Venture Co. Ltd. 10 China Energy 3,843.7 -0.7 ShawCor Ltd. Cl A 10 Canada Energy 2,250.1 -0.8 Solstad Offshore ASA 10 Norway Energy 709.3 -1.3 Tetra Technologies Inc. 10 USA Energy 699.2 -1.6 Tidewater Inc. 10 USA Energy 2,980.8 -0.6 Willbros Group Inc. 10 USA Energy 182.1 -1.2 Yang Quan Coal Industry (Group) Co. 10 China Energy 7,405.7 -1.0 A.F.P. Habitat S.A. 10 Chile Financials 1,273.3 -0.9 Albemarle & Bond Holdings PLC 10 Great-Britain Financials 300.8 -0.9 Alleghany Corp. 10 USA Financials 2,718.8 -0.6 Alpha Bank A.E. 10 Greece Financials 1,086.5 -0.6 Amlin PLC 10 Great-Britain Financials 2,610.3 -1.1 Banca Popolare di Sondrio S.c.p.A. 10 Italy Financials 2,474.4 -1.4 BancorpSouth Inc. 10 USA Financials 1,100.2 -1.4 Bank Hapoalim B.M. 10 Israel Financials 4,241.2 -0.6 Bank Leumi Le-Israel B.M. 10 Israel Financials 4,146.4 -0.6 Bank Mutual Corp. 10 USA Financials 169.1 -1.6 Castellum AB 10 Sweden Financials 2,146.4 -2.6 Central Pattana PCL 10 Thailand Financials 2,938.1 -3.1 CFS Retail Property Trust 10 Australia Financials 5,283.3 -1.7 China Resources Land Ltd. 10 Hong Kong Financials 10,101.3 -0.7 Credit Acceptance Corp. 10 USA Financials 2,397.5 -0.7 Credit Saison Co. Ltd. 10 Japan Financials 3,916.1 -0.6 Daito Trust Construction Co. Ltd. 10 Japan Financials 7,199.9 -0.7 Deutsche Bank AG 10 Germany Financials 41,440.3 -0.6 EMC Insurance Group Inc. 10 USA Financials 255.3 -0.6 First American Financial Corp. 10 USA Financials 1,647.1 -2.0 First Bancorp (North Carolina) 10 USA Financials 168.9 -3.2 First Financial Bancorp (Ohio) 10 USA Financials 962.7 -1.3 First Financial Holdings Inc. 10 USA Financials 153.5 -1.5 Fonciere des Regions S.A. 10 France Financials 3,848.5 -1.7 Gleacher & Co Inc. 10 USA Financials 165.6 -2.6 Goldman Sachs Group Inc. 10 USA Financials 57,606.8 -0.9 Great Southern Bancorp Inc. 10 USA Financials 292.9 -1.7 Greenhill & Co. 10 USA Financials 1,248.5 -0.6 Grupo Financiero Inbursa S.A.B. de C.V. 10 Mexico Financials 12,785.4 -0.6


32


abc



t-score

Healthcare Realty Trust Inc. 10 USA Financials 1,598.7 -1.5 Hyundai Marine & Fire Insurance 10 South Korea Financials 2,686.3 -1.0 IBERIABANK Corp. 10 USA Financials 1,520.1 -2.2 Investa Office Fund 10 Australia Financials 1,754.9 -1.7 Investment AB Kinnevik 10 Sweden Financials 6,026.8 -0.6 Israel Discount Bank Ltd. 10 Israel Financials 1,287.9 -0.9 Kemper Corp. 10 USA Financials 1,725.9 -0.8 Korea Exchange Bank 10 South Korea Financials 4,638.2 -0.6 Korea Investment Holdings Co. Ltd. 10 South Korea Financials 2,155.0 -0.8 Legal & General Group PLC 10 Great-Britain Financials 10,929.4 -0.6 LIG Insurance Co. Ltd. 10 South Korea Financials 1,445.5 -0.8 Manulife Financial Corp. 10 Canada Financials 21,205.4 -0.6 Mercury General Corp. 10 USA Financials 2,408.7 -1.2 Meritz Fire & Marine Insurance Co. 10 South Korea Financials 1,109.0 -1.0 MS&AD Insurance Group Holdings Inc. 10 Japan Financials 12,934.5 -1.1 Northern Trust Corp. 10 USA Financials 10,522.2 -1.4 Oriental Bank of Commerce 10 India Financials 1,633.0 -0.6 PacWest Bancorp. 10 USA Financials 759.6 -0.8 Pargesa Holding S.A. 10 Switzerland Financials 6,037.8 -1.8 Piraeus Bank S.A. 10 Greece Financials 727.5 -0.6 Progressive Corp. 10 USA Financials 12,982.2 -0.8 Promise Co. Ltd. 10 Japan Financials 4,218.6 -1.1 Protective Life Corp. 10 USA Financials 2,256.1 -0.9 Provident New York Bancorp 10 USA Financials 303.5 -0.6 Punjab National Bank 10 India Financials 5,870.0 -0.9 Radian Group Inc. 10 USA Financials 493.2 -1.1 Sanlam Ltd. 10 South Africa Financials 8,351.5 -0.7 Southside Bancshares Inc. 10 USA Financials 352.0 -1.2 SpareBank 1 Nord-Norge 10 Norway Financials 385.2 -0.6 Stifel Financial Corp. 10 USA Financials 1,891.5 -0.8 Ta Chong Bank Ltd. 10 Taiwan Financials 835.1 -1.0 TMB Bank PCL 10 Thailand Financials 2,432.8 -0.6 Turkiye Sinai Kalkinma Bankasi A.S. 10 Turkey Financials 966.3 -1.2 Union Bank of India 10 India Financials 2,410.8 -0.8 Westamerica Bancorp 10 USA Financials 1,292.1 -1.5 Wharf (Holdings) Ltd. 10 Hong Kong Financials 16,953.4 -1.3 Wilshire Bancorp Inc. 10 USA Financials 308.7 -1.2 Wintrust Financial Corp. 10 USA Financials 1,211.1 -1.1 Acino Holding AG 10 Switzerland Health Care 395.5 -1.2 Albany Molecular Research Inc. 10 USA Health Care 83.2 -0.7 Alliance HealthCare Services Inc. 10 USA Health Care 70.1 -0.9 Amplifon S.p.A. 10 Italy Health Care 1,057.5 -1.2 Baxter International Inc. 10 USA Health Care 32,197.4 -1.1 Beijing Tiantan Biological Products 10 China Health Care 1,340.0 -0.8 BioCryst Pharmaceuticals Inc. 10 USA Health Care 252.7 -1.9 Biolase Technology Inc. 10 USA Health Care 76.5 -1.1 BioScrip Inc. 10 USA Health Care 376.9 -1.0 Boiron S.A. 10 France Health Care 648.3 -1.8 Cegedim S.A. 10 France Health Care 504.9 -1.0 Centene Corp. 10 USA Health Care 2,335.6 -0.6 Charles River Laboratories Internat. 10 USA Health Care 1,741.8 -0.7 Chugai Pharmaceutical Co. Ltd. 10 Japan Health Care 9,430.2 -0.9 Cipla Ltd. 10 India Health Care 4,923.6 -1.0 Covance Inc. 10 USA Health Care 2,795.5 -1.2 Cyberonics Inc. 10 USA Health Care 1,025.6 -1.3 Daiichi Sankyo Co. Ltd. 10 Japan Health Care 13,419.7 -0.9 Dechra Pharmaceuticals PLC 10 Great-Britain Health Care 542.4 -0.7 Divi's Laboratories Ltd. 10 India Health Care 1,933.6 -1.2 Dong-A Pharmaceutical Co. Ltd. 10 South Korea Health Care 822.6 -0.6


33


abc



t-score

Eckert & Ziegler Strahlen- und Medizintechnik AG

10 Germany Health Care 151.0 -0.9

Edwards Lifesciences Corp. 10 USA Health Care 7,868.2 -0.8 Emeritus Corp. 10 USA Health Care 751.2 -1.0 Faes Farma S.A. 10 Spain Health Care 427.3 -0.8 Fisher & Paykel Healthcare Corp. Ltd. 10 New Zealand Health Care 995.5 -0.8 GlaxoSmithKline PLC 10 Great-Britain Health Care 111,754.0 -0.9 Hanger Orthopedic Group Inc. 10 USA Health Care 693.7 -0.9 Hi-Tech Pharmacal Co. Inc. 10 USA Health Care 535.8 -0.8 Hogy Medical Co. Ltd. 10 Japan Health Care 714.6 -0.6 Human Genome Sciences Inc. 10 USA Health Care 1,482.4 -2.0 Icon PLC 10 USA Health Care 1,229.6 -0.6 Idenix Pharmaceuticals Inc. 10 USA Health Care 1,210.4 -0.9 IPCA Laboratories Ltd. 10 India Health Care 865.5 -0.7 Isis Pharmaceuticals Inc. 10 USA Health Care 834.4 -1.0 McKesson Corp. 10 USA Health Care 20,429.1 -0.6 Medical Action Industries Inc. 10 USA Health Care 81.8 -1.5 Mednax Inc. 10 USA Health Care 3,486.1 -0.7 Merge Healthcare Inc. 10 USA Health Care 591.6 -1.4 Merit Medical Systems Inc. 10 USA Health Care 523.7 -1.0 Miraca Holdings Inc. 10 Japan Health Care 2,308.9 -0.6 MWI Veterinary Supply Inc. 10 USA Health Care 1,032.9 -0.7 Mylan Inc. 10 USA Health Care 9,550.5 -1.2 Myriad Genetics Inc. 10 USA Health Care 2,021.2 -0.7 Nichii Gakkan Co. 10 Japan Health Care 909.6 -1.1 Nipro Corp. 10 Japan Health Care 1,211.6 -1.2 Olympus Corp. 10 Japan Health Care 4,315.8 -0.7 Omega Pharma N.V. 10 Belgium Health Care 1,145.9 -0.6 Omnicare Inc. 10 USA Health Care 3,810.3 -2.8 Ono Pharmaceutical Co. Ltd. 10 Japan Health Care 6,691.7 -1.0 Onyx Pharmaceuticals Inc. 10 USA Health Care 2,340.7 -1.1 Par Pharmaceutical Cos. Inc. 10 USA Health Care 1,305.9 -0.8 PDL BioPharma Inc. 10 USA Health Care 850.4 -0.8 Peregrine Pharmaceuticals Inc. 10 USA Health Care 79.9 -2.2 Progenics Pharmaceuticals Inc. 10 USA Health Care 297.8 -0.7 Quidel Corp. 10 USA Health Care 514.9 -2.8 Sangamo BioSciences Inc. 10 USA Health Care 260.7 -0.9 Santen Pharmaceutical Co. Ltd. 10 Japan Health Care 3,648.7 -0.6 Sawai Pharmaceutical Co. Ltd. 10 Japan Health Care 1,627.4 -0.7 Seikagaku Corp. 10 Japan Health Care 668.2 -0.9 Shanghai Fosun Pharmaceutical (Group)

10 China Health Care 3,689.4 -1.3

Shionogi & Co. Ltd. 10 Japan Health Care 4,925.9 -1.3 STERIS Corp. 10 USA Health Care 1,769.0 -1.4 Suzuken Co. Ltd. 10 Japan Health Care 2,862.6 -0.8 Symmetry Medical Inc. 10 USA Health Care 238.6 -0.9 Takeda Pharmaceutical Co. Ltd. 10 Japan Health Care 35,705.2 -0.6 Torrent Pharmaceuticals Ltd. 10 India Health Care 943.4 -1.0 UCB S.A. 10 Belgium Health Care 7,446.1 -0.6 Universal Health Services Inc. Cl B 10 USA Health Care 3,854.4 -0.6 Valeant Pharmaceuticals International 10 Canada Health Care 16,241.4 -1.6 Vical Inc. 10 USA Health Care 267.5 -0.9 Warner Chilcott Plc 10 USA Health Care 4,076.7 -1.0 WellPoint Inc. 10 USA Health Care 21,370.3 -1.3 Wuhan Humanwell Healthcare (Group) 10 China Health Care 1,770.3 -0.7 Zhejiang Medicine Co. Ltd. 10 China Health Care 1,628.4 -2.8 AAON Inc. 10 USA Industrials 445.5 -1.3 Abengoa S.A. 10 Spain Industrials 1,695.6 -0.6 AF Gruppen ASA 10 Norway Industrials 733.8 -0.6 Air Transport Services Group Inc. 10 USA Industrials 361.1 -0.7 American Superconductor Corp. 10 USA Industrials 185.3 -0.8 Apogee Enterprises Inc. 10 USA Industrials 353.7 -1.9


34


abc



t-score

ARCADIS N.V. 10 Netherlands Industrials 1,304.0 -0.6 Aselsan Elektronik Sanayi ve Ticaret 10 Turkey Industrials 1,254.9 -1.0 Avon Rubber PLC 10 Great-Britain Industrials 142.3 -0.7 AZZ Inc. 10 USA Industrials 627.8 -0.7 Beacon Roofing Supply Inc. 10 USA Industrials 1,095.6 -1.5 CBIZ Inc 10 USA Industrials 336.7 -0.6 Ch. Karnchang PCL 10 Thailand Industrials 410.8 -1.5 Chart Industries Inc. 10 USA Industrials 2,059.0 -0.9 Chemring Group PLC 10 Great-Britain Industrials 1,247.5 -0.6 CJ Corp. 10 South Korea Industrials 2,069.7 -1.3 Clough Ltd. 10 Australia Industrials 650.1 -1.0 Cofide-Compagnia Finanziaria de B. 10 Italy Industrials 495.4 -0.6 Comfort Systems USA Inc. 10 USA Industrials 377.9 -0.9 Crompton Greaves Ltd. 10 India Industrials 1,703.7 -1.9 Dun & Bradstreet Corp. 10 USA Industrials 3,957.6 -1.0 Elbit Systems Ltd. 10 Israel Industrials 1,533.8 -0.7 EMCOR Group Inc. 10 USA Industrials 1,799.5 -2.5 Experian PLC 10 Great-Britain Industrials 14,671.0 -0.7 Federal Signal Corp. 10 USA Industrials 267.4 -2.7 FedEx Corp. 10 USA Industrials 28,228.0 -0.7 Flowserve Corp. 10 USA Industrials 6,144.0 -0.7 Fluor Corp. 10 USA Industrials 9,953.4 -1.8 FTI Consulting Inc. 10 USA Industrials 1,642.9 -1.1 FuelCell Energy Inc. 10 USA Industrials 198.9 -0.7 Gemina S.p.A. 10 Italy Industrials 1,178.8 -0.8 Granite Construction Inc. 10 USA Industrials 1,072.7 -1.8 Hamon & Cie. (International) S.A. 10 Belgium Industrials 167.0 -0.6 Hawaiian Holdings Inc. 10 USA Industrials 253.7 -0.8 HES Beheer N.V. 10 Netherlands Industrials 436.3 -0.9 Industria Macchine Automatiche 10 Italy Industrials 618.0 -1.2 Intertek Group PLC 10 Great-Britain Industrials 5,836.2 -1.2 Iron Mountain Inc. 10 USA Industrials 4,939.3 -0.7 Jacobs Engineering Group Inc. 10 USA Industrials 5,757.8 -1.4 Japan Steel Works Ltd. 10 Japan Industrials 2,646.9 -0.7 Jiangsu Zhongnan Construction Group 10 China Industrials 2,188.4 -1.4 Jiangsu Zhongtian Technology Co. Ltd. 10 China Industrials 1,169.9 -1.0 Kinden Corp. 10 Japan Industrials 2,205.3 -0.8 Kirby Corp. 10 USA Industrials 3,795.4 -0.6 Michael Baker Corp. 10 USA Industrials 228.2 -0.6 Mobile Mini Inc. 10 USA Industrials 958.2 -0.7 Mota-Engil SGPS S/A 10 Portugal Industrials 308.2 -2.0 Murray & Roberts Holdings Ltd. 10 South Africa Industrials 1,200.0 -0.6 Ningbo Yunsheng Co. Ltd. 10 China Industrials 1,451.4 -3.6 Nissha Printing Co. Ltd. 10 Japan Industrials 597.7 -1.7 Norwegian Air Shuttle ASA 10 Norway Industrials 493.5 -0.8 Odakyu Electric Railway Co. Ltd. 10 Japan Industrials 7,275.6 -1.0 OHB AG 10 Germany Industrials 302.1 -0.6 PMFG Inc. 10 USA Industrials 315.6 -0.7 Powell Industries Inc. 10 USA Industrials 382.0 -0.7 Precious Shipping PCL 10 Thailand Industrials 540.4 -1.2 RailAmerica Inc. 10 USA Industrials 1,039.9 -0.8 Raytheon Co. 10 USA Industrials 17,235.1 -0.6 Republic Airways Holdings Inc. 10 USA Industrials 233.4 -0.8 Ricardo PLC 10 Great-Britain Industrials 284.9 -1.0 Ritchie Bros. Auctioneers Inc. 10 Canada Industrials 2,485.3 -1.3 Rolls-Royce Holdings PLC 10 Great-Britain Industrials 23,905.9 -1.0 Rotork PLC 10 Great-Britain Industrials 2,722.4 -0.8 Samsung Heavy Industries Co. Ltd. 10 South Korea Industrials 8,127.9 -0.8 Sankyu Inc. 10 Japan Industrials 1,290.8 -1.0 Securitas AB 10 Sweden Industrials 3,330.8 -0.6


35


abc



t-score

Serco Group PLC 10 Great-Britain Industrials 4,055.1 -0.6 Severfield-Rowen PLC 10 Great-Britain Industrials 281.7 -1.3 Sichuan Expressway Co. Ltd. 10 China Industrials 1,749.7 -1.1 Sino-Thai Engineering & Construction PCL 10 Thailand Industrials 528.1 -1.3 SK Networks Co. Ltd. 10 South Korea Industrials 2,283.6 -1.1 Societa Iniziative Autostradali e Servizi 10 Italy Industrials 1,707.4 -0.6 Stagecoach Group PLC 10 Great-Britain Industrials 2,417.6 -0.7 Sterling Construction Co. Inc. 10 USA Industrials 162.6 -0.6 TBEA Co. Ltd. 10 China Industrials 3,546.2 -1.3 Toromont Industries Ltd. 10 Canada Industrials 1,842.3 -0.7 Towers Watson & Co. Cl A 10 USA Industrials 3,702.7 -0.6 Trevi-Finanziaria Industriale S.p.A. 10 Italy Industrials 454.8 -1.0 UniFirst Corp. 10 USA Industrials 877.8 -1.1 Universal Forest Products Inc. 10 USA Industrials 594.5 -0.7 Valmont Industries Inc. 10 USA Industrials 2,873.3 -1.5 Vestas Wind Systems A/S 10 Denmark Industrials 1,923.3 -0.9 Westshore Terminals Investment Corp. 10 Canada Industrials 1,795.8 -1.1 Wilh. Wilhelmsen ASA 10 Norway Industrials 1,446.7 -0.8 Ability Enterprise Co. Ltd. 10 Taiwan Information Technology 456.9 -0.8 Aspen Technology Inc. 10 USA Information Technology 1,875.0 -1.2 Automatic Data Processing Inc. 10 USA Information Technology 26,623.5 -0.9 CACI International Inc. Cl A 10 USA Information Technology 1,563.6 -0.6 Chicony Electronics Co. Ltd. 10 Taiwan Information Technology 1,284.7 -0.8 CMC Ltd. 10 India Information Technology 606.0 -1.2 Computer Sciences Corp. 10 USA Information Technology 4,796.5 -0.7 Digital River Inc. 10 USA Information Technology 606.9 -0.6 Dolby Laboratories Inc. Cl A 10 USA Information Technology 4,093.6 -0.9 EarthLink Inc. 10 USA Information Technology 776.5 -0.6 eBay Inc. 10 USA Information Technology 45,801.3 -0.6 Engineering Ingegneria Informatica 10 Italy Information Technology 364.6 -1.0 FalconStor Software Inc. 10 USA Information Technology 133.1 -0.7 FLIR Systems Inc 10 USA Information Technology 3,992.8 -0.9 HCL Technologies Ltd. 10 India Information Technology 6,811.0 -0.8 Indra Sistemas S.A. 10 Spain Information Technology 2,130.7 -0.7 Infosys Ltd. 10 India Information Technology 32,881.1 -0.8 ManTech International Corp. Cl A 10 USA Information Technology 1,237.5 -0.9 MediaTek Inc. 10 Taiwan Information Technology 12,330.8 -0.7 MphasiS Ltd. 10 India Information Technology 1,611.5 -1.4 Obic Co. Ltd. 10 Japan Information Technology 1,927.1 -2.1 Orc Group AB 10 Sweden Information Technology 291.6 -1.5 Pegasystems Inc. 10 USA Information Technology 1,359.7 -1.2 Q-Free ASA 10 Norway Information Technology 262.8 -1.9 Quanta Computer Inc. 10 Taiwan Information Technology 9,100.0 -1.0 S1 Corp. 10 USA Information Technology -1.0 Saba Software Inc. 10 USA Information Technology 339.3 -0.7 Salesforce.com Inc. 10 USA Information Technology 19,510.5 -0.9 Samsung SDI Co. Ltd. 10 South Korea Information Technology 5,576.9 -1.1 Sievi Capital Oyj 10 Finland Information Technology 94.8 -0.7 SINA Corp. 10 China Information Technology 4,785.2 -0.8 Sohu.com Inc. 10 China Information Technology 1,830.9 -0.9 Square Enix Holdings Co. Ltd. 10 Japan Information Technology 2,252.2 -0.8 STEC Inc. 10 USA Information Technology 416.1 -1.8 Syntel Inc. 10 USA Information Technology 2,168.6 -1.6 THQ Inc. 10 USA Information Technology 34.9 -0.6 Tyler Technologies Inc. 10 USA Information Technology 1,119.9 -0.7 UFIDA Software Co. Ltd. 10 China Information Technology 2,351.1 -1.1 Verint Systems Inc. 10 USA Information Technology 1,047.6 -0.8 ACC Ltd. 10 India Materials 4,869.6 -0.8 Air Water Inc. 10 Japan Materials 2,572.9 -1.3 Assore Ltd. 10 South Africa Materials 4,595.4 -2.8


36


abc



t-score

Birla Corp. Ltd. 10 India Materials 429.5 -0.6 Brickworks Ltd. 10 Australia Materials 1,669.1 -0.9 British Polythene Industries PLC 10 Great-Britain Materials 151.7 -0.7 Chambal Fertilisers & Chemicals 10 India Materials 643.1 -1.9 Compass Minerals International Inc. 10 USA Materials 2,333.4 -2.9 FP Corp. 10 Japan Materials 1,416.2 -1.3 Gansu Qilianshan Cement Group Co. 10 China Materials 971.1 -2.0 Harmony Gold Mining Co. Ltd. 10 South Africa Materials 5,106.6 -1.4 Hecla Mining Co. 10 USA Materials 1,343.7 -0.7 Imdex Ltd. 10 Australia Materials 540.4 -1.9 Jindal Steel & Power Ltd. 10 India Materials 9,965.8 -1.4 Les Ciments du Maroc 10 Morocco Materials 1,748.3 -1.6 LSB Industries Inc. 10 USA Materials 852.5 -0.6 Mardin Cimento Sanayii Ve Ticaret 10 Turkey Materials 403.0 -0.6 Monsanto Co. 10 USA Materials 41,574.8 -2.5 NovaGold Resources Inc. 10 Canada Materials 2,149.2 -1.0 Rengo Co. Ltd. 10 Japan Materials 1,991.8 -1.1 Rock-Tenn Co. Cl A 10 USA Materials 5,077.9 -1.0 RPM International Inc. 10 USA Materials 3,192.2 -0.7 Semen Gresik (Persero) 10 Indonesia Materials 7,259.8 -1.1 Shandong Hualu Hengsheng Chemical Co.

10 China Materials 1,677.1 -1.4

Shougang Fushan Resources Group Ltd.

10 Hong Kong Materials 2,015.6 -0.8

Siam City Cement PCL 10 Thailand Materials 2,197.2 -1.0 SK Chemicals Co. Ltd. 10 South Korea Materials 1,239.6 -1.2 Societe Metallurgique d'Imiter 10 Morocco Materials 707.4 -1.3 Stepan Co. 10 USA Materials 866.7 -0.8 Thai Plastic & Chemicals PCL 10 Thailand Materials 845.9 -0.8 TPI Polene PCL 10 Thailand Materials 1,023.4 -1.0 Troy Resources Ltd 10 Australia Materials 435.7 -1.3 Xiamen Tungsten Co. Ltd. 10 China Materials 4,311.1 -1.2 Atlantic Tele-Network Inc. 10 USA Telecommunication Services 547.3 -0.7 China Unicom (Hong Kong) Ltd. 10 Hong Kong Telecommunication Services 42,069.0 -0.8 Egyptian Company for Mobile Serv. 10 Egypt Telecommunication Services 3,017.9 -1.1 Globe Telecom Inc. 10 Philippines Telecommunication Services 3,633.7 -1.0 Magyar Telekom Telecommunications 10 Hungary Telecommunication Services 2,594.1 -0.8 Portugal Telecom SGPS S/A 10 Portugal Telecommunication Services 4,633.3 -1.2 Shenandoah Telecommunications Co. 10 USA Telecommunication Services 239.1 -0.7 Thaicom PCL 10 Thailand Telecommunication Services 505.7 -1.2 AES Gener S.A. 10 Chile Utilities 4,751.2 -1.5 Ameren Corp. 10 USA Utilities 7,721.3 -0.9 Artesian Resources Corp. Cl A 10 USA Utilities 164.0 -0.7 Aygaz A.S. 10 Turkey Utilities 1,543.5 -1.0 Beijing Enterprises Water Group 10 Hong Kong Utilities 1,771.0 -1.5 Canadian Utilities Ltd. (Cl A) 10 Canada Utilities 8,452.5 -0.7 Cia Energetica de Sao Paulo Prf B 10 Brazil Utilities 6,587.6 -0.6 CLP Holdings Ltd. 10 Hong Kong Utilities 21,183.3 -1.0 Companhia de Transmissao de Energia Eletrica Paulista

10 Brazil Utilities 5,202.8 -0.6

Constellation Energy Group Inc. 10 USA Utilities 7,215.2 -0.7 Electricity Generating PCL 10 Thailand Utilities 1,629.4 -1.0 Enel S.p.A. 10 Italy Utilities 37,481.8 -0.9 Exelon Corp. 10 USA Utilities 25,544.0 -0.8 International Power PLC 10 Great-Britain Utilities 28,757.4 -1.1 Northland Power Inc. 10 Canada Utilities 1,380.6 -0.7 Okinawa Electric Power Co. Inc. 10 Japan Utilities 774.0 -0.6 Ormat Technologies Inc. 10 USA Utilities 890.9 -0.7 PNM Resources Inc. 10 USA Utilities 1,472.0 -0.7 Public Power Corp. S.A. 10 Greece Utilities 998.4 -1.3 Ratchaburi Electricity Generating 10 Thailand Utilities 1,990.7 -3.6 Rubis SCA 10 France Utilities 1,654.5 -0.6 Severn Trent PLC 10 Great-Britain Utilities 5,899.8 -0.6


37


abc

Disclosure appendix Analyst Certification The following analyst(s), economist(s), and/or strategist(s) who is(are) primarily responsible for this report, certifies(y) that the opinion(s) on the subject security(ies) or issuer(s) and/or any other views or forecasts expressed herein accurately reflect their personal view(s) and that no part of their compensation was, is or will be directly or indirectly related to the specific recommendation(s) or views contained in this research report: Rocco Strauss, Volker Borghoff, Yi Xie and Kai Boecker

Important disclosures

AlphaScreen methodology We have developed 12 standard equity screening models we apply for different market universes (Europe, USA/Canada, Developed Asia, Emerging Markets). These multi-factor models currently contain 39 different factors. The models have been built and will be further developed using different backtesting techniques such as Monte Carlo simulation and factor quintile analysis. To calculate the ranking of a stock in the respective model we rank the stock by its factor value and assign scores from 100 (best stock) to -100 (worst stock). The scores are multiplied by the static factor weightings (we have backtested) and then added up. The result is the total score. The higher this score the higher the ranking of the stock in the respective model.

Depending on the market situation we build additional screenings which meet ‘special criteria’ that we explain in the respective chapters of AlphaScreen. The screening results are also applied for bottom-up aggregations we use for our sector analysis and strategy.

Model portfolios The LONG model portfolios provide our best quantitative ideas from two perspectives: stock picking and portfolio building (diversification). We do not apply a quantitative algorithm for building our LONG model portfolios. The main factors influencing the composition of our recommended portfolios are the result of the stock screening models described above, our general quant strategy for stock picking, special topic themes, macro environment, risk management and diversification measures. The model portfolios purely reflect our quantitative view and are updated at least quarterly or more frequently. Analyst ratings and the quantitative view may not match and as a consequence the model portfolio may contain stocks to which analysts assign Underweight or Neutral ratings. The SHORT model portfolio contains our best SHORT ideas. These are stocks we expect to underperform in the next three months. As with our LONG models we do not apply a quantitative algorithm for building the portfolios. The main factors influencing the composition are the result of the stock screening models described above, our general quant strategy for stock picking, special topic themes, macro environment, risk management and diversification measures. Analyst ratings and the quantitative view may not match and as a consequence the model portfolio may contain stocks to which analysts assign Overweight or Neutral ratings.

In our AlphaScreen reports we often select and rank stocks by different criteria. These selections and rankings do not reflect quantitative recommendations to buy or to sell the respective stocks as long as they are not a member of our model portfolios.

HSBC believes an investor's decision to buy or sell a stock should depend on individual circumstances such as the investor's existing holdings and other considerations. Different securities firms use a variety of ratings terms as well as different rating systems to describe their recommendations. Investors should carefully read the definitions of the ratings used in each research report. In addition, because research reports contain more complete information concerning the analysts' views, investors should carefully read the entire research report and should not infer its contents from the rating. In any case, ratings should not be used or relied on in isolation as investment advice.

Rating definitions for long-term investment opportunities

Stock ratings HSBC assigns ratings to its stocks in this sector on the following basis:

For each stock we set a required rate of return calculated from the cost of equity for that stock’s domestic or, as appropriate, regional market established by our strategy team. The price target for a stock represents the value the analyst expects the stock

38


abc

to reach over our performance horizon. The performance horizon is 12 months. For a stock to be classified as Overweight, the potential return, which equals the percentage difference between the current share price and the target price, including the forecast dividend yield when indicated, must exceed the required return by at least 5 percentage points over the next 12 months (or 10 percentage points for a stock classified as Volatile*). For a stock to be classified as Underweight, the stock must be expected to underperform its required return by at least 5 percentage points over the next 12 months (or 10 percentage points for a stock classified as Volatile*). Stocks between these bands are classified as Neutral.

Our ratings are re-calibrated against these bands at the time of any 'material change' (initiation of coverage, change of volatility status or change in price target). Notwithstanding this, and although ratings are subject to ongoing management review, expected returns will be permitted to move outside the bands as a result of normal share price fluctuations without necessarily triggering a rating change.

*A stock will be classified as volatile if its historical volatility has exceeded 40%, if the stock has been listed for less than 12 months (unless it is in an industry or sector where volatility is low) or if the analyst expects significant volatility. However, stocks which we do not consider volatile may in fact also behave in such a way. Historical volatility is defined as the past month's average of the daily 365-day moving average volatilities. In order to avoid misleadingly frequent changes in rating, however, volatility has to move 2.5 percentage points past the 40% benchmark in either direction for a stock's status to change.

Rating distribution for long-term investment opportunities

As of 09 March 2012, the distribution of all ratings published is as follows: Overweight (Buy) 50% (26% of these provided with Investment Banking Services)

Neutral (Hold) 36% (24% of these provided with Investment Banking Services)

Underweight (Sell) 14% (15% of these provided with Investment Banking Services)

Analysts, economists, and strategists are paid in part by reference to the profitability of HSBC which includes investment banking revenues.

For disclosures in respect of any company mentioned in this report, please see the most recently published report on that company available at www.hsbcnet.com/research.

* HSBC Legal Entities are listed in the Disclaimer below.

Additional disclosures 1 This report is dated as at 12 March 2012. 2 All market data included in this report are dated as at close 07 March 2012, unless otherwise indicated in the report. 3 HSBC has procedures in place to identify and manage any potential conflicts of interest that arise in connection with its

Research business. HSBC's analysts and its other staff who are involved in the preparation and dissemination of Research operate and have a management reporting line independent of HSBC's Investment Banking business. Information Barrier procedures are in place between the Investment Banking and Research businesses to ensure that any confidential and/or price sensitive information is handled in an appropriate manner.

39


abc

Disclaimer * Legal entities as at 04 March 2011 ‘UAE’ HSBC Bank Middle East Limited, Dubai; ‘HK’ The Hongkong and Shanghai Banking Corporation Limited, Hong Kong; ‘TW’ HSBC Securities (Taiwan) Corporation Limited; ‘CA’ HSBC Securities (Canada) Inc, Toronto; HSBC Bank, Paris Branch; HSBC France; ‘DE’ HSBC Trinkaus & Burkhardt AG, Düsseldorf; 000 HSBC Bank (RR), Moscow; ‘IN’ HSBC Securities and Capital Markets (India) Private Limited, Mumbai; ‘JP’ HSBC Securities (Japan) Limited, Tokyo; ‘EG’ HSBC Securities Egypt SAE, Cairo; ‘CN’ HSBC Investment Bank Asia Limited, Beijing Representative Office; The Hongkong and Shanghai Banking Corporation Limited, Singapore Branch; The Hongkong and Shanghai Banking Corporation Limited, Seoul Securities Branch; The Hongkong and Shanghai Banking Corporation Limited, Seoul Branch; HSBC Securities (South Africa) (Pty) Ltd, Johannesburg; ‘GR’ HSBC Securities SA, Athens; HSBC Bank plc, London, Madrid, Milan, Stockholm, Tel Aviv; ‘US’ HSBC Securities (USA) Inc, New York; HSBC Yatirim Menkul Degerler AS, Istanbul; HSBC México, SA, Institución de Banca Múltiple, Grupo Financiero HSBC; HSBC Bank Brasil SA – Banco Múltiplo; HSBC Bank Australia Limited; HSBC Bank Argentina SA; HSBC Saudi Arabia Limited; The Hongkong and Shanghai Banking Corporation Limited, New Zealand Branch

Issuer of report HSBC Trinkaus and Burkhardt AG Königsallee 21/23

D-40212 Düsseldorf

Germany Telephone: +49 211 910-0

Fax: +49 211 910 33 20

Website: www.research.hsbc.com

This document has been issued by HSBC Trinkaus and Burkhardt AG (“HSBC”) for the information of its customers only. If it is received by a customer of an affiliate of HSBC, its provision to the recipient is subject to the terms of business in place between the recipient and such affiliate. This document is not and should not be construed as an offer to sell or the solicitation of an offer to purchase or subscribe for any investment. HSBC has based this document on information obtained from sources it believes to be reliable but which it has not independently verified; HSBC makes no guarantee, representation or warranty and accepts no responsibility or liability as to its accuracy or completeness. Expressions of opinion are those of the Research Division of HSBC only and are subject to change without notice. The information and opinions contained within the research reports are based upon publicly available information at the time of publication which are subject to change from time to time. Past performance is not necessarily a guide to future performance. The value of any investment or income may go down as well as up and you may not get back the full amount invested. Where an investment is denominated in a currency other than the local currency of the recipient of the research report, changes in the exchange rates may have an adverse effect on the value, price or income of that investment. In case of investments for which there is no recognised market it may be difficult for investors to sell their investments or to obtain reliable information about its value or the extent of the risk to which it is exposed. HSBC Securities (USA) Inc. accepts responsibility for the content of this research report prepared by its non-US foreign affiliate. All U.S. persons receiving and/or accessing this report and wishing to effect transactions in any security discussed herein should do so with HSBC Securities (USA) Inc. in the United States and not with its non-US foreign affiliate, the issuer of this report. In the UK this report may only be distributed for the information of its Clients (as defined in the Rules of FSA) and those of its affiliates only. It is not intended for Retail Clients in the UK. The protections afforded by the UK regulatory regime are available only to those dealing with a representative of HSBC Bank plc in the UK. In Singapore, this publication is distributed by The Hongkong and Shanghai Banking Corporation Limited, Singapore Branch for the general information of institutional investors or other persons specified in Sections 274 and 304 of the Securities and Futures Act (Chapter 289) (“SFA”) and accredited investors and other persons in accordance with the conditions specified in Sections 275 and 305 of the SFA. This publication is not a prospectus as defined in the SFA. It may not be further distributed in whole or in part for any purpose. The Hongkong and Shanghai Banking Corporation Limited Singapore Branch is regulated by the Monetary Authority of Singapore. Recipients in Singapore should contact a "Hongkong and Shanghai Banking Corporation Limited, Singapore Branch" representative in respect of any matters arising from, or in connection with this report. In Korea, this publication is distributed by either The Hongkong and Shanghai Banking Corporation Limited, Seoul Securities Branch ("HBAP SLS") or The Hongkong and Shanghai Banking Corporation Limited, Seoul Branch ("HBAP SEL") for the general information of professional investors specified in Article 9 of the Financial Investment Services and Capital Markets Act (“FSCMA”). This publication is not a prospectus as defined in the FSCMA. It may not be further distributed in whole or in part for any purpose. Both HBAP SLS and HBAP SEL are regulated by the Financial Services Commission and the Financial Supervisory Service of Korea. In Australia, this publication has been distributed by The Hongkong and Shanghai Banking Corporation Limited (ABN 65 117 925 970, AFSL 301737) for the general information of its “wholesale” customers (as defined in the Corporations Act 2001). Where distributed to retail customers, this research is distributed by HSBC Bank Australia Limited (AFSL No. 232595). These respective entities make no representations that the products or servicesmentioned in this document are available to persons in Australia or are necessarily suitable for any particular person or appropriate in accordance with local law. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. This publication is distributed in New Zealand by The Hongkong and Shanghai Banking Corporation Limited, New Zealand Branch. In Japan, this publication has been distributed by HSBC Securities (Japan) Limited. In Hong Kong, this document has been distributed by The Hongkong and Shanghai Banking Corporation Limited in the conduct of its Hong Kong regulated business for the information of its institutional and professional customers; it is not intended for and should not be distributed to retail customers in Hong Kong. The Hongkong and Shanghai Banking Corporation Limited makes no representations that the products or services mentioned in this document are available to persons in Hong Kong or are necessarily suitable for any particular person or appropriate in accordance with local law. All inquiries by such recipients must be directed to The Hongkong and Shanghai Banking Corporation Limited. It may not be further distributed in whole or in part for any purpose. HSBC Trinkaus and Burkhardt AG is regulated by the Federal Financial Supervisory Authority ("BaFin"). © Copyright. HSBC Trinkaus and Burkhardt AG 2012, ALL RIGHTS RESERVED. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, on any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of HSBC Trinkaus and Burkhardt AG. MICA (P) 208/04/2011 and MICA (P) 040/04/2011

[323775]

abc

Head of Global Style & Systematic Alpha Research

Volker Borghoff Analyst +49 211 910 3298 [email protected]

Team

Kai Boecker Analyst +49 211 910 3721 [email protected]

Rocco Strauss Analyst +49 211 910 2027 [email protected]

Yi Xie Analyst +49 211 910 1601 [email protected]

Global Style & Systematic Alpha Research

Style & Alpha Special-Introduction of global 'Cyclicality Rating'

Documents

Transcript of Style & Alpha Special-Introduction of global 'Cyclicality Rating'