MOTION MANAGEMANT IN LUNG SBRT BY DR KANHU CHARAN PATRO
マーケットニュートラル
1. Nomura Securities International, Inc.
Nomura Securities International Inc, New York
Global Quantitative Research
Nomura Securities International, Inc.
U.S. Quantitative Research
Quantitative Equity
Strategies and Signals
.
Joseph Mezrich
Nomura Securities International, Inc.
Please read the analyst
certifications and
important disclosures on
pp. 23-25. gl
6 October 2010
2. U.S. Quantitative Research
Factor failure –
momentum, earnings quality, value
and the regime change of 2000
2Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
3. U.S. Quantitative Research
A regime shift in market risk of B/P over the
last decade?
0.4
0.5
0.6
B/P
RankCorrelationbetweenB/Pandriskmeasures
0
0.1
0.2
0.3
relationwithB
-0.4
-0.3
-0.2
-0.1
RankCorr
Estimate dispersion
-0.5
0.4
1983
1985
1986
1987
1988
1990
1991
1992
1993
1995
1996
1997
1998
2000
2001
2002
2003
2005
2006
2007
2008
2010
Beta
Note: Shows history of rank correlation between B/P and risk factors (estimate dispersion
and beta). Universe is Russell 1000. Period of analysis is from November 1983 through
May 2010.
Source: Nomura Securities International Inc., Compustat, I/B/E/S, Russell, and IDC.
3Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
4. U.S. Quantitative Research
High quality stocks used to have low betaHigh quality stocks used to have low beta,
but not now
Rank correlationbetweenaccruals andbeta
7 0
8 0
9 0
1 0 0
0.1
0.2
0.3
on
Rankcorrelationbetweenaccruals andbeta
R FD
2 0
3 0
4 0
5 0
6 0
-0.1
0
RankCorrelatio
RegFD
0
1 0
-0.3
-0.2
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Recession
Note: Shows the rank correlation between accruals and beta in the Russell 1000 universe. Period of
analysis is from Nov 1983 through May 2010.
Source: Nomura Securities International Inc., Compustat, IDC, Russell, NBER.
4Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
5. U.S. Quantitative Research
A L h h d f d i l b b ?
Is it all a beta bet?
15
20
25
30
6
8
10
Cumulativefa
undStrategy(%)
Hedge FundStrategyLong/ShortEquity(LHS)
Factorreturnto Beta (RHS)
Are Long-short hedge funds simplyabetabet?
-5
0
5
10
-2
0
2
4
actorreturntoBeta(%
tivereturnofHedgeF
-10-4
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
%)
Cumulat
3
Feb 8 Apr23 Jun10
Have systematicsources ofreturnconverged toabetabet?
-1
0
1
2
3
efactorreturn(%)
Beta
B/P
Small cap
Momentum
-5
-4
-3
-2
Z-scoreofcumulative
Feb8 Apr23 Jun10
-6
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Note: Top chart shows cumulative performance of Dow Jones Hedge Fund Strategy Long/Short US Equity
(ticker: DJHFELSU) overlaid with cumulative factor performance to beta (decile spread) in the Russell 1000.
Bottom chart shows normalized cumulative performances of decile spread based on beta B/P small cap
5Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
Bottom chart shows normalized cumulative performances of decile spread based on beta, B/P, small cap
and one-year momentum and beta in the Russell 1000, where cumulative factor returns are normalized
based on the period since 1 Mar 2010. Period of analysis is from 31 Aug 2009 through 16 June 2010.
Transaction costs are not considered.
Source: Nomura Securities International Inc., I/B/E/S, Russell, Compustat, IDC, Dow Jones, Bloomberg.
6. U.S. Quantitative Research
Clustering of factors – much has changed
March 2010 –
May 2010
January 1980 – May
2010
ningsEarn
Note: We applied hierarchical cluster analysis to monthly factor returns in the Russell 1000 from January 1980 through
6Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
Note: We applied hierarchical cluster analysis to monthly factor returns in the Russell 1000 from January 1980 through
May 2010 in the left side chart and daily factor returns from March 2010 through May 2010 in the right side chart. A
close pair of clusters is grouped based on “distance” between clusters, which is defined as the average Euclidean
distance for every pair in each cluster (average linkage method). Monthly and daily factor returns are based on decile
spreads. Transaction costs are not considered.
Source: Nomura Securities International Inc., I/B/E/S, Russell, Compustat, IDC.
7. U.S. Quantitative Research
The correlation conundrum:
a sector problem and macro solution
7Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
8. U.S. Quantitative Research
Sector-neutral correlation of stocks, a product of
sector correlationsector correlation
0.6
0.7
0.8
Average correlation of stocks within sectors
0
0.1
0.2
0.3
0.4
0.5
0 4
0.5
0.6
0.7
0.8
Average correlation of sectors
Average correlationof stocks withinsectors Average correlationof sectors
0
0.1
0.2
0.3
0.4
0 3
0.4
0.5
0.6
0.7
0.8
g g
Note: Shows the average of within-sector stock correlations (top panel) and the average correlation among
0
0.1
0.2
0.3
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
8Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
Note: Shows the average of within sector stock correlations (top panel) and the average correlation among
10 GICS sectors (middle panel). Bottom panel is the overlay of the top and middle panels. The correlations
are calculated using trailing 21-day daily return data. Universe is Russell 1000. Period of analysis is from
January 1984 through July 2010.
Source: Nomura Securities International, Inc., I/B/E/S, Russell, Compustat, IDC.
9. U.S. Quantitative Research
Correlation … another look, another worry
60
70
1.5
2.0
Weigh
Weight of 1st principal component (right axis)
, y
30
40
50
0 0
0.5
1.0
htof1stprincipalcomp
rageFactorIC(x10-2)
0
10
20
-1.0
-0.5
0.0
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
00
01
02
03
04
05
06
07
08
09
ponent(%)
Aver
Average factor IC (left axis)
19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
200
200
200
200
200
200
200
200
200
200
Notes: Dark blue line shows three-year average of factor IC (information coefficient) based on common 22 representative factors
(see factors listed below). Light blue line shows weight of the first principal component in the factor-return variance in time series.
The principal component analysis is based on rolling three-year performances of 22 representative factors in the Russell 1000.
Period of analysis is from December 1985 through July 2010.
Source: Nomura Securities International Inc., Compustat, I/B/E/S, IDC, Russell.
Factor Definition
1 Mon. Price Momentum(Low - High) Stock return in local currency - cap weighted return of country in local currency
1 Year Dividend Grow th 1-yr dividends per share growth
1 Year Price Momentum 12-month stock return in local currency - 1-month stock return in local currency
5 Year EPS Growth 5-yr earnings per share growth
Accruals (Low - High) Total net operating accruals deflated by Total Asset
Analyst Coverage (Low - High) IBES FY estimates/log (market cap in USD)
B/P Book/Total Market Cap
Beta 60 month beta to Regional Index
Capex / Sales (Low - High) Capital expenditures/Net sales
Debt / Equity (Low - High) Total debt/common equityDebt / Equity (Low - High) Total debt/common equity
Default Risk (Safe - Risky) Merton type default probability
Dividend Yield Total Dividends/Total Market Cap
E/P Net Income/Total Market Cap
EBITDA/EV Earnings Before Interest, Taxes and Depreciation/(Market Cap + LT Debt + Current Debt + Prefered Stock + Minority Interest - Cash and Equivalents)
Estimate Dispersion (Low - High) Std deviation of IBES FY1 estimates/ Mean of IBES FY1estimates
Market Cap (Small - Large) Market Cap (USD)
PEG (Low - High) (Net Income/Total Market Cap) * IBES median LT growth rate estimate
Predicted E/P FY weighted sumof FY1,FY2,FY3 IBES median estimate/price
Predicted LT Growth IBES long termgrow th mean estimate
ROE (Net Income before Prefered Dividends - Prefered Dividend Reqirement) / Average Common Equity
9Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
Share Buyback 12-Month Change in Share Outstandings
Up to Down Revisions (IBES FY1 up estimates - IBES FY1 down estimates)/IBES FY1 estimates
Note: 1 Financial companies are excluded from the universe.
Source: Nomura Securities International, Inc.
10. U.S. Quantitative Research
Cumulative returns of the commodity equity factorCumulative returns of the commodity equity factor
and the GSCI index the factor tracks
250%
150%
200%
250%
urn
GSCI-LS
GSCI
50%
100%
CumulativeRetu
-50%
0%
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Note: Shows cumulative returns to S&P GSCI Index (ticker: SPGSCI) and to commodity equity factor
(GSCI-LS) constructed as follows: Russell 1000 stocks are ranked according to sensitivity of stock return
to commodity index change, and factor returns are generated by calculating the subsequent performance
of an equal-weighted portfolio that is long the highest decile and short the lowest decile. Factor returns do
not include transaction costs Period of analysis is from February 1992 through July 2010not include transaction costs. Period of analysis is from February 1992 through July 2010.
Source: Nomura Securities International, Inc., I/B/E/S, Russell, Compustat, IDC.
10Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
11. U.S. Quantitative Research
Correlation between sectors and
commodity equity factor
Energy
0 4
0.5
0.6
Utilities
Materials
Technology Telecom Industrials
0.1
0.2
0.3
0.4
Correlation
Industrials
Healthcare
Consumer-Disc.
Financials
Consumer-Staples
-0.2
-0.1
0.0
Note: Shows time-series correlation of commodity equity factor return with returns of 10 GICS sectors.
Universe is Russell 1000. Period of analysis is from February 1988 through July 2010.
Source: Nomura Securities International, Inc., I/B/E/S, Russell, Compustat, IDC.
Correlations among commodity equity factor, market
indices GICS sectors and quantitative factorsindices, GICS sectors, and quantitative factors
GSCI-LS GSCI MSCI-EM SP500 Sectors Quant Factors
GSCI-LS 1 0.50 0.19 0.01 0.14 0.12
GSCI 1 0.23 0.09 0.12 0.09
MSCI-EM 1 0 66 0 48 0 28
1988 - 2010
MSCI-EM 1 0.66 0.48 0.28
SP500 1 0.73 0.31
Sectors 1 0.46
Quant Factors 1
Note: Shows time-series correlations of returns of the proposed GSCI equity factor (GSCI-LS), S&P GSCI Index
(ticker: SPGSCI), MSCI Emerging Market Index (ticker: MXEF), S&P500 index, 10 GICS sectors, and 22 quantitative
factors (see Appendix N of US Quant Monthly for factor definitions) These correlations with sectors and quantitative
11Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
factors (see Appendix N of US Quant Monthly for factor definitions). These correlations with sectors and quantitative
factors are calculated as the average of correlations with each sector (factor). Universe is Russell 1000. Period of
analysis is from February 1988 through July 2010.
Source: Nomura Securities International, Inc., I/B/E/S, Russell, Compustat, IDC, Dow Jones, Bloomberg.
12. U.S. Quantitative Research
S t t ti l d h t id f tSector representation on long and short sides of most
recent commodity equity factor portfolio
50%
Energy
Healthcare
Consumer-Staples
30%
40%
mberofstocks
Long Short
Financials
Materials Industrials
Consumer-Disc.
U ili i10%
20%
centageoftotalnum
Technology
Telecom
Utilities
0%
10%
Perc
Note: Universe is Russell 1000. Shows composition (at the sector level) of the commodity equity factor
portfolio constructed for August 2010. Y-axis shows the percentage of number of stocks in long and short
sides of the portfolio.
Source: Nomura Securities International, Inc., I/B/E/S, Russell, Compustat, IDC, Dow Jones, Bloomberg.
12Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
14. U.S. Quantitative Research
Watch the bouncing vol the hard landing continuesWatch the bouncing vol – the hard landing continues
70%
75%
80%
45%
50%
55%
60%
65%
70%
Volatility
One Month Vol
15%
20%
25%
30%
35%
40%
ImpliedV
N Sh i i li d l ili i f S&P 00 (bl li ) d h i i li d
5%
10%
15%
Jul-07
Sep-07
Nov-07
Jan-08
Mar-08
May-08
Jul-08
Sep-08
Nov-08
Jan-09
Mar-09
May-09
Jul-09
Sep-09
Nov-09
Jan-10
Mar-10
May-10
Jul-10
Sep-10
One YearVol
Notes: Shows one-year option-implied volatilities for S&P 500 (blue line) and one-month option-implied
volatilities for S&P500 (VIX, green line). Last data as of 24 September 2010.
Source: Nomura Securities International Inc., OptionMetrics
14Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
15. U.S. Quantitative Research
Crises and the mean reversion of volatilityCrises and the mean reversion of volatility
80%
Credit Crisis
50%
60%
70%
olatility
9/11LTCM
2002, Accounting
Scandals
Asian
Crisis
Iraq War Begins - vol
slide begins
20%
30%
40%
ImpliedVo
Quant Crisis
0%
10%
Nov-95
Jul-96
Mar-97
Nov-97
Jul-98
Mar-99
Nov-99
Jul-00
Mar-01
Nov-01
Jul-02
Mar-03
Nov-03
Jul-04
Mar-05
Nov-05
Jul-06
Mar-07
Nov-07
Jul-08
Mar-09
Nov-09
Jul-10
One Month vol
(Green Line)
One Yearvol
(Blue Line)
Notes: Shows one-year option-implied volatilities for S&P500 (blue line) and one-month option-implied
volatilities for S&P500 (VIX, green line). Last data as of 24 September 2010.
Source: Nomura Securities International Inc., OptionMetrics.
15Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
16. U.S. Quantitative Research
Volatility term structure, one-year minus one-monthVolatility term structure, one year minus one month
S&P500 option-implied volatility
10%
-5%
0%
5%
hopefear
-20%
-15%
-10%
-35%
-30%
-25%
Notes: Shows one-year option-implied volatilities for S&P500 minus one-month option-implied volatilities
for S&P500 (VIX). Last data as of 24 September 2010.
Source: Nomura Securities International Inc., OptionMetrics.
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
16Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
17. U.S. Quantitative Research
VIX since 22 March through 13 August
50
May 20, 46%
M 7 41%
30
35
40
45
IX(%)
May 7, 41%
June 7, 37%
June 30, 35%
July 16, 26%
15
20
25
30
VI
May 12, 26%
April15, 16%
June 18, 24%
July 12, 24%
May 27, 30%
Note: Shows VIX index from 22 March 2010 to 13 August 2010.
10
22-Mar
29-Mar
7-Apr
15-Apr
22-Apr
30-Apr
10-May
18-May
25-May
3-Jun
11-Jun
18-Jun
28-Jun
7-Jul
15-Jul
22-Jul
30-Jul
9-Aug
Note: Shows VIX index from 22 March 2010 to 13 August 2010.
Source: Nomura Securities International Inc. and Bloomberg.
17Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
19. U.S. Quantitative Research
The failure of Churchill’s maxim:
factors now fade faster
19Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
20. U.S. Quantitative Research
Factors now fade faster
200
250
250
300
)
FactorMomentumStrategy ( Non-sectorneutral)
One-yearmomentum
( leftaxis )
Recession
100
150
100
150
200
Cumulativereturn(%
Five-yearmomentum
( right axis )
Recession
0
50
0
50
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
FactorMomentumStrategy ( Sectorneutral)
150
200
150
200
eturn(%)
FactorMomentumStrategy ( Sectorneutral)
One-yearmomentum
( leftaxis )
Recession
50
100
50
100
Cumulativere
Five-yearmomentum
( right axis )
Note: Universe is Russell 1000. Top chart shows cumulative excess returns to owning the best 10 of 52
factors (see Appendix A of US quant monthly) based on past one-year and five-year factor performances
under non-sector-neutral conditions. Bottom chart shows cumulative excess returns to owning the best 10
00
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
20Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
g
of 52 factors (see Appendix A of US quant monthly) based on past one-year and five-year factor
performances under sector neutrality. Baskets are rebalanced every month. Period of analysis is from Jan
1984 through Aug 2010. Transaction costs are not considered.
Source: Nomura Securities International Inc., Compustat, I/B/E/S, IDC, Russell, NBER.
21. U.S. Quantitative Research
Persistence of short alpha was lost around 2002
140
160
180
(%)
Long-AlphaMomentumStrategybased on one-yearperformance
Non-sectorneutral
Recession
40
60
80
100
120
Cumulativelong-alpha(
Sectorneutral
0
20
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Short-AlphaMomentumStrategy basedon one-yearperformance
100
120
140
160
180
ort-alpha(%)
Non-sectorneutral
Recession
0
20
40
60
80
100
Cumulativesho
Sectorneutral
Note: Universe is Russell 1000. Top chart shows cumulative excess returns to owning the 10 best long-side
baskets among 52 factors (see Appendix A of US quant monthly) based on past one-year long alpha under
sector-neutral and non-sector-neutral conditions. Bottom chart shows cumulative excess returns to shorting
the 10 best short-side baskets among same 52 factors based on past one-year short alpha under sector-
0
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
21Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
neutral and non-sector-neutral conditions. Baskets are rebalanced every month. Period of analysis is from
Jan 1980 through Aug 2010. Transaction costs are not considered.
Source: Nomura Securities International Inc., Compustat, I/B/E/S, IDC, Russell, NBER.
22. U.S. Quantitative Research
Long-alpha persistence has required speed since 2007
70
80
90
60
70
80
90
(%)
Long-AlphaMomentumStrategyin Value universe (Sectorneutral)
One-yearmomentum
( leftaxis )Recession
20
30
40
50
60
20
30
40
50
60
Cumulativelong-alpha
Five-yearmomentum
( right axis )
0
10
0
10
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Long-AlphaMomentumStrategyin Growth universe (Sectorneutral)
60
80
100
120
50
60
70
80
90
100
ng-alpha(%)
One-yearmomentum
( leftaxis )
Five yearmomentum
Recession
0
20
40
60
0
10
20
30
40
50
Cumulativelon
Five-yearmomentum
( right axis )
Note: Top chart shows cumulative excess returns to owning the 10 best long-side baskets among 52 factors
(see Appendix A of US quant monthly) based on past one-year and five-year long alpha under sector-
neutral conditions in the Russell 1000 Value universe. Bottom chart shows cumulative excess returns to
owning the 10 best long-side baskets among same 52 factors based on past one-year and five-year long
00
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
22Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
alpha under sector-neutral conditions in the Russell 1000 Growth universe. Baskets are rebalanced every
month. Period of analysis is from Jan 1984 through Aug 2010. Transaction costs are not considered.
Source: Nomura Securities International Inc., Compustat, I/B/E/S, IDC, Russell, NBER.
23. U.S. Quantitative Research
Any Authors named on this report are Research Analysts unless otherwise indicatedAny Authors named on this report are Research Analysts unless otherwise indicated
ANALYST CERTIFICATIONS
Each research analyst identified on the cover page hereof certifies that all of the views expressed in this report by such analyst accurately
reflect his or her personal views about the subject securities and issuers. In addition, each research analyst identified on the cover page
hereof hereby certifies that no part of his or her compensation was, is, or will be, directly or indirectly related to the specific
recommendations or views that he or she has expressed in this research report, nor is it tied to any specific investment banking
transactions performed by Nomura Securities International, Inc., Nomura International plc or any other Nomura Group company.
Online availability of research and conflict-of-interest disclosures
Nomura Japanese Equity Research is available electronically for clients in the US on NOMURA.COM, REUTERS, BLOOMBERG and
THOMSON ONE ANALYTICS. For clients in Europe, Japan and elsewhere in Asia it is available on NOMURA.COM, REUTERS and
BLOOMBERG.
Important disclosures may be accessed through the left hand side of the Nomura Disclosure web page http://www.nomura.com/research
or requested from Nomura Securities International, Inc., on 1-877-865-5752. If you have any difficulties with the website, please email
grpsupport-eu@nomura.com for technical assistance.
The analysts responsible for preparing this report have received compensation based upon various factors including the firm's total
revenues, a portion of which is generated by Investment Banking activities.
Industry Specialists identified in some Nomura research reports are senior employees within the Firm who are responsible for the sales
and trading effort in the sector for which they have coverage. Industry Specialists do not contribute in any manner to the content of
research report in which their names appear.
Information available on risks of investing in options
Options involve risk and are not suitable for all investors Prior to buying and selling an option investors must receive and readOptions involve risk and are not suitable for all investors. Prior to buying and selling an option, investors must receive and read
Characteristics and Risks of Standardized Options. Click here to read and review information from the Options Clearing Corp., (“OCC”).
http://www.optionsclearing.com/publications/risks/riskchap1.jsp Commissions, taxes, dividends, margins and other transaction charges will
affect the outcome of options transactions and should be considered in any investment decision.
DISCLAIMERS
This publication contains material that has been prepared by the Nomura entity identified on the banner at the top or the bottom of page 1
herein and, if applicable, with the contributions of one or more Nomura entities whose employees and their respective affiliations are
specified on page 1 herein or elsewhere identified in the publication. Affiliates and subsidiaries of Nomura Holdings, Inc. (collectively, the
'Nomura Group'), include: Nomura Securities Co., Ltd. ('NSC') Tokyo, Japan; Nomura International plc, United Kingdom; Nomura
Securities International, Inc. ('NSI'), New York, NY; Nomura International (Hong Kong) Ltd., Hong Kong; Nomura Financial Investment
(Korea) Co., Ltd., Korea (Information on Nomura analysts registered with the Korea Financial Investment Association ('KOFIA') can be
found on the KOFIA Intranet at http://dis.kofia.or.kr ); Nomura Singapore Ltd., Singapore (Registration number 197201440E, regulated by
the Monetary Authority of Singapore); Nomura Securities Singapore Pte Ltd., Singapore (Registration number 198702521E, regulated by
the Monetary Authority of Singapore); Capital Nomura Securities Public Company Limited; Nomura Australia Ltd., Australia (ABN 48 003
032 513), regulated by the Australian Securities and Investment Commission and holder of an Australian financial services licence number
246412; P.T. Nomura Indonesia, Indonesia; Nomura Securities Malaysia Sdn. Bhd., Malaysia; Nomura International (Hong Kong) Ltd.,
Taipei Branch, Taiwan; Nomura Financial Advisory and Securities (India) Private Limited, Mumbai, India (Registered Address: Ceejay
House Level 11 Plot F Shivsagar Estate Dr Annie Besant Road Worli Mumbai 400 018 India; SEBI Registration No: BSEHouse, Level 11, Plot F, Shivsagar Estate, Dr. Annie Besant Road, Worli, Mumbai- 400 018, India; SEBI Registration No: BSE
INB011299030, NSE INB231299034, INF231299034, INE 231299034).
This material is: (i) for your private information, and we are not soliciting any action based upon it; (ii) not to be construed as an offer to sell
or a solicitation of an offer to buy any security in any jurisdiction where such offer or solicitation would be illegal; and (iii) based upon
information that we consider reliable. NOMURA GROUP DOES NOT WARRANT OR REPRESENT THAT THE PUBLICATION IS
ACCURATE, COMPLETE, RELIABLE, FIT FOR ANY PARTICULAR PURPOSE OR MERCHANTABLE AND DOES NOT ACCEPT
LIABILITY FOR ANY ACT (OR DECISION NOT TO ACT) RESULTING FROM USE OF THIS PUBLICATION AND RELATED DATA. TO
THE MAXIMUM EXTENT PERMISSIBLE ALL WARRANTIES AND OTHER ASSURANCES BY NOMURA GROUP ARE HEREBY
EXCLUDED AND NOMURA GROUP SHALL HAVE NO LIABILITY FOR THE USE, MISUSE, OR DISTRIBUTION OF THIS
23Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
, ,
INFORMATION.
24. U.S. Quantitative Research
Opinions expressed are current opinions as of the original publication date appearing on this material only and the information, including
the opinions contained herein, are subject to change without notice. Nomura is under no duty to update this publication. If and as
applicable, NSI's investment banking relationships, investment banking and non-investment banking compensation and securitiesapplicable, NSI s investment banking relationships, investment banking and non investment banking compensation and securities
ownership (identified in this report as 'Disclosures Required in the United States'), if any, are specified in disclaimers and related
disclosures in this report. In addition, other members of the Nomura Group may from time to time perform investment banking or other
services (including acting as advisor, manager or lender) for, or solicit investment banking or other business from, companies mentioned
herein. Further, the Nomura Group, and/or its officers, directors and employees, including persons, without limitation, involved in the
preparation or issuance of this material may, to the extent permitted by applicable law and/or regulation, have long or short positions in,
and buy or sell, the securities (including ownership by NSI, referenced above), or derivatives (including options) thereof, of companies
mentioned herein, or related securities or derivatives. In addition, the Nomura Group, excluding NSI, may act as a market maker and
principal, willing to buy and sell certain of the securities of companies mentioned herein. Further, the Nomura Group may buy and sell
certain of the securities of companies mentioned herein, as agent for its clients.
Investors should consider this report as only a single factor in making their investment decision and, as such, the report should not be
viewed as identifying or suggesting all risks, direct or indirect, that may be associated with any investment decision. Please see the further
disclaimers in the disclosure information on companies covered by Nomura analysts available at www.nomura.com/research under the
'Disclosure' tab. Nomura Group produces a number of different types of research product including, among others, fundamental analysis,
quantitative analysis and short term trading ideas; recommendations contained in one type of research product may differ from
recommendations contained in other types of research product, whether as a result of differing time horizons, methodologies or otherwise;
it is possible that individual employees of Nomura may have different perspectives to this publication.
NSC and other non US members of the Nomura Group (i e excluding NSI) their officers directors and employees may to the extent itNSC and other non-US members of the Nomura Group (i.e. excluding NSI), their officers, directors and employees may, to the extent it
relates to non-US issuers and is permitted by applicable law, have acted upon or used this material prior to, or immediately following, its
publication.
Foreign-currency-denominated securities are subject to fluctuations in exchange rates that could have an adverse effect on the value or
price of, or income derived from, the investment. In addition, investors in securities such as ADRs, the values of which are influenced by
foreign currencies, effectively assume currency risk.
The securities described herein may not have been registered under the US Securities Act of 1933, and, in such case, may not be offered
or sold in the United States or to US persons unless they have been registered under such Act, or except in compliance with an exemptionp y g , p p p
from the registration requirements of such Act. Unless governing law permits otherwise, you must contact a Nomura entity in your home
jurisdiction if you want to use our services in effecting a transaction in the securities mentioned in this material.
This publication has been approved for distribution in the United Kingdom and European Union as investment research by Nomura
International plc ('NIPlc'), which is authorized and regulated by the UK Financial Services Authority ('FSA') and is a member of the London
Stock Exchange. It does not constitute a personal recommendation, as defined by the FSA, or take into account the particular investment
objectives, financial situations, or needs of individual investors. It is intended only for investors who are 'eligible counterparties' or
'professional clients' as defined by the FSA, and may not, therefore, be redistributed to retail clients as defined by the FSA. This
publication may be distributed in Germany via Nomura Bank (Deutschland) GmbH, which is authorized and regulated in Germany by the
F d l Fi i l S i A th it ('B Fi ') Thi bli ti h b d b N I t ti l (H K ) Ltd ('NIHK')Federal Financial Supervisory Authority ('BaFin'). This publication has been approved by Nomura International (Hong Kong) Ltd. ('NIHK'),
which is regulated by the Hong Kong Securities and Futures Commission, for distribution in Hong Kong by NIHK. This publication has
been approved for distribution in Australia by Nomura Australia Ltd, which is authorized and regulated in Australia by the Australian
Securities and Investment Commission ('ASIC'). This publication has also been approved for distribution in Malaysia by Nomura Securities
Malaysia Sdn Bhd. In Singapore, this publication has been distributed by Nomura Singapore Limited ('NSL') and/or Nomura Securities
Singapore Pte Ltd ('NSS'). NSL and NSS accepts legal responsibility for the content of this publication, where it concerns securities,
futures and foreign exchange, issued by their foreign affiliates in respect of recipients who are not accredited, expert or institutional
investors as defined by the Securities and Futures Act (Chapter 289). Recipients of this publication should contact NSL or NSS (as the
case may be) in respect of matters arising from, or in connection with, this publication. NSI accepts responsibility for the contents of this
material when distributed in the United Statesmaterial when distributed in the United States.
This publication has not been approved for distribution in the Kingdom of Saudi Arabia or to clients other than 'professional clients' in the
United Arab Emirates by Nomura Saudi Arabia, Nomura International plc or any other member of the Nomura Group, as the case may be.
Neither this publication nor any copy thereof may be taken or transmitted or distributed, directly or indirectly, by any person other than
those authorised to do so into the Kingdom of Saudi Arabia or in the United Arab Emirates or to any person located in the Kingdom of
Saudi Arabia or to clients other than 'professional clients' in the United Arab Emirates. By accepting to receive this publication, you
represent that you are not located in the Kingdom of Saudi Arabia or that you are a 'professional client' in the United Arab Emirates and
agree to comply with these restrictions. Any failure to comply with these restrictions may constitute a violation of the laws of the Kingdom
of Saudi Arabia or the United Arab Emirates.
24Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
25. U.S. Quantitative Research
No part of this material may be (i) copied, photocopied, or duplicated in any form, by any means; or (ii) redistributed without the prior
written consent of the Nomura Group member identified in the banner on page 1 of this report. Further information on any of the securities
mentioned herein may be obtained upon request. If this publication has been distributed by electronic transmission, such as e-mail, thenmentioned herein may be obtained upon request. If this publication has been distributed by electronic transmission, such as e mail, then
such transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive
late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this
publication, which may arise as a result of electronic transmission. If verification is required, please request a hard-copy version.
Additional information available upon request
NIPlc and other Nomura Group entities manage conflicts identified through the following: their Chinese Wall, confidentiality and
independence policies, maintenance of a Restricted List and a Watch List, personal account dealing rules, policies and procedures for
managing conflicts of interest arising from the allocation and pricing of securities and impartial investment research and disclosure to
clients via client documentation.
Disclosure information is available at the Nomura Disclosure web page:
http://www.nomura.com/research/pages/disclosures/disclosures.aspx
25Joseph Mezrich, 212.667.9316, jmezrich@us.nomura.com
