Equity Funds in China A Share Market using Style Research’s Portfolio Analyzer Markets Analyzer CJ...

Equity Funds in China A Share Marketusing Style Research’s

Portfolio AnalyzerMarkets Analyzer

CJ [email protected] + 81 90 3818 3361

Nov 2012

mailto:[email protected]

Data and Approach Data

- 393 China A shares equity funds (equity stocks>70%) end Jun 2012- Performance Attribution is semiannual holdings data from June

2005 to Jun 2012.

Approach- Using Style Research Portfolio Analyzer: portfolios against

Benchmark =CSI 300- Using Style Research Markets Analyzer: market cap weighted,

minimum stock size USD 100 million, sector adjusted, 6-month rebalance

- Add cash in Chinese RMB if the portfolio does not sum to 100%.- Return: 12 months and 2 years excess return

5% of outliers excluded

95th Percentile

50th Percentile (Median)

25th Percentile

5th Percentile

75th Percentile

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

% P

er A

nnum

What are we going to cover?

Where is the money?

What are the risks? Where are risks from?

What are the returns? Where are the returns from? What do the factor and Sector returns look like?

Case study

Where is the money?

Where is the money?Style Skyline

Book to

Price

Dividend

Yield

Earning

s Yld

C'Flow Yield

Sales t

o Price

EBITDA to Price

Rtn on

Equity

Earning

s Grow

th

Incom

e/Sale

s

Sales G

rowth

IBES 12Mth

Gr

IBES 1Yr R

ev

Market

Cap

Market

Beta

Moment

um ST

Moment

um M

T

Debt/Equi

ty

Foreign

Sales

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Style Skyline

Style Factors

Std

Dev

from

Ben

chm

ark

Mea

n

Where is the money?Sector Adjusted (SA)

Where is the money?Style Skyline: Sector Adjusted

Book to

Price

Dividend

Yield

Earning

s Yld

C'Flow Yield

Sales t

o Price

EBITDA to Price

Rtn on

Equity

Earning

s Grow

th

Incom

e/Sale

s

Sales G

rowth

IBES 12Mth

Gr

IBES 1Yr R

ev

Market

Cap

Market

Beta

Moment

um ST

Moment

um M

T

Debt/Equi

ty

Foreign

Sales

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Style Skyline (Sector Adjusted)

Style Factors

Std

Dev

from

Ben

chm

ark

Mea

n

Where is the money?Sector Skyline

Financi

alsEner

gy

Utilities

Info T

ech

Health

Care

Cons Stap

les

Cons Disc

Telecom

Service

s

Indust

rials

Material

s-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

Sector Skyline

% D

iff fr

om M

arke

t

Where is the money?Sector Skyline Detail

Book to

Price

Dividend

Yield

Earning

s Yld

C'Flow Yield

Sales to

Price

EBITDA to Price

Rtn on E

quity

Earning

s Grow

th

Incom

e/Sale

s

Sales G

rowth

IBES 12Mth G

r

IBES 1Yr R

ev

Market C

ap

Market B

eta

Moment

um ST

Moment

um MT

Debt/Equi

ty

Foreign

Sales

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Health Care Style Skyline

Book to

Price

Dividend

Yield

Earning

s Yld

C'Flow Yield

Sales to

Price

EBITDA to Price

Rtn on E

quity

Earning

s Grow

th

Incom

e/Sale

s

Sales G

rowth

IBES 12Mth G

r

IBES 1Yr R

ev

Market C

ap

Market B

eta

Moment

um ST

Moment

um MT

Debt/Equi

ty

Foreign

Sales

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Consumer Discretionary Style Skyline

Where is the money?Style Distribution

Large Value Large Growth Small Value Small Growth0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

Style Distribution

Style Grouping

%W

eigh

t

Where is the money?Style Distribution: SA

Large Value Large Growth Small Value Small Growth0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

Style Distribution SA

Style Grouping

% W

eigh

t

Where is the money?Size Distribution

100% - 6

0%

60% - 2

0%

20% - 0

%

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0Size Distribution

Size Grouping

% W

eigh

t

Where is the money? Size Distribution: SA

100% - 6

0%

60% - 2

0%

20% - 0

%

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0Size Distribution SA

Size Grouping

% W

eigh

t

What are the risks? Where are risks from?

Where are the risks?

Trackin

g Erro

r4.00

6.00

8.00

10.00

12.00

14.00

16.00

% P

er A

nnum

95%75%Median25%5%

14.9711.729.727.756.06


Where are risks from? Decomposition of Risks

Sector

Risk (P

ure)

Style X'ter

ms

Style Risk

(Pure

)

Equity

X'terms

Equity

Risk (P

ure)

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

Risk Skyline

%

What are the returns? Where are the returns from? What do the factor and sector returns look like?

Series1-2%

0%

2%

4%

6%

8%

10%

4th 3rd 2nd 1st

What are the returns? Distribution of Excess Returns last 12 months


Decomposition of the sources of return by Style Research

• HIERARCHICAL METHODOLOGY decomposes returns into – Currency Component– Market Component– Sector Component– Style Component – Stock Component

Excess Returns DecompositionLast 12 months

Sector Style Stock Total-8%

-3%

2%

7%

12%

4th 3rd 2nd 1st

Risks vs. Returns : Last 1 year

Last 12 months Risks

Sector Risk(pure) Style Risk(pure) Stock Risk(pure)0%

10%

20%

30%

40%

50%

60%

70%

80%

4th 3rd 2nd 1st

Last 12 months Returns

Sector Return Style Return Stock Return-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

4th 3rd 2nd 1st

Excess Returns Decomposition Last 2 years


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

4th 3rd 2nd 1st

Excess Returns Decomposition Last 1 year vs. Last 2 years return

Last 1 year Return


-3%

2%

7%

12%

4th 3rd 2nd 1st

Last 2 years Return


-3%

2%

7%

12%

4th 3rd 2nd 1st

Factor Returns – some do well

50-1

00 B

ook

Val

50-1

00 D

iv Yld

50-1

00 E

ngs

Yld

50-1

00 C

fl Yld

50-1

00 S

ales

to P

r

50-1

00 E

BITDA

50-1

00 R

oE

50-1

00 E

rgs

Gr

50-1

00 In

c to

Sls

50-1

00 S

ales

Gr

50-1

00 IB

ES 12M

Gr

50-1

00 IB

ES FY1

3M

0-20

Mar

ket C

ap

50-1

00 B

eta

50-1

00 M

mnt

m 6

M

50-1

00 M

mnt

m 1

2M

0-50

Deb

t to

Eq

50-1

00 F

gn S

ales

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

Style Portfolio Relative Return(SA) Last 12 months

Positions did not match returnswhere the money is

Book to

Price

Dividend

Yield

Earning

s Yld

C'Flow Yield

Sales t

o Price

EBITDA to Price

Rtn on

Equity

Earning

s Grow

th

Incom

e/Sale

s

Sales G

rowth

IBES 12Mth

Gr

IBES 1Yr R

ev

Market

Cap

Market

Beta

Moment

um ST

Moment

um M

T

Debt/Equi

ty

Foreign

Sales

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Style Skyline (Sector Adjusted)

Style Factors

Std

Dev

from

Ben

chm

ark

Mea

n

Sector Returns – some do well

Financ

ials

Energ

y

Utilitie

s

Info

Tec

h

Health

Car

e

Cons

Staple

s

Cons

Disc

Teleco

m S

ervic

es

Indu

stria

ls

Mat

erial

s

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Sectors Relative Return(SA) Last 12 months

Financi

alsEner

gy

Utilities

Info T

ech

Health

Care

Cons Stap

les

Cons Disc

Telecom

Service

s

Indust

rials

Material

s-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

Sector Skyline

% D

iff fr

om M

arke

tPositions did not match returns

where the money is

Looking at things differentlyinformation Ratio?

Looking at things differentlyInformation ratio

Sector Style Stock Total(1.00)

(0.80)

(0.60)

(0.40)

(0.20)

0.00

0.20

0.40

0.60

0.80

1.00

4th 3rd 2nd 1st

Looking at things differentlyInformation ratio top quartile(75% - 100%)


0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

Looking at things differentlyInformation ratio bottom quartile(0% - 25%)


(2.00)

(1.50)

(1.00)

(0.50)

0.00

0.50

Conclusion

Where is the money Style: Overweight growth and underweight value; Overweight momentum both in ST

and MT, slightly large cap Sector: Overweight Health care, Cons Staples, Cons Disc; underweight Energy and

Telecom

Risks: Stock risk> Sector risk> style Risk

Returns outperformed CSI 300 managers made money from stock selection Lost money from Sector – underweighted Telco, Finance, overweight Cons Disc Lost money from Style – underweighted Value, overweight momentum

Info ratios: Stock > Sector and Style

Case Studythe fund has highest info ratio

ABC fund – the Style Skyline

High Beta high momentum

Book

to P

rice

Divide

nd Y

ield

Earnin

gs Y

ld

C'Flow

Yiel

d

Sales

to P

rice

EBITDA to

Pric

e

Rtn o

n Equ

ity

Earnin

gs G

rowth

Inco

me/

Sales

Sales

Gro

wth

IBES 1

2Mth

Gr

IBES 1

Yr Rev

Mar

ket C

ap

Mar

ket B

eta

Mom

entu

m S

T

Mom

entu

m M

T

Debt/E

quity

Foreig

n Sale

s

0.0

2.0

4.0

6.0

8.0

10.0

12.0Portfolio Style Skyline™

Style Factors

Sty

le T

ilt™

ABC fund– Style Distribution

Invest in value and small growth stocks

Larg

e Valu

e

Larg

e Gro

wth

Smal

l Val

ue

Smal

l Gro

wth

0

10

20

30

40

50

60

70

80

90

Style DistributionPortfolio Benchmark

Coverage Market

Style

% W

eig

ht

ABC fund – Market Cap

Invest in Small cap

100%

- 60

%

60%

- 20

%

20%

- 0%

0

10

20

30

40

50

60

70

80

90

Market Cap Distribution Portfolio Benchmark

Coverage Market

Style

% W

eig

ht

-20

-15

-10

-5

0

5

10

15

20

25

30

Sector Active Positions Active Weight

Uncovered

Sector

%

ABC fund – Sectorunderweight financials, overweight industrials, active shares in financials

ABC fund – Risk

Risk Attribution

Equity risk!

Components of Tracking Variance 100%

Sector Risk (Pure) 12.94 22.1

Style X'terms 6.45 11.0

Style Risk (Pure) 6.34 10.9

Equity X'terms 3.34 5.7

Equity Risk (Pure) 29.36 50.2 Sector

Risk

Style X

'term

s

Style R

isk

Equity

X'term

s

Equity

Risk

0

10

20

30

40

50

60

%

ABC fund – Risk

Contribution to Tracking Variance by Style

Style Active Pos. Total Risk Sector Risk Style X'TermsStyle Risk Equity X'TermsEquity RiskNo Style Specified -0.63 -0.14 -0.20 0.01 0.00 0.00 0.06Large Value -17.27 2.51 -3.57 2.29 1.93 0.09 1.77Small Value -1.89 0.69 0.80 -0.23 0.01 -0.05 0.16Large Growth 16.41 51.79 15.87 3.07 3.64 3.01 26.20Small Growth 3.38 3.59 0.04 1.31 0.77 0.29 1.17Total 0.00 58.43 12.94 6.45 6.34 3.34 29.36

ABC fund – Risk

Contribution to Tracking Variance by Sector

Sector Active Pos. Total Risk Sector Risk Style X'TermsStyle Risk Equity X'TermsEquity RiskMissing Sector 0.00 0.00 0.00 0.00 0.00 0.00 0.00Financials -13.34 19.37 4.90 3.68 1.16 1.27 8.35Energy -3.52 2.41 0.80 0.92 0.04 -0.03 0.68Utilities -1.46 0.14 -0.29 0.14 0.10 0.00 0.19Information Technology 4.19 2.67 1.83 -0.13 0.05 -0.03 0.95Health Care -0.92 -0.44 -0.57 -0.31 0.05 -0.01 0.41Consumer Staples 4.30 5.75 1.50 0.96 1.42 -0.11 1.99Consumer Discretionary 5.25 7.63 2.68 -0.66 1.10 0.47 4.03Telecommunication Services-0.78 0.13 0.16 -0.07 0.02 0.01 0.01Industrials 9.37 17.42 2.88 1.29 1.93 1.76 9.56Materials -3.08 3.34 -0.96 0.64 0.48 0.01 3.18Total 0.00 58.43 12.94 6.45 6.34 3.34 29.36

ABC fund – Return

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Performance Summary (31-Dec-07 to 30-Sep-12)

Active Return

Act

ive

Cu

mu

lati

ve R

etu

rn

-40.0%

-30.0%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%Active Return

Portfolio Return

Benchmark Return

Mo

nth

ly A

cti

ve R

etu

rn

ABC fund – Return

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Hierarchical Performance Attribution (31-Dec-07 to 30-Sep-12)

Active Return

Sector

Style

Stock

Act

ive

Cu

mu

lati

ve R

etu

rn

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

Active Return

Sector

Style

Stock

Mo

nth

ly A

cti

ve R

etu

rn

ABC fund – Return

Contributions by Sector last 12 months

- Biggest contributor to last 12 M returns is Industrials

Sector Average Active Weight Relative Return Allocation Stock Interaction Currency TotalFinancials -11.4% 13.0% -1.5% 2.1% -0.8% 0.0% -0.2%Energy -2.8% -9.7% 0.1% 0.1% 0.0% 0.0% 0.1%Utilities -0.9% 9.3% -0.1% 0.5% -0.3% 0.0% 0.1%Info Tech 6.9% -12.7% -0.9% 0.9% 2.1% 0.0% 2.1%Health Care 3.4% 9.9% 0.3% -0.3% -0.2% 0.0% -0.3%Cons Staples 5.3% 7.7% 0.3% 0.1% -0.3% 0.0% 0.1%Cons Disc 5.1% -2.1% -0.3% 1.3% 0.3% 0.0% 1.3%Telecom Services -0.6% -14.2% 0.3% 0.0% 0.0% 0.0% 0.3%Industrials 1.9% -15.2% -0.4% 4.7% 1.0% 0.0% 5.2%Materials -7.0% -7.3% 0.2% 1.3% -0.6% 0.0% 0.9%Totals -2.1% 10.5% 1.2% 0.0% 9.7%

ABC fund – Return

Contributions by Style last 12 months

- Biggest contributor to last 12 m return is Large value

Style Average Active Weight Relative Return Allocation Stock Interaction Currency TotalLarge Value -28.4% 2.6% -0.3% 2.9% -1.7% 0.0% 0.9%Large Growth 14.2% -2.2% 0.0% 6.4% 1.3% 0.0% 7.8%Small Value 2.6% 1.6% 0.1% -0.2% -0.1% 0.0% -0.2%Small Growth 12.3% -29.1% -3.9% 0.0% 5.1% 0.0% 1.2%Totals -4.1% 9.2% 4.5% 0.0% 9.7%

Ranking

Top 10&Bottom 10 Tracking Errors

Funds Name TE%

1 E Fund Health Care 24.1

2 China Universal Health Care 23.6

3 Changxin Domestic Demand Growth 19.1

4 Tianhong Select 18.3

5 Changxin Shuangli 18.1

6 Greatwall Value Added Consumer 18.1

7 Everbright Mid Small Cap 17.9

8 Manulife Teda Growth 17.8

9 Lord Abbett Mid Small Cap 17.5

10 Huashang Dynamic 17.4

Funds Name TE%

1 Everbright Pramerica Quantization 3.9

2 Bosera Franchise Value 4.1

3 Changsheng Quantitative Dividend Strategy

4.5

4 Huaxia Blue-chip Core 4.6

5 Southern Strategy Equity 4.9

6 CCB Principal Dual Benefit Strategy 5.1

7 Orient Strategic Growth 5.1

8 Huatai PineBridge Quantitative First 5.3

9 Harfor Trending Growth 5.6

10 Huaxia Prosperity 5.7

Top 10 Bottom 10Average 9.98

Top 10 & Bottom TEs from sectorTop 10

Funds Name % of TE

1 China Universal Health Care 79%

2 Huaan Tactical Select 78%

3 Harvest Alpha 77%

4 E Fund Health Care 77%

5 Greatwall Jiu FU Core Growth 77%

6 Greatwall Value Added Consumer 76%

7 Invesco GW Domestic Demand Growth II 72%

8 Invesco GW Domestic Demand Growth 72%

9 First-Trust Xianxing 71%

10 Harvest Quality Enterprises 70%

Funds Name % of TE

1 First State Cinda Industry 2.5%

2 China Post Core Selected 2.9%

3 Golden Eagle Strategic Allocation 3.9%

4 KBC-Goldstate Core Power Stock 4.2%

5 SYWG BNP Paribas Advantage 4.6%

6 Dacheng Jinghong 4.9%

7 E Fund Ke Xiang 5.2%

8 E Fund Value Select 5.5%

9 Guangfa Domestic Demand 6.1%

10 Guotai Value Classic Equity 6.1%

Bottom 10Average 35.5%

Top 10 & Bottom TEs from styleTop 10

Funds Name % of TE

1 Guotai Jinlong Sector-Select Equities 53%

2 Lord Abbett Selected 30 43%

3 Morgan Stanley Huaxin Multi-factor Selection Strategy

32%

4 Soochow Sector Rotation 31%

5 Zhonghai Environmental Protection and New Energy Theme

31%

6 China Post Core Selected 30%

7 Huaxia Dividend 29%

8 SYWG BNP Paribas Quantitative 29%

9 Penghua Value Advantage 29%

10 First State Cinda Industry 29%

Funds Name % of TE

1 KBC-Goldstate Core Power Stock 1.7%

2 Huatai Pinebridge Value Growth 2.5%

3 China Universal Health Care 2.6%

4 Bosera Sector Rotation 2.6%

5 Harvest Growth 2.8%

6 E Fund Health Care 2.8%

7 Dacheng Aggressive Growth 2.9%

8 Fortis Haitong Equity 2.9%

9 Fortis Haitong Style Rotation 2.9%

10 HSBC Jintrust Longteng 2.9%

Bottom 10Average 10.7%

Top 10 & Bottom TEs from stockTop 10

Funds Name % of TE

1 KBC-Goldstate Core Power Stock 94%

2 Bank of Communications Schroder Pioneer

89%

3 Franklin Mid Small Cap 88%

4 Changsheng Quantitative Dividend Strategy

88%

5 Bosera Franchise Value 86%

6 Gold Eagle Stable Growth 86%

7 Bank of Communications Schroder Growth

83%

8 Dacheng Sector Rotation 81%

9 Soochow New Economy 81%

10 Bank of Communications Schroder Blue Chip

81%

Funds Name % of TE

1 Morgan Stanley Huaxin Multi-factor Selection Strategy

5.4%



4 Changxin Quantitative Pioneer 8.5%

5 ABC-CA Strategy Selected Stock 8.6%

6 SYWG BNP Paribas Quantitative 10.9%

7 Harfor Quantum vitality 11.7%

8 Huaxia Sector Select 13.5%

9 Greatwall Jiu FU Core Growth 13.6%

10 Greatwall Value Added Consumer 14.9%

Bottom 10Average 45%

Top 10 & Bottom 10 ReturnsTop 10 Bottom 10

Funds Name Return

1 Guangfa Ju Rui 11.8%

2 Fortune SGAM Dividend Growth 11.6%

3 Changxin Shuangli 11.2%


5 Guangfa Core Selected 11.0%

6 UBS SDIC Innovation Power 10.2%

7 Zhonghai Environmental Protection and New Energy Theme

9.9%

8 Xinhua Flexible Theme 9.7%

9 Fortune SGAM Selected Sectors 9.7%

10 Manulife Teda Growth 9.6%

Funds Name Return

1 Dacheng Jinghong -4.0%

2 Baoying Hongyang -3.8%

3 ICBCCS Mid Small Cap -3.6%

4 Invesco GW Emerging Growth -3.5%

5 Changxin Quantitative Pioneer -3.3%

6 Gold Eagle Stable Growth -3.2%

7 Yimin Innovation Advantage -3.1%

8 China Merchants Antai Eqiuty -2.6%

9 China Merchants Blue Chip Equity -2.3%

10 China Post Core Growth -2.2%

xs return last 12 monthsAverage 3.15%

Top 10 & Bottom Returns from sectorTop 10

Funds Name Return


2 Fullgoal Tianrui 2.0%


4 Greatwall Jiu FU Core Growth 1.5%

5 Penghua Dynamic Growth 1.2%

6 Minsheng Royal Blue Chip 0.9%

7 ICBCCS High Yield Equity 0.9%

8 Xinhua Enterprise 0.9%

9 Bosera Equity Select 0.8%

10 UBS SDIC Stable 0.8%

Funds Name Return

1 Huashang Dynamic -5.7%

2 Tianhong Yongding Cycle Strategies -5.6%

3 Fortune SGAM Emerging Industries -5.3%

4 E Fund Mid Small Cap -5.2%

5 Baoying Pan-Coastal Regional Growth -5.1%

6 Guotai Growth Equity -5.1%

7 HSBC Jintrust Technology Pioneer -5.1%

8 Chinanature Innovation Pioneer -5.0%

9 LC New Power -5.0%

10 China Post Core Growth -5.0%

Bottom 10xs return last 12 months

Average -2.32%

Top 10 & Bottom Returns from styleTop 10

Funds Name Return

1 Zhonghai Quantization 0.7%

2 Southern Kaiyuan 0.6%

3 Bank of Communications Schroder Theme Selected

0.5%

4 Golden Engle Dividend 0.5%

5 Guangfa Ju Feng 0.4%

6 Southern Long Yuan Industry 0.3%

7 Changxin Dynamic Strategy 0.3%

8 BOCIM Dynamic Strategy 0.2%

9 Changxin Yinli 0.2%

10 Galaxy Blue-chip Selection 0.1%

Funds Name Return

1 Penghua Growth -4.3%

2 Xinhua Flexible Theme -4.2%

3 Penghua Putian Income -3.9%

4 Industrial Co-Run Classification -3.7%

5 Golden Engle Advantage -3.5%

6 AXA-SPDB Life -3.3%

7 Harfor Value -3.3%

8 Bosera Emerging Growth -3.2%

9 Huashang Strategic Selection -3.2%

10 Harvest Taihe -3.1%


Average -1.50%

Top 10 & Bottom Returns from stockTop 10

Funds Name Return

1 Guangfa Ju Rui 18%

2 Xinhua Flexible Theme 17%

3 Fortune SGAM Emerging Industries 15%

4 Fortune SGAM Dividend Growth 15%

5 Guangfa Core Selected 14%

6 Huashang Dynamic 14%

7 Shangtou JPM Emerging Power 13%

8 Manulife Teda Growth 13%

9 LC New Power 13%

10 Fortune SGAM Selected Sectors 13%

Funds Name Return

1 Dacheng Jinghong -0.1%

2 Invesco GW Emerging Growth 0.9%

3 Greatwall Mid Small Cap Growth 1.7%

4 Yimin Innovation Advantage 1.7%

5 Invesco GW Corporate Governance 1.9%

6 SYWG BNP Paribas Consumer 1.9%

7 Galaxy Yinfeng 2.0%

8 Gold Eagle Stable Growth 2.2%

9 ICBCCS Mid Small Cap 2.3%

10 Yinhua Leading Strategy Equity 2.5%


Average 6.97%

Summary Chinese A funds analysis

- Most of China A funds over performed CSI 300 from July 2011 to June 2012- Overweight growth and underweight value; Overweight momentum both in

ST and MT, slightly large cap; Overweight Health care, Cons Staples, Cons Disc; underweight Energy and Telecom

- Style Risk < Sector and Stock risk- Return from Stock> Return from Sector and Style

Case Study- 80% returns are from Large Growth and 55% from Industrial ; 89% of risk

from Large Growth and 33% from industrial.- Buy growth and high momentum stocks

Run detailed analysis of one of your funds- Contact us if you are interested in a sample analysis of your own fund

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