Returns to Style using Style Research’s Markets Analyzer Asia Pacific x Japan End February 2011.
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Transcript of Returns to Style using Style Research’s Markets Analyzer Asia Pacific x Japan End February 2011.
Returns to Styleusing Style Research’s
Markets Analyzer
Asia Pacific x Japan
End February 2011
International Experience
• Style Investing works• Value and Small Cap works long term• Best Value Markets – Japan and Korea• Most markets have small cap premium• High beta stocks do not generally perform well
Overview
• Value works long term– like in other markets– EBITDA best over 10 years – 4.1% pa xs return
• Small cap performs better than large cap– Like other markets
• High Beta does not work– like other markets
• Nothing works consistently– Top 10 inconsistent over different time periods
Approach
• Benchmark = market– All stocks with market cap of USD 100 million
• Analysis after country & sector adjustment– Factor screen within countries and sectors– Eliminates country and sector bias
• Rebalanced every 6 months– Repriced every month– Includes dividends
Value
Growth
Other
Quality
Returns to Style – last 10 yearsQuality and Value works!
SA, annualised
10 year XS returns
Weight: Market Cap, Rebal 6 mths
4.0% pa
Weight: Market Cap, Rebal 3 mths
4.6% pa
Weight: Earnings, Rebal 6 mths
8.5% pa
overview
• Value works long term– like in other markets– EBITDA best over 10 years
• Small cap works better than large cap– Like other markets
• High Beta does not work– like other markets
• Nothing works consistently– Top 10 inconsistent over different time periods– Rebalance and weighting schemes make a difference