Returns to Style using Style Researchs Markets Analyzer Asia x Japan x China A End March 2011.
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Transcript of Returns to Style using Style Researchs Markets Analyzer Asia x Japan x China A End March 2011.
Returns to Styleusing Style Research’s
Markets Analyzer
Asia x Japan x China A
End March 2011
International Experience
• Style Investing works• Value and Small Cap works long term• Best Value Markets – China, 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– Sales to Price 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
• Use Style Research’s Market Analyzer• 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
Book to Price
Dividend Yield
Earnings Yield
Cashflow Yield
Sales to Price
EBITDA to Price
Growth
Return on Equity
Growth in Earnings per Share
Income to Sales
Sales Growth
Forecast Earnings
Forecast Earnings Revisions
Other
Market Cap
Beta
Price Momentum – 6 months
Price Momentum – 12 months
Quality
Low Accrual
Debt to Equity
Stability of Earnings Growth
Sustainable Growth Rate
Stability of Sales Growth
Stability of Forecast Earnings
Returns to Style – last 10 yearsValue and Quality works!
SA, annualised
10 year XS returns
Weight: Market Cap, Rebal 6 mths
Xs Return 4.1% pa
T/over 35% pa
Weight: Market Cap, Rebal 3 mths
Xs Return 4.4% pa
T/over 52% pa
Weight: Earnings, Rebal 6 mths
Xs Return 8.7% pa
T/over 74% pa
Comparison
XS Monthly Return
XS 3 Monthly Return
Sales to Price XS Return 12 month Forecast
overview
• Value works long term– like in other markets– Sales to Price 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
