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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. Taiwan . End April 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

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Returns to Style using Style Research’s Markets Analyzer

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  1. Returns to Styleusing Style Research’s Markets Analyzer Taiwan End April 2011

  2. 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

  3. Taiwan • Quality and Value works consistently and in long term • Quality more important unlike in other markets • Quality factors 5/10, Value 3/10 in last 5 years • Quality factors 4/10, Value 3/10 in last 10 years • Market cap does not work well – no small cap premium • unlike other markets • High Beta does not work • like other markets • Returns can be better than sector bets • Nothing works consistently • Top 10 inconsistent over different time periods

  4. Approach • Use Style Research’s Market Analyzer • Benchmark = market • All stocks with market cap of USD 100 million • Analysis after sector adjustment • Factor screen within sectors • Eliminates sector bias • Rebalanced every 6 months • Repriced every month • Includes dividends

  5. Sector Returns - Positive

  6. Sector Returns - negative

  7. Value – last 5 years

  8. Book to Price

  9. Book to Price Last 10 Years - SA Last 5 Years - SA

  10. Dividend Yield

  11. Dividend Yield Last 10 Years - SA Last 5 Years - SA

  12. Earnings Yield

  13. Earnings Yield Last 10 Years - SA Last 5 Years - SA

  14. Cashflow Yield

  15. Cashflow Yield Last 10 Years - SA Last 5 Years - SA

  16. Sales to Price

  17. Sales to Price Last 10 Years - SA Last 5 Years - SA

  18. EBITDA to Price

  19. EBITDA to Price Last 10 Years - SA Last 5 Years - SA

  20. Growth

  21. Return on Equity Last 10 Years - SA Last 5 Years - SA

  22. Growth in Earnings per Share Last 10 Years - SA Last 5 Years - SA

  23. Income to Sales Last 10 Years - SA Last 5 Years - SA

  24. Sales Growth Last 10 Years - SA Last 5 Years - SA

  25. Forecast Earnings Last 10 Years - SA Last 5 Years - SA

  26. Forecast Earnings Revisions Last 10 Years - SA Last 5 Years - SA

  27. Other

  28. Market Cap Last 10 Years Last 5 Years - SA

  29. Beta Last 10 Years - SA Last 5 Years - SA

  30. Price Momentum – 6 months Last 10 Years - SA Last 5 Years - SA

  31. Price Momentum – 12 months Last 10 Years - SA Last 5 Years - SA

  32. Quality

  33. Low Accrual Last 10 Years - SA Last 5 Years - SA

  34. Debt to Equity Last 10 Years - SA Last 5 Years - SA

  35. Stability of Earnings Growth Last 10 Years - SA Last 5 Years - SA

  36. Sustainable Growth Rate Last 10 Years SA Last 5 Years - SA

  37. Stability of Sales Growth Last 10 Years - SA Last 5 Years - SA

  38. Stability of Forecast Earnings Last 10 Years - SA Last 5 Years - SA

  39. Returns to Style – last 5 yearsValue and Quality works! SA, annualised

  40. Returns to Style – last 10 yearsQuality and Value works! 10 Years SA 5 Years - SA SA, annualised

  41. Returns to StyleQuality & Value works in long term 10 Years SA 5 Years - SA Common factors in 5 and 10 years are: 1. Quality - Stable IBES Earnings Growth top qtr 2. Value – Earnings Yield 3rd qtr 3. Quality - Sustainable Growth bottom qtr 4. Value - Dividend Yield 3rd qtr 5. Growth - IBES Growth Revisions top qtr SA, annualised

  42. 5 year XS returns

  43. 10 year XS returns

  44. Value 10 Year - SA 5 Year - SA

  45. Growth 10 Year - SA 5 Year - SA

  46. Other 10 Year - SA 5 Year - SA

  47. Quality 10 Year - SA 5 Year - SA

  48. Market Cap Weight, 6 mthRebal XS Return 4.3 % pa T/over 41 % pa

  49. Market Cap Weight, 3 mthRebal XS Return 3.3 % pa T/over 57 % pa

  50. Total Earnings Weight, 6 mthRebal XS Return 5.6 % pa T/over 71 % pa

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