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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. Asia x Japan x China A Not Adjusted for country or sectors . End March 2011. International Experience. Style Investing works Value and Small Cap works long term Best Value Markets – China, Japan and Korea

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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 Asia x Japan x China A Not Adjusted for country or sectors End March 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. Overview • Adjusting for sector and country bets is important • Value works long term • like in other markets • Sales to Price best over 10 years – 9.0% 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

  4. Approach • Use Style Research’s Market Analyzer • Benchmark = market • All stocks with market cap of USD 100 million • Rebalanced every 6 months • Repriced every month • Includes dividends

  5. Value

  6. Book to Price CASA country and sector adjusted Unadjusted

  7. Dividend Yield CASA Unadjusted

  8. Earnings Yield CASA Unadjusted

  9. Cashflow Yield CASA Unadjusted

  10. Sales to Price CASA Unadjusted

  11. EBITDA to Price CASA Unadjusted

  12. Growth

  13. Return on Equity CASA Unadjusted

  14. Growth in Earnings per Share CASA Unadjusted

  15. Income to Sales CASA Unadjusted

  16. Sales Growth CASA Unadjusted

  17. Forecast Earnings CASA Unadjusted

  18. Forecast Earnings Revisions CASA Unadjusted

  19. Other

  20. Market Cap CASA Unadjusted

  21. Beta CASA Unadjusted

  22. Price Momentum – 6 months CASA Unadjusted

  23. Price Momentum – 12 months CASA Unadjusted

  24. Quality

  25. Low Accrual CASA Unadjusted

  26. Debt to Equity CASA Unadjusted

  27. Stability of Earnings Growth CASA Unadjusted

  28. Sustainable Growth Rate CASA Unadjusted

  29. Stability of Sales Growth CASA Unadjusted

  30. Stability of Forecast Earnings CASA Unadjusted

  31. Returns to Style – last 10 yearsValue and Quality works! CASA Unadjusted SA, annualised

  32. 10 year XS returns

  33. Value CASA Unadjusted

  34. Growth CASA Unadjusted

  35. Other CASA Unadjusted

  36. Quality CASA Unadjusted

  37. Positive Sector Performers

  38. Negative Sector Performers

  39. overview • Adjusting for country and sectors is important • Unadjusted results similar in pattern but different in size • 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

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