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Returns to Style using Style Research’s Markets Analyzer. China . 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 Styleusing Style Research’s Markets Analyzer China 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 • High beta stocks do not generally perform well
Overview • Value works consistently and in long term • like in other markets • Only Value in top 10 in Last 5 and 10 years • 1st Momentum over 5 years(54/88 over 10 years) • 2nd Book to Price over 5 years (4/88 over 10 years) • 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 sector adjustment • Factor screen within sectors • Eliminates sector bias • Rebalanced every 6 months • Repriced every month • Includes dividends
Book to Price Last 10 Years - SA Last 5 Years - SA
Dividend Yield Last 10 Years - SA Last 5 Years - SA
Earnings Yield Last 10 Years - SA Last 5 Years - SA
Cashflow Yield Last 10 Years - SA Last 5 Years - SA
Sales to Price Last 10 Years - SA Last 5 Years - SA
EBITDA to Price Last 10 Years - SA Last 5 Years - SA
Return on Equity Last 10 Years - SA Last 5 Years - SA
Growth in Earnings per Share Last 10 Years - SA Last 5 Years - SA
Income to Sales Last 10 Years - SA Last 5 Years - SA
Sales Growth Last 10 Years - SA Last 5 Years - SA
Forecast Earnings Last 10 Years - SA Last 5 Years - SA
Forecast Earnings Revisions Last 10 Years - SA Last 5 Years - SA
Market Cap Last 10 Years Last 5 Years - SA
Beta Last 10 Years - SA Last 5 Years - SA
Price Momentum – 6 months Last 10 Years - SA Last 5 Years - SA
Price Momentum – 12 months Last 10 Years - SA Last 5 Years - SA
Low Accrual Last 10 Years - SA Last 5 Years - SA
Debt to Equity Last 10 Years - SA Last 5 Years - SA
Stability of Earnings Growth Last 10 Years - SA Last 5 Years - SA
Sustainable Growth Rate Last 5 Years - SA
Stability of Sales Growth Last 10 Years - SA Last 5 Years - SA
Stability of Forecast Earnings Last 10 Years - SA Last 5 Years - SA
Returns to Style – last 5 yearsValue and Quality works! SA, annualised
Returns to Style – last 10 yearsValue and Quality works! 10 Years SA 5 Years - SA SA, annualised
Returns to StyleValue works consistently in long term 10 Years SA 5 Years - SA In top 10, only Value has common factors between 5 and 10 years : 1. Book to Price 2. Dividend Yield 3. EBITDA to Price 4. Earnings Yield SA, annualised
Value 10 Year - SA 5 Year - SA
Growth 10 Year - SA 5 Year - SA
Other 10 Year - SA 5 Year - SA
Quality 10 Year - SA 5 Year - SA
Market Cap Weight, 6 mthRebal Xs Return 7.0 % pa T/over 50 % pa
Market Cap Weight, 3 mthRebal Xs Return 7.9% pa T/over 72% pa
Earnings Weight, 6 mthRebal Xs Return 1.9% pa T/over 75% pa