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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. South Korea. End February 2011. International Experience. Style Investing works Value and Small Cap works long term Best Value Markets – Japan & 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 South Korea End February 2011

  2. International Experience • Style Investing works • Value and Small Cap works long term • Best Value Markets – Japan & Korea • Most markets have small cap premium • High beta stocks do not generally perform well

  3. Overview • Value works long term • like in other markets • Sales to Price best last 10 years – 5.0% pa xs return • Mid cap performs better than large cap • Unlike other markets • High Beta does not work • like other markets • Nothing works consistently • Top 10 inconsistent over different time periods

  4. Approach • 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. Value

  6. Book Value per Share

  7. Dividend Yield

  8. Earnings per Share to Price

  9. Cashflow per Share to Price

  10. Sales per Share to Price

  11. EBITDA to Price

  12. Growth From September 2002 From September 2002

  13. Return on Equity

  14. Growth in Earnings per Share

  15. Income to Sales

  16. Sales Growth

  17. IBES 12 month Forward Growth in Earnings per Share From September 2002

  18. IBES FY1 Earnings Revisions From September 2002

  19. Other

  20. Market Cap

  21. Beta

  22. Momentum 6 months

  23. Momentum 12 month

  24. Quality From September 2002

  25. Low Accruals

  26. Debt to Equity

  27. Stability of Earnings Growth

  28. Sustainable Growth Rate

  29. Stability of Sales Growth

  30. Stability of IBES 12 mth Growth Forecast From September 2002

  31. Returns to Style – last 10 yearsQuality and Value works! SA, annualised

  32. 10 year XS returns

  33. Weight: Market Cap, Rebal 6 mths 5.0% pa

  34. Weight: Market Cap, Rebal 3 mths 6.7% pa

  35. Weight: Earnings, Rebal 6 mths 11.7% pa

  36. Comparison

  37. Overview • Value works long term • like in other markets • Sales to Price best last 10 years – 5.0% pa xs return • Mid cap performs better than large cap • Unlike 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

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