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Returns to Style using Style Research’s Markets Analyzer. Latin America. 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
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Returns to Styleusing Style Research’s Markets Analyzer Latin America 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 • Cashflow to Price best over 10 years – 4.0% pa XS return • Market cap shows no clear trend • Unlike 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
Returns to Style – last 10 yearsValue and Quality works! SA, annualised
Weight: Market Cap, Rebal 6 mths Xs Return 4.0% pa T/over 55% pa
Weight: Market Cap, Rebal 3 mths Xs Return 3.3% pa T/over 72% pa
Weight: Earnings, Rebal 6 mths Xs Return 6.3% pa T/over 87% pa
overview • Value works long term • like in other markets • Cashflowto Price best over 10 years • Market cap shows no clear trend • 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