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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. Taiwan. End January 2011 CJ Zou cj@quantshop.com. International Experience. Style Investing works Value and Small Cap works long term Best Value Markets – 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 January 2011 CJ Zou cj@quantshop.com

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

  3. Value

  4. Growth

  5. Other

  6. Quality

  7. Returns to Style – last 20 years

  8. 20 year XS returns

  9. Weight: Market Cap, Rebal 6 mths 6.2%pa

  10. Weight: Market Cap, Rebal 3 mths 5.5%pa

  11. Weight: Earnings, Rebal 6 mths 4.8%pa

  12. overview • Quality works long term • unlike in other markets • Stable IBES Earnings Growth top qtr best over 20 years • Large cap works better than small cap • Unlike other markets • 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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