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 High beta stocks do not generally perform well

Value

Growth

Other

Quality

Returns to Style – last 20 years

20 year XS returns

Weight: Market Cap, Rebal 6 mths 6.2%pa

Weight: Market Cap, Rebal 3 mths 5.5%pa

Weight: Earnings, Rebal 6 mths 4.8%pa

overview Quality works long term Large cap works better than small cap 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