Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.

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Returns to Style using Style Researchs Markets Analyzer Asia x Japan x China A End March 2011.
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Presentation transcript:

Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors 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 Adjusting for sector and country bets is important Value works long term – like in other markets – Sales to Price best over 10 years – 9.0% pa XS return 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 Rebalanced every 6 months – Repriced every month – Includes dividends

Value

Book to Price CASA country and sector adjusted Unadjusted

Dividend Yield CASAUnadjusted

Earnings Yield CASAUnadjusted

Cashflow Yield CASAUnadjusted

Sales to Price CASAUnadjusted

EBITDA to Price CASAUnadjusted

Growth

Return on Equity CASAUnadjusted

Growth in Earnings per Share CASAUnadjusted

Income to Sales CASAUnadjusted

Sales Growth CASAUnadjusted

Forecast Earnings CASAUnadjusted

Forecast Earnings Revisions CASAUnadjusted

Other

Market Cap CASAUnadjusted

Beta CASAUnadjusted

Price Momentum – 6 months CASAUnadjusted

Price Momentum – 12 months CASAUnadjusted

Quality

Low Accrual CASAUnadjusted

Debt to Equity CASAUnadjusted

Stability of Earnings Growth CASAUnadjusted

Sustainable Growth Rate CASAUnadjusted

Stability of Sales Growth CASAUnadjusted

Stability of Forecast Earnings CASAUnadjusted

Returns to Style – last 10 years Value and Quality works! CASAUnadjusted SA, annualised

10 year XS returns

Value CASAUnadjusted

Growth CASAUnadjusted

Other CASAUnadjusted

Quality CASAUnadjusted

Positive Sector Performers

Negative Sector Performers

overview Adjusting for country and sectors is important – Unadjusted results similar in pattern but different in size Value works long term – like in other markets – Sales to Price best over 10 years Small cap works 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

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