1. Returns to Style using Style Research’s Markets Analyzer
Taiwan
End January 2011
CJ Zou

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

10. Growth

17. Other

22. Quality

29. Returns to Style – last 20 years

30. 20 year XS returns

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

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

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

34. 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