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Returns to Style using Style Research’s Markets Analyzer South Korea End February 2011
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International Experience Style Investing works Value and Small Cap works long term Best Value Markets – Japan & Korea Most markets have small cap premium High beta stocks do not generally perform well
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Overview Value works long term – like in other markets – Sales to Price best last 10 years – 5.0% pa xs return Mid cap performs better than large cap – Unlike other markets High Beta does not work – like other markets Nothing works consistently – Top 10 inconsistent over different time periods
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Approach Benchmark = market – All stocks with market cap of USD 100 million Analysis after sector adjustment – Factor screen within sectors – Eliminates sector bias Rebalanced every 6 months – Repriced every month – Includes dividends
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Value
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Book Value per Share
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Dividend Yield
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Earnings per Share to Price
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Cashflow per Share to Price
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Sales per Share to Price
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EBITDA to Price
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Growth From September 2002
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Return on Equity
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Growth in Earnings per Share
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Income to Sales
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Sales Growth
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IBES 12 month Forward Growth in Earnings per Share From September 2002
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IBES FY1 Earnings Revisions From September 2002
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Other
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Market Cap
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Beta
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Momentum 6 months
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Momentum 12 month
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Quality From September 2002
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Low Accruals
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Debt to Equity
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Stability of Earnings Growth
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Sustainable Growth Rate
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Stability of Sales Growth
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Stability of IBES 12 mth Growth Forecast From September 2002
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Returns to Style – last 10 years Quality and Value works! SA, annualised
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10 year XS returns
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Weight: Market Cap, Rebal 6 mths 5.0% pa
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Weight: Market Cap, Rebal 3 mths 6.7% pa
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Weight: Earnings, Rebal 6 mths 11.7% pa
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Comparison
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Overview Value works long term – like in other markets – Sales to Price best last 10 years – 5.0% pa xs return Mid cap performs better than large cap – 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
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