returns to style using style research’s markets analyzer asia x japan x china a not adjusted for...

Returns to Styleusing 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 PriceCASAcountry and sector adjusted Unadjusted

Dividend Yield

CASA Unadjusted

Earnings Yield

CASA Unadjusted

Cashflow Yield

CASA Unadjusted

Sales to Price

CASA Unadjusted

EBITDA to Price

CASA Unadjusted

Growth

Return on Equity

CASA Unadjusted

Growth in Earnings per Share

CASA Unadjusted

Income to Sales

CASA Unadjusted

Sales Growth

CASA Unadjusted

Forecast Earnings

CASA Unadjusted

Forecast Earnings Revisions

CASA Unadjusted

Other

Market Cap

CASA Unadjusted

Beta

CASA Unadjusted

Price Momentum – 6 months

CASA Unadjusted

Price Momentum – 12 months

CASA Unadjusted

Quality

Low Accrual

CASA Unadjusted

Debt to Equity

CASA Unadjusted

Stability of Earnings Growth

CASA Unadjusted

Sustainable Growth Rate

CASA Unadjusted

Stability of Sales Growth

CASA Unadjusted

Stability of Forecast Earnings

CASA Unadjusted

Returns to Style – last 10 yearsValue and Quality works!

CASA Unadjusted

SA, annualised

10 year XS returns

Value

CASA Unadjusted

Growth

CASA Unadjusted

Other

CASA Unadjusted

Quality

CASA Unadjusted

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