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