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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. Asia Pacific x Japan x China. End February 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

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Returns to Style using Style Research’s Markets Analyzer

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  1. Returns to Styleusing Style Research’s Markets Analyzer Asia Pacific x Japan x China End February 2011

  2. 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

  3. Overview • Value works long term • like in other markets • Sales to Price best over 10 years – 4.1% 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

  4. Approach • Benchmark = market • All stocks with market cap of USD 100 million • Analysis after country & sector adjustment • Factor screen within countries and sectors • Eliminates country and sector bias • Rebalanced every 6 months • Repriced every month • Includes dividends

  5. Value works

  6. Book Value

  7. Dividend Yield

  8. Earnings per Share

  9. Cashflow per Share

  10. Sales per Share

  11. EBITDA to Price

  12. Growth works sometimes

  13. Return on Equity

  14. Growth in Earnings per Share

  15. Income to Sales

  16. Sales Growth

  17. IBES12 Month Forward Growth in Earnings per Share

  18. IBES FY1 Earnings Revisions 3M Sample

  19. Other

  20. Market Cap

  21. Beta

  22. Momentum 6 months

  23. Momentum 12 months

  24. Quality

  25. Low Accruals

  26. Debt to Equity

  27. Stability of Earnings Growth

  28. Sustainable Growth Rate

  29. Stability of Sales Growth

  30. Stability of IBES 12 mth Growth Forcast

  31. Returns to Style – last 10 yearsQuality and Value works! SA, annualised

  32. 10 year XS returns

  33. Weight: Market Cap, Rebal 6 mths 4.1% pa

  34. Weight: Market Cap, Rebal 3 mths 4.4% pa

  35. Weight: Earnings, Rebal 6 mths 7.9% pa

  36. overview • Value works long term • like in other markets • Sales to Price works 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 • Rebalance and weighting schemes make a difference

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