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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. Hong Kong. End March 2011. 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.

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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 Hong Kong End March 2011

  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. Overview • Value works long term • like in other markets • Low Accruals best over 10 years – 5.1% 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 sector adjustment • Factor screen within sectors • Eliminates sector bias • Rebalanced every 6 months • Repriced every month • Includes dividends

  5. Value

  6. Book to Price

  7. Dividend Yield

  8. Earnings Yield

  9. Cashflow Yield

  10. Sales to Price

  11. EBITDA to Price

  12. Growth

  13. Return on Equity

  14. Growth in Earnings per Share

  15. Income to Sales

  16. Sales Growth

  17. Forecast Earnings

  18. Forecast Earnings Revisions

  19. Other

  20. Market Cap

  21. Beta

  22. Price Momentum – 6 months

  23. Price Momentum – 12 months

  24. Quality

  25. Low Accrual

  26. Debt to Equity

  27. Stability of Earnings Growth

  28. Sustainable Growth Rate

  29. Stability of Sales Growth

  30. Stability of Forecast Earnings

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

  32. 10 year XS returns

  33. Weight: Market Cap, Rebal 6 mths Xs Return 5.1% pa T/over 78% pa

  34. Weight: Market Cap, Rebal 3 mths Xs Return 5.4% pa T/over 94% pa

  35. Weight: Total Earnings, Rebal 6 mths Xs Return 5.5% pa T/over 102% pa

  36. overview • Value works long term • like in other markets • Low Accruals 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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