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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. India . End May 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 India End May 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 consistently and in long term • like in other markets • 5 of top 10 Value Factors in Last 5 and 10 years • Small cap performs better than large cap • In long (10 year) term • Like other markets • High Beta does not work • like other markets • Nothing works consistently • Top 10 inconsistent over different time periods

  4. 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 • Analysis after sector adjustment • Factor screen within sectors • Eliminates sector bias

  5. Book to Price

  6. Book to Price Last 10 Years - SA Last 5 Years - SA

  7. Dividend Yield

  8. Dividend Yield Last 10 Years - SA Last 5 Years - SA

  9. Earnings Yield

  10. Earnings Yield Last 10 Years - SA Last 5 Years - SA

  11. Cashflow Yield

  12. Cashflow Yield Last 10 Years - SA Last 5 Years - SA

  13. Sales to Price

  14. Sales to Price Last 10 Years - SA Last 5 Years - SA

  15. EBITDA to Price

  16. EBITDA to Price Last 10 Years - SA Last 5 Years - SA

  17. Value – last 5 years

  18. Growth

  19. Return on Equity Last 10 Years - SA Last 5 Years - SA

  20. Growth in Earnings per Share Last 10 Years - SA Last 5 Years - SA

  21. Income to Sales Last 10 Years - SA Last 5 Years - SA

  22. Sales Growth Last 10 Years - SA Last 5 Years - SA

  23. Forecast Earnings Last 10 Years - SA Last 5 Years - SA

  24. Forecast Earnings Revisions Last 10 Years - SA Last 5 Years - SA

  25. Other

  26. Market Cap Last 10 Years Last 5 Years - SA

  27. Beta Last 10 Years - SA Last 5 Years - SA

  28. Price Momentum – 6 months Last 10 Years - SA Last 5 Years - SA

  29. Price Momentum – 12 months Last 10 Years - SA Last 5 Years - SA

  30. Quality

  31. Low Accrual Last 10 Years - SA Last 5 Years - SA

  32. Debt to Equity Last 10 Years - SA Last 5 Years - SA

  33. Stability of Earnings Growth Last 10 Years - SA Last 5 Years - SA

  34. Sustainable Growth Rate Last 5 Years - SA

  35. Stability of Sales Growth Last 10 Years - SA Last 5 Years - SA

  36. Stability of Forecast Earnings Last 10 Years - SA Last 5 Years - SA

  37. Returns to Style – last 5 yearsValue and Quality works! SA, annualised

  38. Returns to Style – last 10 yearsValue works! 10 Years SA 5 Years - SA SA, annualised

  39. Returns to StyleValue works consistently in long term 10 Years SA 5 Years - SA Very similar ranking between periods: 1. Sales to Price 2. EBITDA to Price 3. Dividend Yield 4. Earnings Yield 5. Book to Price SA, annualised

  40. 5 year XS returns

  41. Value 10 Year - SA 5 Year - SA

  42. Growth 10 Year - SA 5 Year - SA

  43. Other 10 Year - SA 5 Year - SA

  44. Quality 10 Year - SA 5 Year - SA

  45. 10 year XS returns

  46. Style performs well – last 5 years High Information ratios Much less risk

  47. Style performs well – last 10 years High Information ratios Much less risk

  48. Market Cap Weight, 6 mthRebal Xs Return 6.1% pa T/over 40.6% pa

  49. Market Cap Weight, 3 mthRebal Xs Return 6.5% pa T/over 52.8% pa

  50. Total EarningsWeight, 6 mthRebal Xs Return 8.8 % pa T/over 75.6 % pa

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