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Returns to Style using Style Research’s Markets Analyzer

Returns to Style using Style Research’s Markets Analyzer. China . End April 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 China End April 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 • Only Value in top 10 in Last 5 and 10 years • 1st Momentum over 5 years(54/88 over 10 years) • 2nd Book to Price over 5 years (4/88 over 10 years) • 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 • Use Style Research’s Market Analyzer • 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 – last 5 years

  6. Book to Price

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

  8. Dividend Yield

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

  10. Earnings Yield

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

  12. Cashflow Yield

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

  14. Sales to Price

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

  16. EBITDA to Price

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

  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 and Quality works! 10 Years SA 5 Years - SA SA, annualised

  39. Returns to StyleValue works consistently in long term 10 Years SA 5 Years - SA In top 10, only Value has common factors between 5 and 10 years : 1. Book to Price 2. Dividend Yield 3. EBITDA to Price 4. Earnings Yield SA, annualised

  40. 5 year XS returns

  41. 10 year XS returns

  42. Value 10 Year - SA 5 Year - SA

  43. Growth 10 Year - SA 5 Year - SA

  44. Other 10 Year - SA 5 Year - SA

  45. Quality 10 Year - SA 5 Year - SA

  46. Market Cap Weight, 6 mthRebal Xs Return 7.0 % pa T/over 50 % pa

  47. Market Cap Weight, 3 mthRebal Xs Return 7.9% pa T/over 72% pa

  48. Earnings Weight, 6 mthRebal Xs Return 1.9% pa T/over 75% pa

  49. Comparison

  50. XS Monthly Return

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