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Style Research's Markets Analyzer: Returns to Style in Taiwan - End of January 2011

Dive into how Style Investing, Value, and Small Cap strategies work in Taiwan's market based on research analysis. Discover the best Value markets, importance of Quality, and insights on Returns to Style over the last 20 years. Explore the impact of factors like Market Cap, Earnings, and Rebalancing strategies on investment returns.

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Style Research's Markets Analyzer: Returns to Style in Taiwan - End of January 2011

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  1. Returns to Styleusing Style Research’s Markets Analyzer Taiwan End January 2011 CJ Zou cj@quantshop.com

  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. Value

  4. Growth

  5. Other

  6. Quality

  7. Returns to Style – last 20 years

  8. 20 year XS returns

  9. Weight: Market Cap, Rebal 6 mths 6.2%pa

  10. Weight: Market Cap, Rebal 3 mths 5.5%pa

  11. Weight: Earnings, Rebal 6 mths 4.8%pa

  12. overview • Quality works long term • unlike in other markets • Stable IBES Earnings Growth top qtr best over 20 years • Large cap works better than small cap • Unlike other markets • 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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