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Returns to Style using Style Research’s Markets Analyzer. Asia x Japan x China A Not Adjusted for country or sectors . End March 2011. International Experience. Style Investing works Value and Small Cap works long term Best Value Markets – China, Japan and Korea

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Returns to Style using Style Research’s Markets Analyzer

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Returns to Styleusing Style Research’s Markets Analyzer

Asia

x Japan x China A

Not Adjusted for country or sectors

End March 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

  • High beta stocks do not generally perform well


Overview

  • Adjusting for sector and country bets is important

  • Value works long term

    • like in other markets

    • Sales to Price best over 10 years – 9.0% 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


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


Value


Book to Price

CASA

country and sector adjusted

Unadjusted


Dividend Yield

CASA

Unadjusted


Earnings Yield

CASA

Unadjusted


Cashflow Yield

CASA

Unadjusted


Sales to Price

CASA

Unadjusted


EBITDA to Price

CASA

Unadjusted


Growth


Return on Equity

CASA

Unadjusted


Growth in Earnings per Share

CASA

Unadjusted


Income to Sales

CASA

Unadjusted


Sales Growth

CASA

Unadjusted


Forecast Earnings

CASA

Unadjusted


Forecast Earnings Revisions

CASA

Unadjusted


Other


Market Cap

CASA

Unadjusted


Beta

CASA

Unadjusted


Price Momentum – 6 months

CASA

Unadjusted


Price Momentum – 12 months

CASA

Unadjusted


Quality


Low Accrual

CASA

Unadjusted


Debt to Equity

CASA

Unadjusted


Stability of Earnings Growth

CASA

Unadjusted


Sustainable Growth Rate

CASA

Unadjusted


Stability of Sales Growth

CASA

Unadjusted


Stability of Forecast Earnings

CASA

Unadjusted


Returns to Style – last 10 yearsValue and Quality works!

CASA

Unadjusted

SA, annualised


10 year XS returns


Value

CASA

Unadjusted


Growth

CASA

Unadjusted


Other

CASA

Unadjusted


Quality

CASA

Unadjusted


Positive Sector Performers


Negative Sector Performers


overview

  • Adjusting for country and sectors is important

    • Unadjusted results similar in pattern but different in size

  • Value works long term

    • like in other markets

    • Sales to Price 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


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