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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

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
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
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
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



Book to price
Book to Price

CASA

country and sector adjusted

Unadjusted


Dividend yield
Dividend Yield

CASA

Unadjusted


Earnings yield
Earnings Yield

CASA

Unadjusted


Cashflow yield
Cashflow Yield

CASA

Unadjusted


Sales to price
Sales to Price

CASA

Unadjusted


Ebitda to price
EBITDA to Price

CASA

Unadjusted



Return on equity
Return on Equity

CASA

Unadjusted



Income to sales
Income to Sales

CASA

Unadjusted


Sales growth
Sales Growth

CASA

Unadjusted


Forecast earnings
Forecast Earnings

CASA

Unadjusted




Market cap
Market Cap

CASA

Unadjusted


Beta

CASA

Unadjusted





Low accrual
Low Accrual

CASA

Unadjusted


Debt to equity
Debt to Equity

CASA

Unadjusted



Sustainable growth rate
Sustainable Growth Rate

CASA

Unadjusted


Stability of sales growth
Stability of Sales Growth

CASA

Unadjusted



Returns to style last 10 years value and quality works
Returns to Style – last 10 yearsValue and Quality works!

CASA

Unadjusted

SA, annualised



Value1
Value

CASA

Unadjusted


Growth1
Growth

CASA

Unadjusted


Other1
Other

CASA

Unadjusted


Quality1
Quality

CASA

Unadjusted




Overview1
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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