Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for...
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![Page 1: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/1.jpg)
Returns to Styleusing Style Research’s
Markets Analyzer
Asia x Japan x China A
Not Adjusted for country or sectors
End March 2011
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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
![Page 3: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/3.jpg)
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
![Page 4: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/4.jpg)
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
![Page 5: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/5.jpg)
Value
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Book to PriceCASAcountry and sector adjusted Unadjusted
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Dividend Yield
CASA Unadjusted
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Earnings Yield
CASA Unadjusted
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Cashflow Yield
CASA Unadjusted
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Sales to Price
CASA Unadjusted
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EBITDA to Price
CASA Unadjusted
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Growth
![Page 13: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/13.jpg)
Return on Equity
CASA Unadjusted
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Growth in Earnings per Share
CASA Unadjusted
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Income to Sales
CASA Unadjusted
![Page 16: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/16.jpg)
Sales Growth
CASA Unadjusted
![Page 17: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/17.jpg)
Forecast Earnings
CASA Unadjusted
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Forecast Earnings Revisions
CASA Unadjusted
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Other
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Market Cap
CASA Unadjusted
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Beta
CASA Unadjusted
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Price Momentum – 6 months
CASA Unadjusted
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Price Momentum – 12 months
CASA Unadjusted
![Page 24: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/24.jpg)
Quality
![Page 25: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/25.jpg)
Low Accrual
CASA Unadjusted
![Page 26: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/26.jpg)
Debt to Equity
CASA Unadjusted
![Page 27: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/27.jpg)
Stability of Earnings Growth
CASA Unadjusted
![Page 28: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/28.jpg)
Sustainable Growth Rate
CASA Unadjusted
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Stability of Sales Growth
CASA Unadjusted
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Stability of Forecast Earnings
CASA Unadjusted
![Page 31: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/31.jpg)
Returns to Style – last 10 yearsValue and Quality works!
CASA Unadjusted
SA, annualised
![Page 32: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/32.jpg)
10 year XS returns
![Page 33: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/33.jpg)
Value
CASA Unadjusted
![Page 34: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/34.jpg)
Growth
CASA Unadjusted
![Page 35: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/35.jpg)
Other
CASA Unadjusted
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Quality
CASA Unadjusted
![Page 37: Returns to Style using Style Research’s Markets Analyzer Asia x Japan x China A Not Adjusted for country or sectors End March 2011.](https://reader035.fdocuments.in/reader035/viewer/2022070401/56649f1b5503460f94c30b9f/html5/thumbnails/37.jpg)
Positive Sector Performers
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Negative Sector Performers
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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