Returns to Styleusing Style Research’s

Markets Analyzer

Asia Pacific x Japan

End February 2011

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

Overview

• Value works long term– like in other markets– EBITDA best over 10 years – 4.1% 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

• Benchmark = market– All stocks with market cap of USD 100 million

• Analysis after country & sector adjustment– Factor screen within countries and sectors– Eliminates country and sector bias

• Rebalanced every 6 months– Repriced every month– Includes dividends

Value

Growth

Other

Quality

Returns to Style – last 10 yearsQuality and Value works!

SA, annualised

10 year XS returns

Weight: Market Cap, Rebal 6 mths

4.0% pa

Weight: Market Cap, Rebal 3 mths

4.6% pa

Weight: Earnings, Rebal 6 mths

8.5% pa

overview

• Value works long term– like in other markets– EBITDA 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– Rebalance and weighting schemes make a difference