returns to style using style research’s markets analyzer china end january 2011
Post on 22-Dec-2015
217 views
TRANSCRIPT
![Page 1: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/1.jpg)
Returns to Styleusing Style Research’s
Markets Analyzer
China
End January 2011
![Page 2: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/2.jpg)
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
![Page 3: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/3.jpg)
Overview
• Value works long term– like in other markets– High Dividends best over 10 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
![Page 4: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/4.jpg)
Approach
• Benchmark = market– All stocks with market cap of USD 100
• Analysis after sector adjustment– Factor screen within sectors– Eliminates sector bias
• Includes dividends• Rebalanced every 6 months– Repriced every month
![Page 5: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/5.jpg)
Value
![Page 6: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/6.jpg)
![Page 7: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/7.jpg)
![Page 8: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/8.jpg)
![Page 9: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/9.jpg)
![Page 10: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/10.jpg)
![Page 11: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/11.jpg)
![Page 12: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/12.jpg)
Growth
![Page 13: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/13.jpg)
![Page 14: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/14.jpg)
![Page 15: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/15.jpg)
![Page 16: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/16.jpg)
![Page 17: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/17.jpg)
![Page 18: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/18.jpg)
![Page 19: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/19.jpg)
Other
![Page 20: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/20.jpg)
![Page 21: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/21.jpg)
![Page 22: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/22.jpg)
![Page 23: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/23.jpg)
![Page 24: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/24.jpg)
Quality
![Page 25: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/25.jpg)
![Page 26: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/26.jpg)
![Page 27: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/27.jpg)
![Page 28: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/28.jpg)
![Page 29: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/29.jpg)
![Page 30: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/30.jpg)
![Page 31: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/31.jpg)
Returns to Style – last 10 yearsQuality and Value works!
SA, annualised
![Page 32: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/32.jpg)
10 year XS returns
![Page 33: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/33.jpg)
Weight: Market Cap, Rebal 6 mths
7.4% pa
![Page 34: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/34.jpg)
Weight: Market Cap, Rebal 3 mths
8.3% pa
![Page 35: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/35.jpg)
Weight: Earnings, Rebal 6 mths
12.2% pa
![Page 36: Returns to Style using Style Research’s Markets Analyzer China End January 2011](https://reader030.vdocuments.site/reader030/viewer/2022032523/56649d7d5503460f94a5fcc7/html5/thumbnails/36.jpg)
overview
• Value works long term– like in other markets– High Dividends best over 10 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