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Returns to Styleusing Style Research’s
Markets Analyzer
China
End January 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– 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
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
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
7.4% pa
Weight: Market Cap, Rebal 3 mths
8.3% pa
Weight: Earnings, Rebal 6 mths
12.2% pa
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
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