returns to sectors & style does sector adjustment matter? china to end april 2011
Post on 19-Dec-2015
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Returns to Sectors & StyleDoes sector adjustment matter?
China to end April 2011
Sector & Style Investing
• Sectors selection can add returns• Style can add different returns• Important to distinguish between both factors– Possible to collect returns from both
• Style returns can be more stable than sector returns
Approach
• Use Style Research’s Market Analyzer• Benchmark = market– All stocks with market cap of USD 100 million
• Build Portfolio based on Sector or Style• Rebalanced every 6 months– Repriced every month– Includes dividends
WHAT HAVE SECTORS DONE RECENTLY?
Sector returns
Returns to Sectors – last 5 years
Health CareValue: -Growth: +/-Size: SmallMomemtum: LowDebt: LowSales: DomesticQuality: +/-
Consumer GoodsValue: -Growth: +/-Size: LargeMomemtum: -Debt: LowSales: DomesticQuality: -
Basic MaterialsValue: -Growth: -Size: SmallMomemtum: +Debt: LowSales: DomesticQuality: -
TechnologyValue: -Growth: -/+Size: SmallMomemtum: +Debt: LowSales: ForeignQuality: -/+
Consumer ServicesValue: -Growth: -Size: SmallMomemtum: -Debt: b’markSales: b’markQuality: -
Returns to Sectors – last 5 years
IndustrialValue: -Growth: +/-Size: SmallMomemtum: lowDebt: lowSales: ForeignQuality: -
FinancialsValue: +/-Growth: +/-Size: LargeMomemtum: +Debt: HighSales: DomesticQuality: +
UtilitiesClean
Oil & GasValue: +Growth: +/-Size: LargeMomemtum: nilDebt: LowSales: ForeignQuality: +
TelecomValue: +Growth: -Size: LargeMomemtum: nilDebt: LowSales: Quality: +
Sector Returns1 Year XS Return - % pa 5 year XS Return - % pa
Health Care -6.6 14.4
Consumer Goods 8.8 10.6
Basic Materials 7.3 6.6
Technology -10.2 2.4
Consumer Services -9.1 1.7
Industrials 2.6 -0.2
Financials -5.9 -2.2
Utilities -8.3 -3.4
Oil & Gas 12.5 -4.3
Telecommunications -5.9 -8.2
WHAT HAS STYLE DONE RECENTLY? Style returns including and excluding sector returns
Value – last 5 years
Book to Price
Book to Price
Last 5 Years SECTOR ADJUSTED - Last 5 Years
Dividend Yield
Dividend Yield
Last 5 Years Last 5 Years - SA
Earnings Yield
Earnings Yield
Last 5 Years Last 5 Years - SA
Cashflow Yield
Cashflow Yield
Last 5 Years Last 5 Years - SA
Sales to Price
Sales to Price
Last 5 Years Last 5 Years - SA
EBITDA to Price
EBITDA to Price
Last 5 Years Last 5 Years - SA
Growth – last 5 years
Return on Equity
Last 5 Years Last 5 Years - SA
Growth in Earnings per Share
Last 5 Years Last 5 Years - SA
Income to Sales
Last 5 Years Last 5 Years - SA
Sales Growth
Last 5 Years Last 5 Years - SA
Forecast Earnings
Last 5 Years Last 5 Years - SA
Forecast Earnings Revisions
Last 5 Years Last 5 Years - SA
Other – last 5 years
Market Cap
Last 5 Years Last 5 Years - SA
Beta
Last 5 Years Last 5 Years - SA
Price Momentum – 6 months
Last 5 Years Last 5 Years - SA
Price Momentum – 12 months
Last 5 Years Last 5 Years - SA
Quality – last 5 years
Low Accrual
Last 5 Years Last 5 Years - SA
Debt to Equity
Last 5 Years Last 5 Years - SA
Stability of Earnings Growth
Last 5 Years Last 5 Years - SA
Sustainable Growth Rate
Last 5 Years Last 5 Years - SA
Stability of Sales Growth
Last 5 Years Last 5 Years - SA
Stability of Forecast Earnings
Last 5 Years Last 5 Years - SA
Returns to Sector + Style – last 5 years
SA, annualised
Returns to Style – last 5 years
Last 5 Years SECTOR ADJUSTED Last 5 Year
SA, annualised
Returns to Sector & Style
Value
Last 5 Years Last 5 Year - SA
Growth
Last 5 Years Last 5 Year - SA
Other
Last 5 Years Last 5 Year - SA
Quality
Last 5 Years 5 Year - SA
Sector & Style Investing
• Sectors selection can add returns• Style can add different returns• Important to distinguish between both factors– Possible to collect returns from both
• Style returns can be more stable than sector returns