returns to style using style research’s markets analyzer
DESCRIPTION
Returns to Style using Style Research’s Markets Analyzer. Taiwan. End January 2011 CJ Zou [email protected]. International Experience. Style Investing works Value and Small Cap works long term Best Value Markets – Japan and Korea Most markets have small cap premium - PowerPoint PPT PresentationTRANSCRIPT
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
Value
65
85
105
125
145
165
19
91
19
92
19
93
19
94
19
95
19
96
19
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19
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99
20
00
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01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
Cu
mu
lati
ve
Re
lati
ve
Re
turn
Book Value per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
35
55
75
95
115
135
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
Cu
mu
lati
ve
Re
lati
ve
Re
turn
Dividend Yield (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
35
55
75
95
115
135
155
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
Cu
mu
lati
ve
Re
lati
ve
Re
turn
Earnings per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
45
65
85
105
125
145
165
185
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
Cu
mu
lati
ve
Re
lati
ve
Re
turn
Cashflow per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
50
70
90
110
130
150
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
Cu
mu
lati
ve
Re
lati
ve
Re
turn
Sales per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
50
70
90
110
130
150
19
91
19
92
19
93
19
94
19
95
19
96
19
97
19
98
19
99
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
Cu
mu
lati
ve
Re
lati
ve
Re
turn
EBITDA to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
65
85
105
125
145
165
Book Value per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
35
55
75
95
115
135
Dividend Yield (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
35
55
75
95
115
135
155
Earnings per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
45
65
85
105
125
145
165
185
Cashflow per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
70
90
110
130
150
Sales per Share to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
70
90
110
130
150
EBITDA to Price (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
Growth
50
60
70
80
90
100
110
120
130
140
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Ret
urn
Return on Equity (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
55
75
95
115
135
155
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Ret
urn
Growth in Earnings per Share (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
60
70
80
90
100
110
120
130
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Ret
urn
Income to Sales (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
55
65
75
85
95
105
115
125
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Ret
urn
Sales Growth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
50
70
90
110
130
150
170
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Ret
urn
IBES 12 Month Forward Growth in Earnings per Share (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
55
65
75
85
95
105
115
125
135
145
155
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Ret
urn
IBES FY1 Earnings Revisions 3M Sample (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
60
70
80
90
100
110
120
130
140
Return on Equity (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
55
75
95
115
135
155
Growth in Earnings per Share (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
60
70
80
90
100
110
120
130
Income to Sales (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
55
65
75
85
95
105
115
125
Sales Growth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
70
90
110
130
150
170
IBES 12 Month Forward Growth in Earnings per Share (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
55
65
75
85
95
105
115
125
135
145
155
IBES FY1 Earnings Revisions 3M Sample (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
Other
60
70
80
90
100
110
120
130
140
150
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Re
turn
Market Cap (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
50
70
90
110
130
150
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Re
turn
Beta (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
70
80
90
100
110
120
130
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Re
turn
Momentum 6 Mth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
60
70
80
90
100
110
120
130
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tive
Re
turn
Momentum 12 Mth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
60
70
80
90
100
110
120
130
140
150
Market Cap (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
70
90
110
130
150
Beta (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
70
80
90
100
110
120
130
Momentum 6 Mth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
60
70
80
90
100
110
120
130
Momentum 12 Mth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
Quality
50
70
90
110
130
150
170
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tiv
e R
etu
rn
Low Accruals (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
30
50
70
90
110
130
150
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tiv
e R
etu
rn
Debt to Equity (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
45
55
65
75
85
95
105
115
125
135
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tiv
e R
etu
rn
Stability Of Earnings Growth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
50
60
70
80
90
100
110
120
130
140
150
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tiv
e R
etu
rn
Sustainable Growth Rate (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
25
45
65
85
105
125
145
165
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tiv
e R
etu
rn
Stability Of Sales Growth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
30
80
130
180
230
280
330
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
Cu
mu
lati
ve R
ela
tiv
e R
etu
rn
Stability Of IBES 12 Mth Growth Forecast (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
70
90
110
130
150
170
Low Accruals (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
30
50
70
90
110
130
150
Debt to Equity (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
45
55
65
75
85
95
105
115
125
135
Stability Of Earnings Growth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
50
60
70
80
90
100
110
120
130
140
150
Sustainable Growth Rate (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
25
45
65
85
105
125
145
165
Stability Of Sales Growth (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
1991
1991
1991
1992
1992
1992
1993
1993
1993
1994
1994
1994
1995
1995
1995
1996
1996
1996
1997
1997
1997
1998
1998
1998
1999
1999
1999
2000
2000
2000
2001
2001
2001
2002
2002
2002
2003
2003
2003
2004
2004
2004
2005
2005
2005
2006
2006
2006
2007
2007
2007
2008
2008
2008
2009
2009
2009
2010
2010
2010
2011
30
80
130
180
230
280
330
Stability Of IBES 12 Mth Growth Forecast (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
Returns to Style – last 20 years
style Factor XS Return
Quality Stable IBES Earnings Growth top qtr 6.2%
Quality Stable IBES Earnings Growth 3rd 3.0%
Growth IBES Growth 2nd 2.8%
Quality Stable Sales Growth top qtr 2.8%
Quality Debt to Equity bottom qtr 2.4%
Growth IBES Growth 3rd 2.4%
Value Earning Yield top qtr 2.4%
Growth IBES Growth Revisions top qtr 2.2%
Value Sales to Price top qtr 2.0%
Value EBITDA to Price 3rd 2.0%
20 year XS returns
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
Book to Price
Dividend Yield
Earning Yield
C'Flow Yield Sales to Price
EBITDA to Price
Taiwan Value20 year Excess Return to end January 2011
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
ROE Earnings Growth
Income to Sales
Sales Growth
IBES Growth IBES Growth Revisions
Taiwan Growth20 year Excess Return to end January 2011
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
Market Cap Beta Momentum 6 mth Price
Momentum 12 mth Price
Taiwan Other20 year Excess Return to end January 2011
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
Low Accruals
Debt to Equity
Stable Earnings Growth
Sustainable Growth
Stable Sales Growth
Stable IBES Earnings Growth
Taiwan Quality20 year Excess Return to end January 2011
Weight: Market Cap, Rebal 6 mths
6.2%pa19
9119
9119
9119
9219
9219
9319
9319
9319
9419
9419
9519
9519
9619
9619
9619
9719
9719
9819
9819
9819
9919
9920
0020
0020
0120
0120
0120
0220
0220
0320
0320
0320
0420
0420
0520
0520
0620
0620
0620
0720
0720
0820
0820
0820
0920
0920
1020
1020
11
30
80
130
180
230
280
330
Stability Of IBES 12 Mth Growth Forecast (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
Weight: Market Cap, Rebal 3 mths
1991
1991
1991
1992
1992
1993
1993
1993
1994
1994
1995
1995
1996
1996
1996
1997
1997
1998
1998
1998
1999
1999
2000
2000
2001
2001
2001
2002
2002
2003
2003
2003
2004
2004
2005
2005
2006
2006
2006
2007
2007
2008
2008
2008
2009
2009
2010
2010
2011
50
100
150
200
250
Stability Of IBES 12 Mth Growth Forecast (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
5.5%pa
Weight: Earnings, Rebal 6 mths
1991
1991
1991
1992
1992
1993
1993
1993
1994
1994
1995
1995
1996
1996
1996
1997
1997
1998
1998
1998
1999
1999
2000
2000
2001
2001
2001
2002
2002
2003
2003
2003
2004
2004
2005
2005
2006
2006
2006
2007
2007
2008
2008
2008
2009
2009
2010
2010
2011
30
80
130
180
230
280
Stability Of IBES 12 Mth Growth Forecast (Quartiles)
Quartile 1 (lowest) Quartile 2 Quartile 3 Quartile 4 (highest)
Cum
ulat
ive
Rel
ativ
e R
etur
n
4.8%pa
overview
Quality works long term• unlike in other markets• Stable IBES Earnings Growth top qtr best over 20 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