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SEE
CLEARLY
WITH
FACTOR
ANALYSIS
s tyleanalytic s . c om
王珏(上海)
微信 StyleAnalytic邮箱 Nicole.Wang
Factor Performance Report ASIA PACIFIC Factor performance as of February, 2020
谭悦(香港)
微信 SA_Tina
邮箱 Tina.Tam@StyleAnalytics.com
sNicole @StyleAnalytics.com
Table of Contents
Introduction
................................................................................................................................................... 1 Methodology
.................................................................................................................................................. 2 Factor Performance Results
..................................................................................................................... 3 Last 1 Month
.......................................................................................................................................... 3 Last 3 Months
........................................................................................................................................ 4 Last 6 Months
........................................................................................................................................ 5 Year to Date
............................................................................................................................................ 6 2018 .......................................................................................................................................... 7 2017 .......................................................................................................................................... 8 2016 .......................................................................................................................................... 9 2015 ........................................................................................................................................ 10 2014 ........................................................................................................................................ 11 1 Year
.................................................................................................................................................... 12 3 Years Annualized
.............................................................................................................................. 13 5 Years Annualized
.............................................................................................................................. 14 Factor Definitions ........................................................................................................................................ 15
Introduction
Style Analytics is an independent, global software provider for investment professionals.
We enable asset owners, consultants and asset managers to build objective and comprehensive factor analysis on markets, peers and portfolios.
By creating transparency through factor exposures - the systematic drivers of portfolio risk and return - we help investment professionals validate and make strong investment decisions.
Previously known as Style Research, Style Analytics has over 20 years" experience in factor analysis and serves over 280 investment institutions across 30 countries.
Our breadth and depth of industry knowledge and expertise continues to bring superior tools and innovations to support our clients.
1
Methodology
This report covers the market relative performance of 23 individual equity factors. Each section covers a specified time frame.
To calculate the market relative return of a factor, we first create a single factor portfolio by sorting equity securities in the selected region in descending order by the factor value (e.g. Book to Price).
At the beginning of a calendar month, we select securities for our factor portfolio by starting at the top of this sorted list, accumulating the securities until the aggregate market cap of our single factor portfolio equals 50% of the total region market cap. This effectively gives us a “top-half” of the market factor portfolio (e.g. the cheapest stocks according to Book-to-Price).* These securities are held until the end of the calendar month. The one-month performance of that single factor portfolio is then measured versus the entire market.
The same construction process is performed each month, and the consecutive monthly returns are linked together to provide the cumulative relative factor performance for various time frames.
This process is repeated for all 23 factors and the results are shown on a single chart.
Notes on Adjustments:
For single countries, the factor portfolio is constructed by selecting securities with the highest factor values within each sector and then aggregated into a “sector-adjusted” factor portfolio.
For regions with multiple countries, the securities with the highest factor values are selected within each country’s sectors and then aggregated into a “country and sector-adjusted” factor portfolio.
The rationale for these adjustments is to avoid confusing factor effects with sector or country effects. * Market Cap = Top 70% of Market
2
-1.0
-0.5
0.0
0.5
1.0
Book to Price Earnings Yield -0.6 -0.7 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1
-0.7 -0.7
-0.6
-0.6
-0.5
-0.3
-0.3
-0.1
-0.1
0.0
0.0
0.0
0.2
0.1
0.3
0.5
0.5
0.5
0.6
0.6 Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific Region 0.2
3
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -1.5
-1.1
-1.2
-1.2
-0.8
-0.8
-0.8
-0.6
-0.3
-0.1
-0.1
0.0
0.3
0.2
0.6
0.6
0.8
1.0
1.2
1.2
1.3
1.5
Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific Region 1.1
4
6 Months - Country and Sector Adjusted % % -2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
Book to Price Earnings Yield -1.6
-0.8 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -1.3
-1.2
-0.9
-0.7
-0.5
-0.3
-0.2
-0.1
0.0
0.0
0.4
0.5
0.8
1.0
1.1
1.3
1.3
1.4
1.5
1.7 Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific Region 0.8
5
YTD - Country and Sector Adjusted % % -2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
Book to Price Earnings Yield -1.4
-1.1 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -1.3
-1.1
-1.1
-1.2
-1.0
-0.7
-0.5
-0.5
0.1
0.0
0.1
0.1
0.1
0.3
0.5
0.8
0.9
0.8
1.1
1.4 Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific Region 1.1
6
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
Book to Price Earnings Yield -3.4
-2.4 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1
-3.0
-2.5 -2.2
-2.2
-2.0
-1.3
-0.6
0.2
0.2
0.8
1.0
1.2
1.8
1.6
2.4
2.8
2.8
3.3
3.2
3.4 Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific Region 0.2
7
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
Book to Price Earnings Yield
-0.6 0.1 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yie...
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