StyleAnalytics-发达市场的因子业绩报告

1、SEE CLEARLY WITH FACTOR ANALYSISFactor Performance ReportDEVELOPED MARKETSFactor performance as of February, 2020谭悦(香港)微信 SA_Tina王珏(上海)微信 StyleAnalyticsN邮箱 Nicole.Wang邮箱 HYPERLINK mailto:Tina.TamStyleA Tina.TamStyleAicole StyleATable of Contents HYPERLINK l _TOC_250001 Introduction 1 HYPERLINK l _TO

2、C_250000 Methodology 2Factor Performance Results 3Last 1 Month 3Last 3 Months 4Last 6 Months 5Year to Date 62018 . 72017 . 82016 . 92015 . 102014 . 111 Year 123 Years Annualized 135 Years Annualized 14Factor Definitions 15IntroductionStyle Analytics is an independent, global software provider for in

3、vestment 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 profession

4、als 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

5、 tools and innovations to support our clients.MethodologyThe report covers the market relative performance of 23 individual equity factors. Each section covers a defined time frame which will provide context on how different factors performed.To calculate the relative return of any single factor, we

6、 start by creating a single factor portfolio. To create the single factor portfolio, equity securities in the selected region are sorted in descending order according to a single equity factor (eg. Book to Price).At the beginning of a calendar month, we select securities for our single factor portfo

7、lio by starting at the top of this sorted list and accumulating 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 by our single factor (eg. the cheapest stocks according to Book-to-

8、Price).* The set of 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 appropriately linked togethe

9、r to provide cumulative factor performance measures across different time frames.This process is repeated using each of the different factors and the results are aggregated together. Applying the consistent process across factors allows relative comparisons of the outperformance or underperformance

10、of the various factors within a single region.Notes on Adjustments:For regions representing a single country (e.g. US), market and fundamental data at the individual security level (e.g. Book-to-Price) is adjusted such that sector-average relative data is used. This is termed “Sector Adjusted” analy

11、sis.For regions representing multiple countries (e.g. Asia Pacific), market and fundamental data at the individual security level (e.g. Book-to-Price) is adjusted such that sector-average, within its country of domicile, relative data is used. This is termed “Country and Sector Adjusted” analysis.Th

12、e rationale for these adjustments is to ensure that we are not confusing factor impacts with sector or country impacts.* Market Cap = Top 70% of MarketBook to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-1.0-0.50.00.51.0-0.3-0.7-0.7-0.8-0.9-0.5ValueYieldShareholder

13、Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum 12-1Forecast 12M Revisions-0.8-0.5-0.3

14、-0.3-0.3-0.30.00.00.00.00.8GrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 3Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-2.5-2.0-1.5-1.0-0.50.00.51.01.52.0-1.5-1.8-1.8-2.1-2.1-1.4ValueYieldShareholder Y

15、ield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability-1.2-0.8-GrowthQualitySales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum

16、12-1 Forecast 12M Revisions* Market Cap = Top 70% of Developed Markets Region-1.0-0.8-0.8SizeVolatilityMomentum46 Months - Country and Sector Adjusted%Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield Shareholder Yield Dividend Growth 5Y Earning

17、s Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum 12-1Forecast 12M Revisions-2.5-2.0-1.5-1.0-0.50.00.51.01.52.00.20.7-0.

18、3-0.2-0.7-0.4-0.3-0.61.00.80.4-0.40.00.51.01.41.6-0.8-2.0-0.4ValueYieldGrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 5YTD - Country and Sector Adjusted%Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield Shareholder

19、Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum 12-1Forecast 12M Revisions-3.0-2.5-2.0

20、-1.5-1.0-0.50.00.51.01.52.02.5-1.6-2.2-2.3-2.3-2.2-1.3-1.4-1.50.00.2-0.4-1.4-1.4-1.1-ValueYieldGrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 6Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-3.0-

21、2.0-1.00.01.02.03.0-0.1-0.40.0ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity1.82.02.3GrowthNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily V

22、olatility 1YVolatility 3Y Momentum ST Momentum 12-1Forecast 12M Revisions-2.5-1.1-0.9-0.6-1.9QualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 7Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-5.0-4.0-3.0-2.0-1.00.

23、01.02.03.04.0-1.5-2.7-1.9-1.7-0.51.1ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y M

24、omentum ST Momentum 12-1Forecast 12M Revisions-4.2-3.8-1.9-1.1-0.71.01.11.0GrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 8Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-2.5-2.0-1.5-1.0-0.50.00.

25、51.01.52.02.5-1.0-1.7-0.9-0.9-0.4-1.9ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y

26、Momentum ST Momentum 12-1 Forecast 12M Revisions* Market Cap = Top 70% of Developed Markets Region-0.90.01.01.52.1GrowthQualitySizeVolatilityMomentum9Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-4.0-3.0-2.0-1.00.01.02.03.0

27、4.05.0ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST M

28、omentum 12-1-3.4-2.1-1.9-1.6-1.3-1.0-1.2-0.6-0.7-1.6GrowthQualitySizeVolatilityMomentumForecast 12M Revisions* Market Cap = Top 70% of Developed Markets Region-0.410Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-3.0-2.0-1.00.01.02.03.04.0-1.6

29、-1.5-2.2-1.4-1.8-0.5ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momen

30、tum 12-1Forecast 12M Revisions-1.8-0.9-0.7-0.5-0.4-0.10.01.0GrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 11Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-3.0-2.0-1.00.01.02.03.04.0-1.9-1.4-1.7

31、-2.2-2.1-0.2ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum 12-1

32、Forecast 12M Revisions-1.6-1.3-1.2-0.7-0.3-0.30.03.3GrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 12Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield Shareholder Yield Dividend Growth 5Y Earnings

33、Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum 12-1Forecast 12M Revisions-2.5-2.0-1.5-1.0-0.50.00.51.01.52.0-1.5-1.9-1.

34、4-1.5-1.1-0.6-0.30.9-0.5-1.5-0.8-ValueYieldGrowthQualitySizeVolatilityMomentum* Market Cap = Top 70% of Developed Markets Region 13Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EVDividend Yield-1.5-1.0-0.50.00.51.01.52.0-0.4-0.8-0.5-0.6-0.8

35、0.0ValueYieldShareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on EquityNet Profit Margin Earnings Growth Stability Sales Growth StabilityLow GearingMarket Cap (Large Cap)*Market Beta Daily Volatility 1YVolatility 3Y Momentum ST Momentum 12-1-1.0-0.5-

36、0.30.0-0.1-0.91.4GrowthQualitySizeVolatilityMomentumForecast 12M Revisions* Market Cap = Top 70% of Developed Markets Region0.514Value FactorsBook to PriceThe ratio of the companys book value (the sum of shareholders equity plus accumulated retained earnings from the P & L

37、 Account) to its share price.This factor has been one of the most successful measures of the intrinsic value of company shares.Earnings YieldAnnual earnings (adjusted for amortizations of intangibles, extraordinary charges and credits) per share divided by the share price.This factor measures the wo

38、rth of a companys shares according to the companys ability to support each share with after tax earnings.Cash Flow YieldAnnual cash flow per share divided by the share price.This factor is related to earnings yield but also includes other items, specifically: depreciation, amortizations, and provisi

39、ons for deferred liabilities. It is intended to capture the cash availability of the company as a multiple of the share price, and offers a value criteria based on the stream of accessible cash earningsSales to PriceNet sales per share divided by the share price.This factor measures the worth of a c

40、ompanys shares according to the annual sales volume supporting the company business. The item is considered by many analysts to be less susceptible to manipulation than other valuation criteria; it is however, a less comprehensive measure of a companys range of activities.EBITA to EVThe ratio of the

41、 companys EBITDA to Enterprise Value. EBITDA is Earnings before interest, taxes and depreciation and is calculated by taking the pretax income and adding back interest expense on debt and depreciation, depletion and amortization and subtracting interest capitalized.Enterprise Value is defined as mar

42、ket capitalization + total debt + preferred stock - cash and cash equivalents.Yield FactorsDividend YieldThe annual dividend paid per share divided by the share price.This factor measures the value of company shares according to the stream of dividend income resulting from share ownership.Shareholde

43、r YieldThe sum of Net Buyback Yield, Dividend Yield and Net Debt Paydown Yield.This factor measures the proportion of a companys value distributed to shareholders through dividend payments, share repurchases and debt reduction.Growth FactorsEarnings Growth 5YThe average annual growth rate of earning

44、s (adjusted for amortizations of intangibles, extraordinary charges and credits) over a trailing five years.Earnings Growth is, perhaps, the clearest of the growth criteria. However, it is subject to the distortions of reporting conventions and manipulation and, particularly in some markets, only kn

45、own after a considerable lag.Sales Growth 5YThe average annual growth rate of net sales per share over a trailing five years.Although growth in sales per share might be only a narrow measure of a companys business growth, and may be subject to a number of distortions, it is less subject to differenc

46、es in reporting conventions or manipulation than many other balance sheet or profit and loss items.Forecast Growth 12MConsensus forecast growth of earnings over the next 12 months. The 12 month growth is calculated on a pro-rata basis from the forecasts for each of the companys next 2 annual reporti

47、ng periods.Dividend Growth 5YThe average annual growth rate of dividends over a trailing five years.Quality FactorsReturn on EquityNet Income after preferred dividends divided by the book value of shareholders common equity.RoE measures the profitability of the operations of the company as a proport

48、ion of the total amount of equity in the company. Since RoE multiplied by the reinvestment rate (the proportion of earnings not paid as dividends but reinvested in the company) gives the warranted growth rate of a company, RoE is a traditional measure of a companys growth potential.Net Profit Margin

49、The net margin, annual net income before preferred dividends (plus policyholders surplus for insurance companies), divided by annual net sales.This measure attempts to assess the companys potential for profitable, sustained expansion or growth.Low GearingThe negative of debt to equity. Low geared co

50、mpanies can regarded as being of higher quality as they are less burdened bydebt repayment costs. 17Earnings Growth StabilityThis quality factor is calculated as the negative of the standard deviation of earnings growth over the most recent 3 years of growth data.Sales Growth StabilityThis Quality f

51、actor is calculated as the negative of the standard deviation of Sales Growth over the most recent 3 years of growth data.Size FactorsMarket CapThe market capitalization of the stock.The average size statistic of a portfolio is the weighted (by holding value) average size of the securities held. The

52、 average size statistic of a benchmark (or total market) is the weighted (by holding value) average size of the securities within the benchmark (or total market)Volatility FactorsMarket BetaThe slope coefficient, (), from the simple regression:Security monthly return = + * market monthly return + random error.The regression is carried out over 36 month periods. Where sufficient information is not available, =1 is assumed.Daily Volatility 1YThe standard deviation of the last year of daily total returns, expressed as an annualized percentage.Volatility 3YThe standard deviation of the last 3