20200312-Style_Analytics-Factor_Performance_Report__HONG_KONG_22页_1mb

报告摘要

Factor Performance Report Summary (February 2020)

Core Content

This report provides an analysis of the performance of 23 individual equity factors in the Hong Kong market, covering different time frames including the last 1 month, 3 months, 6 months, year-to-date (YTD), and historical periods from 2014 to 2019. The goal is to evaluate how each factor contributes to the relative returns of a portfolio compared to the overall market.

Methodology

Factor Portfolio Construction: For each factor, a single factor portfolio is created by sorting securities in the selected region in descending order based on the factor value (e.g., Book to Price). Securities are selected until the aggregate market cap of the portfolio equals 50% of the total market cap, effectively representing the "top half" of the market by that factor.
Performance Measurement: The monthly performance of each factor portfolio is compared to the overall market. This process is repeated monthly, and returns are linked cumulatively to assess performance over different time frames.
Adjustments:
- For single-country regions (e.g., US), data is adjusted using sector averages, termed "Sector Adjusted" analysis.
- For multi-country regions (e.g., Asia Pacific), data is adjusted using country and sector averages, termed "Country and Sector Adjusted" analysis.
- These adjustments help isolate factor impacts from sector or country effects.

Key Factors and Their Definitions

Value Factors

Book to Price: Ratio of book value to share price. Measures intrinsic value.
Earnings Yield: Annual earnings per share divided by share price. Reflects after-tax earnings support.
Cash Flow Yield: Annual cash flow per share divided by share price. Captures cash availability.
Sales to Price: Net sales per share divided by share price. Less susceptible to manipulation.
EBITA to EV: EBITDA divided by Enterprise Value. Measures operating performance relative to company value.

Yield Factors

Dividend Yield: Annual dividend per share divided by share price. Reflects dividend income.
Shareholder Yield: Sum of Net Buyback Yield, Dividend Yield, and Net Debt Paydown Yield. Measures value distribution to shareholders.

Growth Factors

Earnings Growth 5Y: Average annual earnings growth over the past five years. Clear but subject to reporting distortions.
Sales Growth 5Y: Average annual sales growth per share over the past five years. Less affected by reporting conventions.
Forecast Growth 12M: Consensus forecast for earnings growth over the next 12 months.
Dividend Growth 5Y: Average annual dividend growth over the past five years.

Quality Factors

Return on Equity (RoE): Net income after preferred dividends divided by book value of common equity. Measures profitability.
Net Profit Margin: Net income divided by net sales. Assesses potential for profitable growth.
Low Gearing: Negative of debt to equity. Indicates lower financial risk.
Earnings Growth Stability: Negative of standard deviation of earnings growth over the past 3 years. Measures consistency.
Sales Growth Stability: Negative of standard deviation of sales growth over the past 3 years. Measures consistency.

Size Factors

Market Cap: Market capitalization of the stock. Used to assess portfolio size distribution.

Volatility Factors

Market Beta: Slope coefficient from the regression of security returns against market returns. Measures sensitivity to market movements.
Daily Volatility 1Y: Annualized standard deviation of daily total returns over the last year.
Volatility 3Y: Annualized standard deviation of total returns over the last 36 months.

Momentum Factors

Momentum ST: Measures performance trend following using a 6-month memory of returns with a decay ratio of 2/3 per month.
Momentum 12-1: Total return over the last 12 months excluding the most recent month to avoid reversal effects.
Forecast 12M Revisions: Difference between upward and downward earnings forecast revisions, expressed as a percentage of estimates. Reflects market expectations and analyst sentiment.

About Style Analytics

Style Analytics is an independent, global software provider for investment professionals. With over 20 years of experience and serving more than 280 investment institutions across 30 countries, it offers comprehensive and objective factor analysis tools to help investors make informed decisions. The firm focuses on transparency through factor exposures, which are the systematic drivers of portfolio risk and return.