20200317-Style_Analytics-Factor_Performance_Report__ASIA_PACIFIC_EX_JAPAN_22页_1mb

Factor Performance Report Summary (Asia Pacific ex Japan)

Core Content

This report provides a detailed analysis of the performance of 23 individual equity factors in the Asia Pacific ex Japan region as of February 2020. The goal is to evaluate how these factors have contributed to market returns over various time frames, helping investment professionals make informed decisions.

Main Viewpoints

• Factor Performance is Measured Relative to the Market: Each factor is evaluated by constructing a single factor portfolio that includes the top 70% of the market by that factor. This portfolio is compared to the overall market to determine its relative performance.

• Time Frames Covered: The report includes performance data for different periods such as Last 1 Month, Last 3 Months, Last 6 Months, Year to Date, and historical years (2014–2018). It also provides 1 Year, 3 Years Annualized, and 5 Years Annualized performance metrics.

• Factor Categories: The factors are grouped into several categories, including Value, Yield, Growth, Quality, Size, and Volatility factors. Each category has specific metrics and definitions that help in evaluating the performance of the portfolio.

• Adjustments for Sector and Country Impact: To ensure accurate factor performance analysis, adjustments are made for sector and country impacts. For single-country regions (e.g., US), the data is adjusted using sector averages. For multi-country regions (e.g., Asia Pacific ex Japan), the data is adjusted using both country and sector averages.

Key Information

Factor Definitions

• Value Factors:

  • Book to Price: Measures the ratio of a company's book value to its share price.
  • Earnings Yield: Annual earnings per share divided by the share price.
  • Cash Flow Yield: Annual cash flow per share divided by the share price.
  • Sales to Price: Net sales per share divided by the share price.
  • EBITA to EV: EBITDA divided by Enterprise Value.

• Yield Factors:

  • Dividend Yield: Annual dividend per share divided by the share price.
  • Shareholder Yield: Sum of Net Buyback Yield, Dividend Yield, and Net Debt Paydown Yield.

• Growth Factors:

  • Earnings Growth 5Y: Average annual growth rate of earnings over the last five years.
  • Sales Growth 5Y: Average annual growth rate of net sales over the last five years.
  • Forecast Growth 12M: Consensus forecast of earnings growth for the next 12 months.
  • Dividend Growth 5Y: Average annual growth rate of dividends over the last five years.

• Quality Factors:

  • Return on Equity (RoE): Net Income after preferred dividends divided by book value of common equity.
  • Net Profit Margin: Annual net income (before preferred dividends) divided by annual net sales.
  • Low Gearing: Negative of debt to equity ratio.
  • Earnings Growth Stability: Negative of the standard deviation of earnings growth over the last three years.
  • Sales Growth Stability: Negative of the standard deviation of sales growth over the last three years.

• Size Factors:

  • Market Cap: Market capitalization of the stock.
  • Average Size Statistic: Weighted average of the size of the securities in the portfolio or benchmark.

• Volatility Factors:

  • Market Beta: Slope coefficient from a regression of security returns against market returns.
  • 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 three years.

• Momentum Factors:

  • Momentum ST: Measures performance trend following using a 6-month "memory" of monthly returns.
  • Momentum 12-1: Total return over the last 12 months excluding the most recent month.
  • Forecast 12M Revisions: Percentage difference between upward and downward earnings forecast revisions over the next 12 months.

About Style Analytics

• Company Overview: Style Analytics is an independent, global software provider for investment professionals. It has over 20 years of experience in factor analysis and serves more than 280 investment institutions across 30 countries.

• Objective: The company provides objective and comprehensive factor analysis tools to help investment professionals validate and make strong investment decisions.

• Methodology: The company uses consistent methodologies across all factors, ensuring that the performance comparisons are reliable and meaningful.

Summary of Key Points

• The report uses a standardized methodology to measure the relative performance of each factor.
• The methodology involves constructing a single factor portfolio by selecting the top 70% of the market based on the factor.
• Factors are categorized into Value, Yield, Growth, Quality, Size, and Volatility.
• Adjustments are made to isolate factor impacts from sector and country effects.
• The analysis helps in understanding how different factors contribute to market returns and can guide investment strategies.

This report is a valuable resource for investment professionals looking to understand the performance of various equity factors in the Asia Pacific ex Japan region.