20200317-Style_Analytics-Factor_Performance_Report__ASIA_PACIFIC_22页_1mb

报告摘要

Factor Performance Report Summary - Asia Pacific (February 2020)

Core Content

This report provides an analysis of the performance of 23 individual equity factors across various time frames in the Asia Pacific region as of February 2020. The goal is to evaluate how these factors have contributed to market returns, offering insights into the relative performance of different investment styles.

Main Points

Report Overview: The report covers the market relative performance of 23 equity factors, including value, yield, growth, quality, size, and volatility factors.
Methodology:
- Factor portfolios are constructed by sorting equities by factor value and selecting the top 70% of the market.
- Each factor portfolio is compared against the total market to assess its relative performance.
- The process is repeated monthly and results are aggregated for different time periods.
Factor Adjustments:
- For single countries, the factor portfolio is "sector-adjusted".
- For multi-country regions, the factor portfolio is "country and sector-adjusted".
- These adjustments help isolate factor effects from sector or country effects.
Time Frames Analyzed:
- Last 1 Month
- Last 3 Months
- Last 6 Months
- Year to Date (YTD)
- 2018, 2017, 2016, 2015, 2014
- 1 Year
- 3 Years Annualized
- 5 Years Annualized
Factor Definitions:
- Value Factors:
  - Book to Price (B/P)
  - Earnings Yield
  - Cash Flow Yield
  - Sales to Price
  - EBITA to EV
- Yield Factors:
  - Dividend Yield
  - Shareholder Yield
- Growth Factors:
  - Earnings Growth 5Y
  - Sales Growth 5Y
  - Forecast Growth 12M
  - Dividend Growth 5Y
- Quality Factors:
  - Return on Equity (RoE)
  - Net Profit Margin
  - Low Gearing
  - Earnings Growth Stability
  - Sales Growth Stability
- Size Factors:
  - Market Cap
- Volatility Factors:
  - Market Beta
  - Daily Volatility 1Y
  - Volatility 3Y
- Momentum Factors:
  - Momentum ST (6-month memory with decay ratio of 2/3)
  - Momentum 12-1 (last 12 months excluding the most recent month)
  - Forecast 12M Revisions (earnings forecast revisions over the next 12 months)

Key Information

Style Analytics is a global, independent software provider for investment professionals.
The company has over 20 years of experience in factor analysis and serves more than 280 investment institutions in 30 countries.
The report highlights the systematic drivers of portfolio risk and return through factor exposures.
It enables investment professionals to validate their decisions and understand market behavior through objective and comprehensive analysis.
The methodology ensures that the factor performance is not conflated with sector or country-specific effects.

Contact Information

Tina Tam (Hong Kong):
- WeChat: SA_Tina
- Email: Tina.Tam@StyleAnalytics.com
Nicole Wang (Shanghai):
- WeChat: StyleAnalyticsNicole
- Email: Nicole.Wang@StyleAnalytics.com