20200317-Style_Analytics-Factor_Performance_Report__MENA_22页_1mb

报告摘要

Factor Performance Report Summary - MENA Region

Core Content

This report provides an analysis of the performance of 23 individual equity factors relative to the MENA (Middle East and North Africa) region, covering various time frames from one month to five years annualized. The data is presented in a "Country and Sector Adjusted" format, which aims to isolate the impact of factors from that of sectors and countries.

Main Methodology

Factor Portfolio Construction: For each factor, a single factor portfolio is created by sorting equity securities in the selected region in descending order based on the factor value. The top 50% of the market by factor is selected to form the portfolio, with the total market cap of the portfolio set to 50% of the region's total market cap.
Performance Measurement: The performance of the single factor portfolio is measured relative to the entire market for each time frame (e.g., 1 month, 3 months, etc.).
Adjustments:
- For single-country regions (e.g., US), "Sector Adjusted" analysis is used.
- For multi-country regions (e.g., Asia Pacific), "Country and Sector Adjusted" analysis is applied to differentiate factor impacts from sector and country effects.

Key Factors and 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 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 to Enterprise Value ratio. Measures operational performance.

Yield Factors

Dividend Yield: Annual dividend per share divided by share price. Measures 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 last five years. Clear but subject to reporting distortions.
Sales Growth 5Y: Average annual sales growth per share over the last five years. Less affected by reporting conventions.
Forecast Growth 12M: Consensus forecast of earnings growth over the next 12 months.
Dividend Growth 5Y: Average annual dividend growth over the last five years.

Quality Factors

Return on Equity (RoE): Net income after preferred dividends divided by book value of common equity. Measures profitability and growth potential.
Net Profit Margin: Net income divided by net sales. Reflects profit sustainability.
Low Gearing: Negative of debt to equity ratio. Indicates lower financial risk.
Earnings Growth Stability: Negative of standard deviation of earnings growth over three years. Measures earnings consistency.
Sales Growth Stability: Negative of standard deviation of sales growth over three years. Measures sales consistency.

Size Factors

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

Volatility Factors

Market Beta: Slope coefficient from a regression of security returns against market returns. Measures systematic risk.
Daily Volatility 1Y: Standard deviation of daily total returns over the last year, annualized.
Volatility 3Y: Standard deviation of total returns over the last three years, annualized.

Momentum Factors

Momentum ST: 6-month weighted return factor using a decay ratio of 2/3 per month. Measures performance trend following.
Momentum 12-1: Total return over the last 12 months excluding the most recent month. Avoids reversal effects.
Forecast 12M Revisions: Percentage difference between upward and downward earnings forecast revisions. Measures analyst sentiment and expectations.

About Style Analytics

Style Analytics is an independent, global software provider for investment professionals, offering objective and comprehensive factor analysis tools. With over 20 years of experience, it serves more than 280 investment institutions in 30 countries. The company emphasizes transparency through factor exposures, aiding investment professionals in making informed decisions.