20200312-Style_Analytics-Factor_Performance_Report__SINGAPORE_22页_2mb

报告摘要

Factor Performance Report Summary

Overview

This report provides an analysis of the performance of 23 individual equity factors in the Singapore market as of February 2020. The report is authored by谭悦 (Hong Kong) and王珏 (Shanghai), with contact details provided for further inquiries. The key focus is on how each factor contributes to the relative performance of portfolios compared to the overall market, using a consistent methodology.

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. Securities are accumulated until the aggregate market cap of the portfolio reaches 50% of the total region market cap, effectively capturing the "top half" of the market.
Performance Measurement: The performance of each factor portfolio is measured against the entire market for different time frames (e.g., last 1 month, last 3 months, etc.).
Data Adjustments:
- For single-country regions (e.g., US), data is adjusted using Sector Adjusted analysis.
- For multi-country regions (e.g., Asia Pacific), data is adjusted using Country and Sector Adjusted analysis.
Cumulative Returns: Monthly returns are linked together to provide cumulative performance across different time frames.

Key Factors Covered

The report includes the following categories of factors:

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 share price.
Cash Flow Yield: Annual cash flow per share divided by share price.
Sales to Price: Net sales per share divided by share price.
EBITA to EV: EBITDA divided by Enterprise Value.

Yield Factors

Dividend Yield: Annual dividend per share divided by 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 5 years.
Sales Growth 5Y: Average annual growth rate of net sales per share over the last 5 years.
Forecast Growth 12M: Consensus forecast growth of earnings over the next 12 months.
Dividend Growth 5Y: Average annual growth rate of dividends over the last 5 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; indicates lower financial leverage.
Earnings Growth Stability: Negative of the standard deviation of earnings growth over the last 3 years.
Sales Growth Stability: Negative of the standard deviation of sales growth over the last 3 years.

Size Factors

Market Cap: Measures the market capitalization of the stock.

Volatility Factors

Market Beta: Slope coefficient from a regression of security returns against market returns over 36 months.
Daily Volatility 1Y: Standard deviation of daily total returns over the last year, expressed as an annualized percentage.
Volatility 3Y: Standard deviation of total returns over the last 36 months, expressed as an annualized percentage.

Momentum Factors

Momentum ST: Calculated using a 6-month "memory" of monthly total 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: Measures the balance of earnings forecast revisions over the next 12 months, expressed as a percentage of the number of estimates.

About Style Analytics

Style Analytics is an independent, global software provider for investment professionals. It offers tools for objective and comprehensive factor analysis across markets, peers, and portfolios. The company has over 20 years of experience and serves more than 280 investment institutions in 30 countries. Its approach focuses on transparency through factor exposures to help investment professionals make informed decisions.