20200312-Style_Analytics-Factor_Performance_Report__CHINA_A_SHARES_22页_1mb

Factor Performance Report Summary - China A Shares

Core Content

This report provides an analysis of the performance of 23 individual equity factors relative to the China A Shares market, covering various time frames from one month up to five years annualized. The factors include value, yield, growth, quality, size, and volatility indicators, each of which is used to construct and evaluate single factor portfolios.

Main Points

• Report Overview: The report is prepared by Style Analytics, a global software provider for investment professionals, offering factor analysis tools to asset owners, consultants, and asset managers.
• Methodology:
  • Factor portfolios are constructed by sorting equities in a region by a specific factor (e.g., Book to Price) and selecting the top 50% of the market based on that factor.
  • The performance of these portfolios is compared to the overall market return.
  • The process is repeated monthly and results are aggregated to provide cumulative performance across different time frames.
• Adjustments:
  • For single-country regions (e.g., US), data is adjusted using sector averages (Sector Adjusted).
  • For multi-country regions (e.g., Asia Pacific), data is adjusted using both country and sector averages (Country and Sector Adjusted).
  • These adjustments help differentiate factor impacts from sector or country impacts.

Key Information

Factor Performance Time Frames

• Last 1 Month: Performance of factor portfolios relative to the China A Shares market.
• Last 3 Months: Cumulative performance over three months.
• Last 6 Months: Cumulative performance over six months.
• Year to Date (YTD): Performance from the start of the year to the current date.
• 2018, 2017, 2016, 2015, 2014: Historical performance for each year.
• 1 Year: Performance over the past year.
• 3 Years Annualized: Annualized performance over three years.
• 5 Years Annualized: Annualized performance over five years.

Factor 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 company's ability to support shares with earnings.
• Cash Flow Yield: Annual cash flow per share divided by share price. Includes depreciation, amortization, and provisions.
• Sales to Price: Net sales per share divided by share price. Less susceptible to manipulation.
• EBITA to EV: Ratio of EBITDA to Enterprise Value. Measures profitability relative to total value.

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 growth rate of earnings over five years. Clear but subject to manipulation.
• Sales Growth 5Y: Average annual growth rate of net sales per share over five years. Less subject to reporting differences.
• Forecast Growth 12M: Consensus forecast of earnings growth for the next 12 months.
• Dividend Growth 5Y: Average annual growth rate of dividends over 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. Reflects company's ability to generate profit.
• Low Gearing: Negative of debt to equity. 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 determine portfolio size statistics.

Volatility Factors

• Market Beta: Slope coefficient from regression of security returns against market returns. Measures systematic risk.
• 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.

Additional Information

• Contact Details:
  • 谭悦 (Hong Kong): WeChat SA_Tina, Email Tina.Tam@StyleAnalytics.com
  • 王珏 (Shanghai): WeChat StyleAnalyticsNicole, Email Nicole.Wang@StyleAnalytics.com
• Global Reach: Style Analytics has offices in London, Boston, Montreal, Melbourne, Tokyo, Paris, Shanghai, and Sofia, offering support to investment professionals worldwide.

Conclusion

The report highlights the relative performance of different equity factors in the China A Shares market, providing insights into which factors have outperformed or underperformed over various periods. This information helps investors make informed decisions by understanding the systematic drivers of risk and return in their portfolios.