20200312-Style_Analytics-Factor_Performance_Report__US_22页_1mb

Factor Performance Report Summary (February 2020)

Core Content

This report provides an analysis of the performance of 23 individual equity factors relative to the US market from February 2020. The factors are categorized into Value, Yield, Growth, Quality, Size, and Volatility factors, each with specific definitions and calculation methods. The performance is measured by constructing single factor portfolios that include the top 50% of the market by the respective factor, while ensuring the portfolio's market cap equals the top 70% of the total market cap. The results are presented for different time frames, including 1 month, 3 months, 6 months, Year to Date (YTD), and various annualized periods.

Main Points

• Factor Construction Methodology:

  • Single factor portfolios are created by sorting equities by a specific factor and selecting the top 50% by market cap.
  • The methodology ensures that factor performance is isolated from sector and country effects.

• Performance Periods Covered:

  • 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 Categories:

  • Value Factors: Book to Price, 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, 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, Momentum 12-1, Forecast 12M Revisions

Key Information

• Sector Adjusted Analysis: For single-country regions like the US, the data is adjusted to reflect sector-average relative values, ensuring factor performance is not conflated with sector or country effects.
• Factor Definitions:
  • Book to Price: Ratio of book value to share price, used to measure intrinsic value.
  • Earnings Yield: Annual earnings per share divided by share price, reflecting a company's ability to support its shares with after-tax earnings.
  • Cash Flow Yield: Annual cash flow per share divided by share price, capturing cash availability.
  • Sales to Price: Net sales per share divided by share price, a less manipulable but less comprehensive valuation measure.
  • EBITA to EV: EBITDA to Enterprise Value ratio, used to assess company value based on operational performance.
  • Dividend Yield: Annual dividend per share divided by share price, reflecting dividend income.
  • Shareholder Yield: Sum of Net Buyback Yield, Dividend Yield, and Net Debt Paydown Yield, indicating the proportion of value distributed to shareholders.
  • Earnings Growth 5Y: Average annual earnings growth over the past five years, a clear but potentially delayed growth metric.
  • Sales Growth 5Y: Average annual sales growth per share, less susceptible to reporting differences.
  • Forecast Growth 12M: Consensus forecast for earnings growth over the next 12 months.
  • Dividend Growth 5Y: Average annual growth rate of dividends over the past five years.
  • Return on Equity (RoE): Net income after preferred dividends divided by common equity, used to measure profitability.
  • Net Profit Margin: Net income divided by net sales, indicating profitability potential.
  • Low Gearing: Negative of debt to equity, representing lower financial risk.
  • Earnings Growth Stability: Negative of standard deviation of earnings growth over the last three years.
  • Sales Growth Stability: Negative of standard deviation of sales growth over the last three years.
  • Market Cap: Market capitalization of the stock, used to measure size.
  • Market Beta: Slope coefficient from a regression of security returns against market returns, indicating sensitivity to market movements.
  • 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 three years, expressed as an annualized percentage.
  • Momentum ST: 6-month weighted return factor, useful for identifying performance trends.
  • Momentum 12-1: Total return over the last 12 months excluding the most recent month to avoid reversal effects.
  • Forecast 12M Revisions: Measure of earnings forecast revisions, indicating market expectations and analyst sentiment.

About Style Analytics

• Company Overview: Style Analytics is an independent, global software provider for investment professionals, offering tools for factor analysis on markets, peers, and portfolios.
• Experience: Over 20 years of experience in factor analysis, serving more than 280 investment institutions across 30 countries.
• Mission: To provide transparency through factor exposures, helping investment professionals validate and make informed decisions.

Global Reach

• Contact Information:
  • London: +44 20 7467 5500
  • Boston: +1 617 424 8080
  • Montreal: +1 514 393 0101
  • Melbourne: +613 9225 5040
  • Tokyo: +81 3 5219 1279
  • Paris: +33 173442897
  • Shanghai: +86 21 28909032
  • Sofia: +359 2 805 7126

Summary

This report offers a detailed analysis of equity factor performance in the US market, using a consistent methodology to isolate factor effects from sector and country influences. The factors are categorized and defined to provide a comprehensive view of investment characteristics, including value, yield, growth, quality, size, and volatility. The results are presented across various time frames, enabling investors to assess performance trends and make informed decisions. Style Analytics, with its extensive experience and global presence, is a trusted provider of factor analysis tools for the investment community.