20200317-Style_Analytics-Factor_Performance_Report__DEVELOPED_MARKETS_22页_1mb

报告摘要

Factor Performance Report Summary

Core Content

This report provides a detailed analysis of the performance of 23 individual equity factors in developed markets as of February 2020. The factors are categorized into Value, Yield, Growth, Quality, Size, and Volatility groups, each contributing to the understanding of portfolio risk and return drivers. The report aims to offer investment professionals with objective and comprehensive insights into factor performance, enabling them to validate and make informed investment decisions.

Methodology

Factor Portfolio Construction: Each factor is used to sort equity securities in the selected region in descending order. Securities are accumulated until the aggregate market cap of the factor portfolio equals 50% of the total region market cap, effectively capturing the "top half" of the market based on that factor.
Performance Measurement: The one-month performance of each factor portfolio is measured against the entire market. This process is repeated monthly, with cumulative returns calculated to reflect performance across different time frames.
Adjustments:
- For single-country regions (e.g., US), "Sector Adjusted" analysis is applied, using sector-average relative data.
- For multi-country regions (e.g., Asia Pacific), "Country and Sector Adjusted" analysis is used, ensuring that factor impacts are not conflated with sector or 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 after-tax earnings support.
Cash Flow Yield: Annual cash flow per share divided by share price. Includes depreciation and provisions.
Sales to Price: Net sales per share divided by share price. Less susceptible to manipulation.
EBITA to EV: EBITDA divided by Enterprise Value. Measures operational performance relative to valuation.

Yield Factors

Dividend Yield: Annual dividend per share divided by share price. Captures 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. Based on pro-rata forecasts.
Dividend Growth 5Y: Average annual growth rate of dividends 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 relative to equity.
Net Profit Margin: Net income (before preferred dividends) divided by net sales. Reflects profitability potential.
Low Gearing: Negative of debt to equity. Indicates lower financial risk.
Earnings Growth Stability: Negative of the standard deviation of earnings growth over the last three years. Measures consistency.
Sales Growth Stability: Negative of the standard deviation of sales growth over the last three years. Measures consistency of sales performance.

Size Factors

Market Cap: Market capitalization of the stock. Used to define portfolio size statistics.

Volatility Factors

Market Beta: Slope coefficient from the 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 36 months, annualized.
Momentum Factors:
- Momentum ST: 6-month weighted average of monthly returns, with a decay ratio of 2/3. Captures trend-following performance.
- Momentum 12-1: Total return over the last 12 months excluding the most recent month. Helps identify reversal effects.
- Forecast 12M Revisions: Percentage of earnings forecast revisions over the next 12 months. Reflects analyst sentiment and expectations.

About Style Analytics

Company Overview: Style Analytics is an independent, global software provider for investment professionals, offering factor analysis tools to asset owners, consultants, and managers.
Experience: Over 20 years of expertise in factor analysis, serving more than 280 investment institutions across 30 countries.
Mission: Enhances transparency through factor exposures, aiding in the validation of investment decisions.