20200312-Style_Analytics-Factor_Performance_Report__CHINA_22页_2mb

Factor Performance Report Summary - China

Core Content

This report provides an analysis of the performance of 23 individual equity factors in the Chinese market as of February 2020. It is designed to help investment professionals understand how different factors influence portfolio risk and return, and to support objective decision-making through factor exposures.

Main Points

• Factor Types Covered: The report includes Value, Yield, Growth, Quality, Size, and Volatility factors.
• Performance Periods: Performance is analyzed across various time frames including 1 month, 3 months, 6 months, Year-to-Date (YTD), 2014–2018, and 1-year, 3-year annualized, and 5-year annualized periods.
• Methodology: Each factor is analyzed by constructing a single factor portfolio that includes the top 70% of the market by the specific factor (e.g., Book to Price). The performance of this portfolio is then compared to the overall market for the given time frame.
• 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.
• Factor Definitions:
  • Value Factors: Include Book to Price, Earnings Yield, Cash Flow Yield, Sales to Price, and EBITA to EV.
  • Yield Factors: Include Dividend Yield and Shareholder Yield.
  • Growth Factors: Include Earnings Growth 5Y, Sales Growth 5Y, Forecast Growth 12M, and Dividend Growth 5Y.
  • Quality Factors: Include Return on Equity, Net Profit Margin, Low Gearing, and Earnings Growth Stability.
  • Size Factors: Include Market Cap.
  • Volatility Factors: Include Market Beta, Daily Volatility 1Y, and Volatility 3Y.
  • Momentum Factors: Include Momentum ST and Momentum 12-1.

Key Information

• Factor Construction: Each factor portfolio is built by sorting securities in descending order based on the factor and accumulating until the portfolio's market cap equals 50% of the total market cap.
• Performance Measurement: The performance of each factor portfolio is measured against the entire market for the given time period.
• Data Sources: The report is produced by Style Analytics, a global software provider with over 20 years of experience in factor analysis and serving over 280 investment institutions across 30 countries.
• Contact Information:
  • 谭悦 (Hong Kong): WeChat SA_Tina, Email Tina.Tam@StyleAnalytics.com
  • 王琦 (Shanghai): WeChat StyleAnalyticsNicole, Email Nicole.Wang@StyleAnalytics.com
• Global Offices: Style Analytics has offices in London, Boston, Montreal, Melbourne, Tokyo, Paris, Shanghai, and Sofia.

Summary of Factor Performance

• The report includes visual representations of factor performance for each time frame, highlighting trends and relative returns.
• Performance is presented in a "Sector Adjusted" format, which aims to isolate factor effects from sector or country-specific influences.
• The methodology ensures consistency across factors, allowing for meaningful comparisons of their performance over different periods.

This comprehensive report serves as a valuable tool for investment professionals to evaluate the historical and forecasted performance of various factors in the Chinese market.