下面是小编为大家整理的StyleAnalytics-亚太地区（日本除外）因子业绩报告,供大家参考。
SEE
CLEARLY
WITH
FACTOR
ANALYSIS
s tyleanalytic s . c om
Factor Performance Report ASIA PACIFIC EX JAPAN Factor performance as of February, 2020
谭悦(香港)
微信 SA_Tina
邮箱 Tina.Tam@StyleAnalytics.com
王珏(上海)
微信 StyleAnalytics Nicole
邮箱 Nicole.Wang@ StyleAnalytics.com
Table of Contents
Introduction
................................................................................................................................................... 1 Methodology
.................................................................................................................................................. 2 Factor Performance Results
..................................................................................................................... 3 Last 1 Month
.......................................................................................................................................... 3 Last 3 Months
........................................................................................................................................ 4 Last 6 Months
........................................................................................................................................ 5 Year to Date
............................................................................................................................................ 6 2018 .......................................................................................................................................... 7 2017 .......................................................................................................................................... 8 2016 .......................................................................................................................................... 9 2015 ........................................................................................................................................ 10 2014 ........................................................................................................................................ 11 1 Year
.................................................................................................................................................... 12 3 Years Annualized
.............................................................................................................................. 13 5 Years Annualized
.............................................................................................................................. 14 Factor Definitions ........................................................................................................................................ 15
Introduction
Style Analytics is an independent, global software provider for investment professionals.
We enable asset owners, consultants and asset managers to build objective and comprehensive factor analysis on markets, peers and portfolios.
By creating transparency through factor exposures - the systematic drivers of portfolio risk and return - we help investment professionals validate and make strong investment decisions.
Previously known as Style Research, Style Analytics has over 20 years" experience in factor analysis and serves over 280 investment institutions across 30 countries.
Our breadth and depth of industry knowledge and expertise continues to bring superior tools and innovations to support our clients.
Methodology
The report covers the market relative performance of 23 individual equity factors. Each section covers a defined time frame which will provide context on how different factors performed.
To calculate the relative return of any single factor, we start by creating a single factor portfolio. To create the single factor portfolio, equity securities in the selected region are sorted in descending order according to a single equity factor (eg. Book to Price).
At the beginning of a calendar month, we select securities for our single factor portfolio by starting at the top of this sorted list and accumulating securities until the aggregate market cap of our single factor portfolio equals 50% of the total region market cap. This effectively gives us a “top half” of the market by our single factor (eg. the cheapest stocks according to Book-to-Price).* The set of securities are held until the end of the calendar month. The one month performance of that single factor portfolio is then measured versus the entire market.
The same construction process is performed each month, and the consecutive monthly returns are appropriately linked together to provide cumulative factor performance measures across different time frames.
This process is repeated using each of the different factors and the results are aggregated together. Applying the consistent
process across factors allows relative comparisons of the outperformance or underperformance of the various factors within a single region.
Notes on Adjustments:
For regions representing a single country (e.g. US), market and fundamental data at the individual security level (e.g. Book-to-Price) is adjusted such that sector-average relative data is used. This is termed “Sector Adjusted” analysis.
For regions representing multiple countries (e.g. Asia Pacific), market and fundamental data at the individual security level (e.g. Book-to-Price) is adjusted such that sector-average, within its country of domicile, relative data is used.
This is termed “Country and Sector Adjusted” analysis.
The rationale for these adjustments is to ensure that we are not confusing factor impacts with sector or country impacts.
* Market Cap = Top 70% of Market
-1.5
-1.0
-0.5
0.0
0.5
1.0
Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -1.1
-1.1
-1.1
-0.8
-0.7
-0.6
-0.4
-0.4
-0.4
0.0
0.0
0.1
0.1
0.1
0.3
0.3
0.3
0.4
0.7
0.8
0.8
0.8
Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific ex Japan Region 0.3
3
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -2.2
-1.8
-1.7
-1.4
-1.1
-1.2
-0.6
-0.5
-0.7
-0.2
0.1
0.0
0.2
0.7
0.9
0.8
0.9
1.0
1.3
1.6
1.8
1.8
Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific ex Japan Region 0.9
4
% 6 Months - Country and Sector Adjusted %
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
Book to Price Earnings Yield Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -2.9
-2.2
-2.2
-2.0
-1.7
-1.7
-0.4
-0.4
-0.5
-0.5
-0.5
-0.1
0.7
0.7
1.3
1.3
1.3
1.5
1.5
1.8
2.3
2.2
Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific ex Japan Region 1.3
5
% YTD - Country and Sector Adjusted %
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
Book to Price Earnings Yield -2.0
-1.5 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1 -1.8
-1.7
-1.4
-1.1
-0.9
-0.7
-0.7
-0.3
0.1
0.1
0.1
0.3
0.4
0.4
0.5
0.6
1.0
1.1
1.6
1.6 Value
Yield
Growth
Quality
Size Volatility
Momentum
Forecast 12M Revisions
* Market Cap = Top 70% of Asia Pacific ex Japan Region 0.9
6
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
Book to Price Earnings Yield -3.8
-3.3 Cash Flow Yield Sales to Price EBITDA to EV Dividend Yield Shareholder Yield Dividend Growth 5Y Earnings Growth 5Y Sales Growth 5Y Forecast Growth 12M Return on Equity Net Profit Margin Earnings Growth Stability Sales Growth Stability Low Gearing Market Cap (Large Cap)* Market Beta Daily Volatility 1Y Volatility 3Y Momentum ST Momentum 12-1
-3.4 -3.0
-2.7
-2.6
-1.4
-0.7
-0.3
-0.3
-0.1
0.0
0.6
0.5
1.6
2.2
...