Style Research

Monthly Style Summary to End April 2012

Peter — Fri, 04 May 2012 09:05:01 +0000

Outside of Pacific ex Japan, during April markets gave back some of their first quarter gains, and especially in the Eurozone, where economic, and increasingly, political uncertainty resurfaced. Against this backdrop of retrenchment, Value continued to underperform on a broad basis, well beyond the traditional Value sectors. And Growth, whether based on historic, current or forecast measures, performed strongly in the most coherent display of factor returns for many months. Momentum and (low) Beta strategies were also rewarded.

The 3 Month Style Map shows the stark contrast between Value and Growth factors over the period. Curiously, in the UK, where Dividend Yield fared well, the 3 month rewards were limited to forward looking Growth, but even this market conformed to the Growth ‘good’, Value ‘bad’ story through April. Though the economic environment would currently seem to be more favourable for Value, if profits falter and Growth is perceived as the scarce resource, investors will seek out those stocks believed to have the best potential and bid up their prices. The continuing Growth rally may reflect such fears.

Equity Performance Study

admin — Wed, 02 May 2012 14:24:12 +0000

Using mutual fund holdings from the Style Research Funds Analyzer, and analysis from the Portfolio Analyzer, this webinar aims to shed light on the sources of performance of equity funds over the first half of 2012. We will examine the main drivers of equity returns, from a country, sector and Style perspective, and investigate the extent to which these themes impacted fund performance, via both asset allocation and security selection.

ESG

admin — Wed, 02 May 2012 14:22:28 +0000

The Style Research Portfolio Analyzer incorporates factors to analyze Environmental, Social Responsibility and Corporate Governance (“ESG”) factors within investment portfolios alongside traditional equity Style factors.

This webinar will demonstrate how to use the data available from Trucost, Governance Metrics International (GMI) and MSCI (RiskMetrics and KLD) within the Portfolio Analyzer to analyse portfolios and understand more about their implicit statements and broad environmental, social and management risks.

Styles in Asia Pac x Japan

admin — Wed, 02 May 2012 14:20:54 +0000

It is understood that Sector Investment can be a key driver of portfolio returns over time, but the benefits of Style Investment are less well documented. Style Research has been investigating this area of investment, and an analysis of the Asia Pacific x Japan region over the last 10 years suggests that Style investing has delivered regular and progressive outperformance and at a significantly lower level of volatility risk than sector investing. This webinar provides an overview of the findings of this research.

Style Research Markets Analyzer

admin — Wed, 02 May 2012 14:19:27 +0000

The Markets Analyzer provides direct access to our 20 year database of security fundamentals and stock returns and enables users to conduct flexible analysis of portfolio characteristics and performance of theme-based investment strategies within markets and across regions.

This webinar will demonstrate how to use the Markets Analyzer both for individual queries as well as for batch run analyses and will also explain how to interpret the statistical analysis and data in the output files. The webinar will finish with a demonstration of how to use the Markets Analyzer together with the Portfolio Analyzer to shed some light on a current finance theory debate.

Macro Factors

admin — Wed, 02 May 2012 14:16:08 +0000

Style Research recently added six Macro Economic Betas to both the Portfolio Analyzer and the Markets Analyzer. Each beta provides an estimate of the linear relationship between a stock’s share price and the macro economic factor.

This Webinar will give a beginner’s guide to Macro Economic Beta estimation. It will highlight the issues that need to be considered when applying linear regression analysis to financial data and will discuss the interpretation of the factors.

Peer Group Comparisons

admin — Wed, 02 May 2012 14:07:05 +0000

This webinar will focus of the Style trends experienced during the first quarter and their impact on fund returns. It will also look at the recent trends among product launches and how this compares to the past.

Financial Times Interview with Style Research – Investing with Style

Robert — Thu, 26 Apr 2012 15:02:24 +0000

Value investors are faring poorly, despite market conditions that usually favour them. Why? John Authers, Long View Columnist and Robert Schwob, Principal at Style Research, dig into the factors behind value’s under performance.

FT Investing with Style

Some of the ideas discussed within this interview relate to research detailed within the Global Style Perspectives (GSP) and Monthly Style Summary . For more information, please contact Style Research at london@styleresearch.com.

Style Performance Focus – Global Equities – Q1 2012

admin — Mon, 23 Apr 2012 15:10:34 +0000

The Global Equity region performed strongly in Q1 2012, recovering almost all losses from 2011. Against this backdrop, and with much of the market sentiment seemingly driven by “risk on, risk off” type considerations, it was not surprising that High Beta stocks outperformed the market in Q1 2012. This was a partial reversal of the very strong underperformance of High Beta stocks in 2011. In addition, High Momentum stocks underperformed in the first quarter.

All of our default Value factors (six blue bars) saw some positive relative performance in Q1 except for High Dividend Yield which underperformed. Recall that High Dividend Yield was a very strong style in 2011 as investors sought the relative security of higher dividends in a difficult market.

Among the default Growth factors (six green bars), High Forecast (12 Month) Earnings Growth was the only discernible outperforming growth factor globally. High Forecast Growth actually underperformed within each of the Emerging Markets and Asia Pacific regions, both regions with convincing strong Value outperformance in Q1 2012.

Although High ROE stocks and those with High Profit Margins also performed strongly during the flight to quality in 2011, interestingly there has not been any significant underperformance in these styles during Q1 2012. Stocks with High Debt/Equity underperformed in 2011 but did recover slightly during Q1 2012.

High Foreign Sales (defined as % sales outside the home market) outperformed the global market in Q1 2012. Our research shows that this has been the case throughout major equity markets and regions, potentially reflecting an increased “risk on” confidence in global markets during the quarter.

Summary :-

Global Equity Style Outperformers Q1 2012:-

High Beta
High Foreign Sales
High Forecast Earnings Growth
Value, except for High Dividend Yield
High Debt/Equity

Global Equity Style Underperformers Q1 2012:-

High Momentum
High Dividend Yield

Global Equity Fund Performance 2011 Study

Peter — Tue, 10 Apr 2012 13:20:10 +0000

This study examines the sources of performance for Global Equity mutual funds over calendar 2011. It is derived from a series of holdings based performance attribution analyses which are used to determine the most important contributors to performance across funds.

Style Research has been collecting mutual fund holdings data for several years and has now built up a database covering in excess of 15,000 products worldwide. This is used extensively in our Style Research Funds Analyzer service, and we have employed this data in our fund performance research.

In this investigation we separate out the fund returns due to country positioning from that due to stock selection within countries. And we also look at a similar decomposition using the sectors and Styles that were most interesting over the year.

Click here to download the study - Global Equity Fund Performance 2011 Study