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Key Quantitative Strategy Observations
• Country Observations: Thailand, Malaysia and Taiwan remain the three most attractive markets. Thailand replaces Malaysia as the most attractive market due to further
improvement in earnings momentum. Australia and India remain the two-least attractive markets. Hong Kong replaces China as the third-least attractive market.
• Factor Observations:
– Value remains solid through the volatility – and we think will remain so during this second leg down. Once again, however, we do not believe this applies as a blanket
across Australia, while the risk to earnings forecasts and hence value traps remains high (notwithstanding individual cases).
– New Factors: This month we have added five additional factors: 1 year PEG, 2nd year EPS growth, price to book, analyst forecast risk (CV), and size. Of these, we
have found that the PEG factor works well, with a long/short performance of 28.3% (total return CAGR), and the highest information ratio (IR) of all factors thus far at
2.83. 2nd year EPS growth works well on the short only side, with -1.8% relative performance (average annual). We have also included Taiwan.
– Long/Short:
– Value: Dividend yield continues to be the strongest long/short factor, returning 29.2%* (total return CAGR since 2001) and an information coefficient of 2.62. As
mentioned, PEG is also very strong. P/E is consistently strong, with 20.1%*. Our other new value factor, price to book, is weaker than the other value factors,
returning 14.3%*.
– Momentum: Earning revisions are stronger than price momentum, with 3 month earnings revisions returning 14.3%* (IR of 1.97), 12 month price momentum
returning 10.9%*, and 3 month price momentum weak at -14.5%*.
– Growth: 1st year and 2nd year EPS growth across Asia Pacific have returned 10.1%* and 9.5%*, respectively. We have found 2nd year EPS growth works better
as a short only strategy, but is not a preferred long/short strategy.
– Size: small caps are sharply underperforming large caps on a size long/short basket
– Long Only: Top performing long only strategies are once again low P/E (active CAGR 21.3%), PEG (active CAGR 21.0%), Dividend Yield (active CAGR 18.5%), and
Price to Book (active CAGR 15.7%). The bottom performers on the long only side are forecast coefficient (active -0.3%), and price momentum factors.
– Short Only: For investors looking for shorts on their own, the top performing (bottom quintile) factors are dividend yield (-8.4% active CAGR), 2nd year EPS growth
(active CAGR -1.8%), PE (active CAGR -0.9%), and momentum factors.
• Factor and Stock Preferences – value for a second leg down
– If you believe the market is in for near-term weakness (as we do in Australia), then our quant analysis suggests that the pan Asia Pacific factors that work the best
during a second leg down will continue to be value factors, notably P/E and dividend yield. Not only did these factors hold up during recent turmoil before the relief
rally, but an analysis of the second leg down during the previous bear market (Feb 2002 – Mar 2003) also shows that they were the strongest performers – P/E
average L/S return during this period was +2.4%, dividend yield +3.3%.
– Top ranked stocks on P/E with O/W ratings: Orient Overseas International (Hong Kong; 0316.HK, HK$48.30), Chi Mei Optoelectonics (Taiwan; 3009.TW,
NT$38.90), GS Holdings (Korea; 078930.KS, W45,000). Bottom ranked on P/E with U/W rating: Hynix Semiconductor (Korea; 000660.KS, W29,200).
– Bottom div yield with U/W rating: Air Asia (Malaysia; AIRA.KL, RM0.88), Daum Communications (Korea; 035720.KQ, W65,000).
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