Factor Investing in China A look at A-shares
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1 Factor Investing in China A look at A-shares Yogesh Padmanabhan Portfolio Manager & Head of Best Styles EM strategies JP Morgan Macro Quantitative Conference Hong Kong February 2017 For Institutional/Professional Investor use only. Not for public distribution
2 About Allianz Global Investors Owned by Allianz SE one of the world s largest and most financially robust organizations AuM of EUR 481bn * across Equity, Fixed Income, Multi Asset and Alternatives 25 locations worldwide global investment and research capabilities with consultative local delivery 600+ investment professionals, 10+ years average tenure of Portfolio Managers, 550+ relationship managers AuM by asset class Alternatives EUR 17 bn (3%) Multi Asset EUR 118 bn (25%) Equity EUR 139 bn (29%) Equities Fixed Income Value, Core, Growth, Risk-optimized, Sector and Specialty High Yield, Convertible, Credit, Aggregate, Advanced Fixed Income, Emerging Market Debt Asset liability management Investment advice Portfolio risk analytics and consulting Alternatives Options Strategies, Commodities, Infrastructure Debt and Equity, Volatility, Global Macro, Long/Short Equities, Merger Arbitrage Pension solutions Fiduciary services Fixed Income** EUR 207 bn (43%) Multi Asset Global Tactical Asset Allocation, Target Date and Target Risk, Dynamic Risk Management, Risk Parity, Liability-Driven Investments USA DALLAS NEW YORK SAN DIEGO SAN FRANCISCO EUROPE BRUSSELS DUBLIN FRANKFURT LONDON LUXEMBOURG MADRID MILAN MUNICH PARIS ROTTERDAM STOCKHOLM STUTTGART ZURICH ASIA PACIFIC HONG KONG SEOUL SINGAPORE SYDNEY TOKYO TAIPEI TAICHUNG KAOHSIUNG Our clients benefit from our global resources and deep understanding of investments * As at 30 September Source: Allianz Global Investors. Any differences in totals are due to rounding. ** Includes money market. 2
3 Best Styles Global Developed Best Styles Europe Best Styles Europe Best Styles Emerging Markets Best Allianz Global Investors Systematic Equity is one of the leading providers of systematic investment solutions o Successful Systematic Equity management since 1996 o USD 41bn AuM in Systematic Equity products, whereof USD 1.3bn in Best Styles Emerging Markets assets* o One of the longest track records in the industry for factor investing with Best Styles Global Developed running since 1999 o Strong Performance: Best Styles Global outperformed the benchmark in each five year rolling period since its inception in 1999 Best Styles Global Developed Best Styles Europe Best Styles Emerging Markets 140 COMP0189 Outperformance in 157 of year periods as at 31/12/ COMP0405 COMP0405 Outperformance Outperformance in in of of year 5-year periods periods as as at at 31/12/ /12/ COMP0190 Outperformance in 30 of 30 3-year periods as at 31/12/ MSCI WORLD Total Return (Net) MSCI MSCI EUROPE EUROPE WEIGHTED WEIGHTED MSCI Emerging Markets Total Return (Net) Stable outperformance of all systematic Best Styles equity composites since inceptions Past performance is not a reliable indicator of future results. Unless otherwise noted, index returns are presented as total returns, which reflect both price performance and income from dividend payments, if any, but do not reflect fees, brokerage commissions or other expenses of investing. Please see the Appendix for additional disclosures and GIPS presentation for the composite presented above. Please also consider the risks and notes at the end of the presentation. Figures gross of fees. Please also consider the risks and notes at the end of the presentation. Source: IDS; data as of 31/12/2016, preliminary data in USD. 3
4 USD bn What is China Equity? Shanghai A-shares Shenzhen A-shares HK-listed China stocks US-listed ADRs Total Total Market Cap (USD bn) Number of stocks Number of stocks with Avg. Daily Traded Value > US$ 10m Average daily traded value (US$ bn ) Shanghai Shenzhen HK-Listed stocks US-listed ADRs Source: Allianz Global Investors, HSBC. As at January
5 China is very dynamic with quick changes in market sentiment Shanghai Composite has had twice as many down years in the last 25 years vs. S&P500 Shanghai Composite S&P % 26.3% % 4.5% % 7.1% % -1.5% % 34.1% % 20.3% % 31.0% % 26.7% % 19.5% % -10.1% % -13.0% % -23.4% % 26.4% % 9.0% % 3.0% % 13.6% % 3.5% % -38.5% % 23.5% % 12.8% % 0.0% % 13.4% % 29.6% % 11.4% % -0.7% % 9.5% 2017 (YTD) 1.7% 2.5% Shanghai Composite has had 12 down years compared with 6 for the S&P500 in the last 25 years Shanghai Composite has had 5 down years vs. 2 for the S&P500 in the last 10 years Retail investors have a large presence in China, providing liquidity, and contributing to large swings Large breadth, large depth make China a good testing ground for quantitative investing Risk management is critical to survive the bouts of volatility Source: Allianz Global Investors, Bloomberg, data as of 31 st January
6 performance stability (Tracking Error in % p.a.) Performance success of factors in China A-Shares Excess Return and Tracking Error for typical stock selection criteria 4% Stable excess returns payout op-cy upgrades 1m Revisions 9% evebitda change in roe rnoa debtasset ebitint netmarg breadth of earnings roe estimates by 12m fwd trailing eps growth 5y merton 24m ex 3m momentum 12m ex 1m momentum cy gross margin eps growth 12m ex 3m momentum rev 1m ey 12m tr ey 12m fwd dy 12m fwd cps growth upgrades 6m by dps growth rev 3m sy rev 6m 1m mean reversion upgrades 3m 6m mean reversion 12m mean reversion 3m mean reversion LowVol High excess returns Value Momentum Quality Growth Mean Reversion -5% 0% 5% 10% Relative Return (p.a.) Source: AllianzGI, , relative performance of the most attractive top 20% of the factor, implemented on a sector neutral basis vs. an equal weighted benchmark. Calculations performed by the portfolio management team. Not independently verified. 6
7 Correlation analysis of single factors sy ey by cy evebitda op_cy by_12m_fwd ey12m_tr dy_12m_fwd ey_12m_fwd reversion_1m reversion_3m reversion_6m reversion_12m debtasset highvol eps_growth cps_growth dps_growth trailing_eps_growth_ upgrades_3m upgrades_1m upgrades_6m rev6 rev3 rev1 rnoa roe payout net_margin gross_margin merton ebitint change_in_roe momentum_12x1m momentum_12x3m momentum_24x3m sy ey by cy evebitda op_cy by_12m_fwd ey12m_tr dy_12m_fwd ey_12m_fwd reversion_1m reversion_3m reversion_6m reversion_12m debtasset highvol eps_growth cps_growth dps_growth trailing_eps_growth_5y upgrades_3m upgrades_1m upgrades_6m rev rev rev rnoa roe payout net_margin gross_margin merton ebitint change_in_roe momentum_12x1m momentum_12x3m momentum_24x3m Source: AllianzGI, , relative performance of the most attractive top 20% of the factor, implemented on a sector neutral basis vs. an equally weighted benchmark. Calculations performed by the portfolio management team. Not independently verified. 7
8 Cluster Analysis 8
9 Relative performance of the Best Styles investment factors Value, Revisions, Momentum, Quality, Growth, Low Risk, Mean Reversion and Small Cap Beta 12% 10% 8% 6% 4% 2% 0% -2% Value Revisions Momentum Quality Growth Low Risk Mean Reversion Small Cap Source: Allianz Global Investors, as at 31/03/2016. Past performance is not a reliable indicator of future results. 9
10 Relative performance of Value factors Value measures on earnings and dividend outperform those based on book value Dividend Yield Cash Yield Earnings Yield Book Yield Op. Cash Yield Ebitda to EV Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 10
11 Relative performance of Revisions factors Revisions works better over a longer time frame in China: 3M and 6M revisions outperform 1M revisions M EPS Revisions 6M EPS Revisions Upgrades / Downgrades ratio 3M 1M EPS Revisions Upgrades / Downgrades ratio 6M Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 11
12 Relative performance of Momentum factors Momentum is weak across the board in China on most measures Typical definitions of momentum underperform x3M Price Momentum 12x1M Price Momentum 24x1M Price Momentum 6M Price Momentum 3M Price Momentum Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 12
13 1M Momentum 2M Momentum 3M Momentum 4M Momentum 5M Momentum 6M Momentum 7M Momentum 8M Momentum 9M Momentum 10M Momentum 11M Momentum 12M Momentum 13M Momentum 14M Momentum 15M Momentum 18M Momentum 24M Momentum 36M Momentum Momentum strategies do not work over any horizon in China, unlike in the developed world 0.4 Information Ratio of Momentum strategies Developed World China Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 13
14 Relative performance of Mean Reversion factors Mean Reversion is very strong in China on all horizons Mean Reversion performs strongly even when rebalanced at lower frequencies M Mean reversion 12M Mean Reversion 1M Mean Reversion 6M Mean Reversion Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 14
15 Relative performance of Growth factors Backward looking growth measures are weak overall Trailing 1Y Sales Growth Trailing 3Y Sales Growth Trailing 3Y EPS Growth Trailing 1Y EPS Growth Trailing 12M Net Margin Growth Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 15
16 Relative performance of Quality factors Low Vol shows better performance than other quality measures RNoA RoE Merton Distance to Default Net Margin Debt/Assets Low Vol Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment factors vs. an equal weighted benchmark. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 16
17 Performance of key investment styles in China vs. Emerging Markets vs. Developed Markets Momentum is the clear outlier in the China A-share market compared with Emerging Markets and Developed Markets 14% Relative Return 12% 10% 8% 6% 4% China EM DM 2% 0% -2% Value Revisions Momentum Quality Growth Low Risk Size Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment styles vs. an equal weighted benchmark, implemented on a sector neutral basis. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 17
18 Impact of rebalancing frequency on Investment Style performance Most investment style performance decays sharply at rebalancing frequencies longer than 6m. Rebalancing every 3-6 months can be a good strategy after costs Information Ratio Rebalancing Period 1m 2m 3m 6m 9m 12m Value Revisions Momentum Quality Growth Low Risk Mean Reversion Relative Return p.a. Rebalancing Period 1m 2m 3m 6m 9m 12m Value 5.2% 4.3% 2.9% 2.7% 0.8% 0.5% Revisions 8.5% 6.4% 5.1% 3.7% 4.4% 2.5% Momentum -0.3% -1.9% 0.5% -3.2% -4.3% -3.6% Quality 1.8% 1.1% 1.3% 0.5% 0.1% 0.3% Growth 3.1% 3.1% 2.6% 1.5% 2.3% 2.9% Low Risk 6.9% 6.1% 5.1% 2.7% 2.3% 2.0% Mean Reversion 7.9% 5.3% 4.3% 2.8% 3.4% 1.9% Source: Allianz Global Investors, as at 31/12/2016. Past performance is not a reliable indicator of future results. Calculated as using equal weighted quintile portfolios of investment styles vs. an equal weighted benchmark, implemented on a sector neutral basis. Data since 30/11/2004. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity.
19 Investment styles can have prolonged periods of lackluster performance Relative performance of investment styles for a China universe 180% 160% 140% 120% 100% 80% 60% 40% 20% 0% -20% % Valuation Revisions Successful style investing needs to address the short-term volatility of investment styles Dec 2004 Oct 2016: Historic simulation: Monthly rebalancing, performance before transaction costs. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 19
20 Investment style diversification is key to stable outperformance The outperformance path of a diversified investment style mix of Value and Revisions is much more stable Relative performance of investment styles for a China universe 160% 120% 80% 40% 0% % Valuation Revisions Diversified Style Mix Investment style diversification: marrying attractive performance to high performance stability Dec 2004 Oct 2016: Historic simulation: Monthly rebalancing, performance before transaction costs. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity. 20
21 Improving performance through combination of Value and Revisions Information Ratio 1 month rebalancing 3 month rebalancing 6 month rebalancing Value Revisions Best Styles Combination Separately, Value and Revisions are both risks that are priced in the China A-share market. However, both these styles suffer from periods of prolonged underperformance A combination of these two negatively correlated styles can result in a much more stable performance Using long term correlation structure, Best Styles strategies target style allocations that can outperform over the entire business cycle Dec 2004 Dec 2016: Historic simulation: performance before transaction costs. Unlike actual performance data, simulations are not based on actual transactions; thus, their significance underlies inherent limitations. Simulations are not able to account for the impact of actual portfolio trading as it may have been affected by economic and market factors, such as a lack of liquidity.
22 beta GDP 10 yrs interest rates FX Oil Consumer Confidence Mfg PMI Services PMI Energy Financials Shanghai Shenzhen Standardized exposure US Combination of rewarding investment styles still not sufficient Unmanaged exposure to non rewarding risks can threaten outperformance Investors risk piling on to overcrowded macro exposures or trades Portfolio with diversified exposures to investment styles but unmitigated exposures to non-rewarding risks Blend of smart beta factors Target range un-managed risks Establishing an exposure to the rewarding risks of investment styles means loading up also unrewarding risk factors, such as interest rates risk, oil price risks, sector risks, policy risks, etc. For illustrative purposes only Source: Allianz Global Investors, Bloomberg
23 Summary China has the potential to be to Emerging Markets what the US is presently to the global developed equity markets The depth and breadth of stocks in China provides a good testing ground for factor investors to test their strategies Many traditional investment styles can be harvested for risk premia in Chinese A-shares similar to the experience in Developed Markets China also opens up the opportunity to explore new factors like mean reversion as a means of delivering excess returns Diversification is the key to better risk-adjusted performance. Factors can be combined in various ways to improve risk adjusted performance Risk management is as important as ever for achieving stable outperformance over the long term
24 Disclaimer This material is intended for the use of investment consultants and other institutional/professional investors only, and is not directed to the public or individual retail investors. This material is provided for the personal use of the recipient or addressee who is reasonably believed to be within one of the professional investor exemptions contained in the Securities and Futures Ordinance or professional/qualified investors in relevant jurisdiction for information purposes only. In this document, AllianzGI refers to individual companies that are ultimate subsidiaries of Allianz SE and operate under the AllianzGI brand, including Allianz Global Investors Asia Pacific Limited. If you would like a complete list of such individual companies, please let us know. Any form of publication, duplication, extraction, transmission and passing on of the contents of this material is impermissible and unauthorised. No account has been taken of any person s investment objectives, financial situation or particular needs when preparing this document. This is not an offer to buy or sell, or a solicitation or incitement of offer to buy or sell, any particular security, strategy, investment product or services nor does this constitute investment advice or recommendation. There is no assurance that any securities discussed herein will remain in the portfolio at the time you receive this document. The views and opinions expressed in this document, which are subject to change without notice, are those of Allianz Global Investors Asia Pacific Limited and/or its affiliated companies at the time of publication. While we believe that the information is correct at the date of this presentation, no warranty of representation is given to this effect and no responsibility can be accepted by us to any intermediaries or end users for any action taken on the basis of this information. Some of the information contained herein including any expression of opinion or forecast has been obtained from or is based on sources believed by us to be reliable as at the date it is made, but is not guaranteed and we do not warrant nor do we accept liability as to adequacy, accuracy, reliability or completeness of such information. The information is given on the understanding that any person who acts upon it or otherwise changes his or her position in reliance thereon does so entirely at his or her own risk without liability on our part. There is no guarantee that any investment strategies and processes discussed herein will be effective under all market conditions and investors should evaluate their ability to invest for a long-term based on their individual risk profile especially during periods of downturn in the market. Investment involves risks, in particular, risks associated with investment in emerging and less developed markets. Any past performance, prediction, projection or forecast is not indicative of future performance. Investors should not make any assumptions on the future on the basis of performance information in this document. The value of an investment and the income from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested. This material has not been reviewed by the Hong Kong Securities and Futures Commission. Issuer of this material: Allianz Global Investors Asia Pacific Limited
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