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University of the Western Cape

Faculty of Economic and Management Sciences School of Business and Finance

Finance Research Proposal
Topic 10: Style Investing

Student Number 3077722 3060299 3008952 2901871 3116853

Name MBE BERLIN HERVE MAHLANGU THUBELIHLE P. MATEMBA STELLAH LUGOLOOBI DENNIS NKONGHO MITTERAND ENOW

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ABSTRACT Graham and Dodd laid out a plan for how investors in any environment might sort through hundreds or even thousands of common stocks, preferred shares, and bonds to identify those worthy of investment and remarkably, their approach is essentially the same one that value, growth and contrarian investors employ today. The objective of this essay is to outline empirical evidence on the achievement by investors using contrarian strategies, value and growth styleinvesting. A performance analysis of well ranked international funds investing on developed and emerging markets assets is used to point to the success of the above mentioned investment strategies. A returns comparison of the Columbia Contrarian Core fund, the Vanguard Capital Value Fund, Thornburg Developing World Fund, Virtus Emerging Markets Opportunities Fund and the Oppenheimer International Growth Fund with their benchmark the S&P 500 TR index and MSCI EAFE NR USD index is illustrated. The results showed that those funds have outperformed the above indexes from December 2002 to February 2013.

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1 Columbia Contrarian Core Fund 5.1 Developed Markets Fund 5.Table of Contents Page Abstract 1.1 Overview 3.2.3.1 Thornburg Developing World Fund 5.1.2 Empirical Evidence 4. Contrarian Strategies and Momentum Style 2. Introduction 2. Growth Investing 3. Performance analysis 5.1 Overview 3.3 EMERGING MARKETS FUNDS 5.1 Overview 2.3.1 Oppenheimer International Growth Fund 5.2 Developed and Emerging Markets Fund 5.2 Virtus Emerging Markets Opportunities Fund 3 2 5 5 5 6 7 7 8 9 9 10 11 11 11 12 13 13 15 15 16 .2 Vanguard Capital Value Fund 5.1.2 Empirical Evidence 5.2 Empirical Evidence 3. Value Investing 3.

Bibliography 18 19 4 . Conclusion and Recommendation 7.6.

1 OVERVIEW A contrarian style consists of purchasing stocks that have been losers and selling those that have been winners. On the other hand. (Dreman 1982). and Zeckhause (1993) contradict that point. growth and value strategies. (2007). Chan (1988). The Columbia Contrarian Core fund and the Vanguard Capital Value Fund returns are analysed for developed markets stocks. Patel. Winner stocks are those stocks that have been performing well in the past while loser stocks are those that have performed poorly in the past. assets managers have outperformed the markets on a risk-adjusted basis. contrarian. value and growth investment styles over the past years.1. Peter Lynch (growth investor). and Gallea and Patalon (2000) show evidence that by using momentum. De Bondt and Thaler (1985) support this notion. INTRODUCTION Over the past decades many discussions have arisen about the ability of assets managers to select stock that can earn abnormal returns. The performance track records of ―guru investors‖ such as Warren Buffet (value investor). the Oppenheimer International Growth Fund returns are also analysed. To incorporate the two markets. Rao. and propose that investors overreact to both bad news and good news. The contrarian investor can therefore take 5 . The first part of this essay provides evidence on the successes of the contrarian. The second part of the essay provides a comparative performance analysis of international funds with their respective benchmark. and Ward. suggests that the contrarian style strategy is based on the assertion that stock markets overreact to news such that winners tend to be overvalued and losers undervalued. Jensen (1968) rejects the possibility of earning extra return but Grinblatt and Titman (1989) and (1992) and Hendricks. (Reese and Forehand 2009). CONTRARIAN STATEGIES AND MOMENTUM STYLE 2. Recent studies from Boudreaux. The benchmark used here are the S&P 500 TR index and MSCI EAFE NR USD index………………………………………………… 2. Thornburg Developing World Fund and Virtus Emerging Markets Opportunities Fund returns are analysed for emerging markets stocks. George Soros and John Templeton (contrarian investors) illustrated the superiority of these investing strategies. Chan (1988).

The results therefore depict the profitability of the contrarian strategies. This means that contrarians are able to buy and or sell a stock first and other investors will later follow that path. Xerox share price increased and investors earned higher returns. 1998). a momentum investor buys stocks that are outperforming the market. and sells the stocks when their value starts declining. Similar results were replicated by using the following accounting measures of performance: earnings to-price ratios (E/P). Over time. in early the 1990s Xerox Corporation’s share price was declining. but contrarian investors took the opportunity and by mid 1997. According to Dreman (1982). This is also supported by Graham and Dodd (1934). De Bondt and Thaler (1985). Further studies by Gallea and Patalon (2000) found that. The results showed that investor overreaction occurs in the markets. (Addae-Dapaah and Peiying 2009). 1993). The study was conducted by forming winner and loser portfolios made up of the 30 worst-performing and 30 bestperforming stocks and calculated the portfolio returns subsequently over a certain period. a comparison showed that the loser portfolio had outperformed the winner portfolio. also suggest that this investment approach earns excess returns of about 8 percent per year.2 EMPIRICAL EVIDENCE In 1985. 2. Citicorp in the year 1991 was trading at $9 because of bad loans made on real estate and a 6 . However. (Dreman. (2000) suggest that contrarian investing is going against the market. and most investors did not want to hold it. and the results point to the same conclusion that the contrarian style is profitable. available evidence overwhelmingly demonstrates that the original contrarian strategy based on price-to-earning (P/E) ratio sorting criterion worked flawlessly for decades. who conclude that investors over-price ―favourable‖ companies and under-price those which seem to have comparatively poor prospects. by buying and selling stocks when the rest of the investors are not doing that. or are doing the opposite. Gallea and Patalon. In another instance cited by Gallea and Patalon (2000). De Bondt and Thaler carried out an empirical study on stock market overreaction. cash flow-to-price ratio (C/P) and book value-to-price ratio (B/M) as well strategies based on low/high measures of earning per share (EPS) growth (Capual.advantage of this investor mentality to capitalise on the inefficiency of the market to reap financial gains when stock prices revert to their normal prices.

al (2009). and others argue that rational cross-sectional and time-series variation in risk is a plausible explanation of price momentum. different investors receive news from different sources and react to news over different time horizons and in different ways. Lewellen (2002). The investor must also select stock with EPS growth less than 20 percent but 7 .low capital base. and only a few people bought its shares. De Bondt and Thaler (1985) and Jegadeesh and Titman (2001). Investors may be slow to react to new information. securities of companies with substantial growth prospects will provide returns to investors over the long run. In practice. (Hsieh and Hodnett. According to Capaul et al (1993). 3. Lee and Swaminathan (2000) observe that the profitability of momentum strategies is related to the speed with which information diffuses into prices. however.al. 2012). These findings indicate that the profits of momentum investing arise from a delayed overreaction to news. further suggest that this style investing strategy is associated with some inefficiency in markets and suggest that this could be due to investor behavior. On the other hand. pick stock with earnings per share (EPS) growth greater than 20 percent anywhere from three to ten years. 2009). but contrarian investors had capitalized on them. Israel and Moskowitz (2009) suggest that the momentums strategy’s higher returns are compensation for some unique risk associated with investments that have recently outperformed the market. Berger et. Efficient market theory suggests that once new information is released. GROWTH INVESTING 3. Berger. Reese and Forehand (2009) exposed the growth strategy of Peter Lynch as the strategy for investors willing to take moderate amount of risk. report that medium-horizon price momentum is typically followed by price reversals – high stock prices taking a downward trend and lower stock prices taking an upward trend. Conrad and Kaul (1998). it is instantly available to all investors and that prices adjust to reflect the news.1OVERVIEW Growth stocks are those companies that have high growth potential in their sales and earnings and are generally highly priced by market investors. (Berger et.

They also reported theoretical profits from a strategy of buying past winners as well as selling past losers. In support of the above. They found evidence that a difference in performance between funds persists over time and that this persistence is consistent with the ability of the fund manager to earn abnormal returns. the phenomenon does not continue through the 1980s. 3. dividend yields and past returns. They used the least squares method to estimate the intercept in a time series regression of excess return for each fund. 8 .2 EMPIRICAL EVIDENCE Jensen (1968) proposes that average fund performance and individual performance was not able to predict security prices well enough to outperform a buy and hold policy. This conflicts with Malkiel (1995) who argues that there might be some evidence of performance persistence during the 1970s however. This benchmark consisted of a composite of passive portfolios which were constructed to take into account size. 31 1984 using the eight portfolios or P8 benchmark. He concludes that the persistence phenomenon is likely to be influenced by survivorship bias. they concluded that funds in the top octile (one eighth) of past performers over the previous year outperformed the lowest octile of past performers in the following year.greater than 10 percent which can produce gains of 30 percent to 50 percent in one to two years and be willing to put moderate amount of effort. 31 1974 to December. Grinblatt and Titman(1992).(1993) found strong evidence that funds that did well in the past did well in the short-term future. Hendricks et al. examined a sample of 279 funds (not contaminated by survival requirements) that existed from December. In their study of load growth-oriented mutual funds from 1974-1988 based on quarterly returns that are net of management fees for a total sample of 165 fund. The evidence is especially strong among growth oriented funds which hold stocks that outperform their benchmark by an average of 2 to 3 percent per year before expenses. Grinblatt and Titman (1989) suggest that mutual fund managers have the ability to choose stocks that outperform their benchmark before any expenses are deducted.

financial tents. nine out of ten of the international mutual fund portfolios including Foreign Small Growth Portfolio outperformed the benchmark (U. VALUE INVESTING 4. management tents and market tents. Value investing started since the work of John Maynard Keynes (1928) with the chest fund.―Does the management resist the institutional imperative?‖   FINANCIAL TENTS.―Does the business have favorable long-term prospects?‖  MANAGEMENT TENTS provides answers to the question such as.1 OVERVIEW Value investing is the purchasing of securities at a price below the intrinsic value.The conclusion was that. ―Does the business have a consistent operating history?‖. 4. mutual fund performance reported by Morningstar). The reputation of the notion value investing was made by Warren E Buffett (1952).S.  BUSINESS TENTS provides answers to questions such as.A recent study by Boudreaux et al (2007) examined the annual risk-adjusted returns using Sharpe’s Index for ten portfolios of international mutual funds for the period September 2000 through September 2006. not on earnings per share. ―Is management rational?‖. According to Graham (1952) value investing is basically a typical analysis of the intrinsic value of a company. who gained inspiration from Benjamin Graham. 9 . The core task for the investor is to accurately calculate this value and then maintain the discipline to buy stock only when the price is below the calculated amount. ―is the business simple and understandable?‖. it focuses on return on equity.―Is management candid with shareholders?‖. owners earnings and high profit margin. MARKET TENTS. a professor at the University of Columbia and the father of value investing. Intrinsic value is the ability of a company to generate future earnings.This work on value investing was later improved by Benjamin Graham. looks at the value of business and purchasing a business at a significant discount to its value. Buffet considers tents when selecting stocks which include business tents.

To further show that value investing is recommendable and successful. the value portfolio generated an average monthly return of 1.by who? 5.5 which remained flat between the years 1928-1945. He did this during the eighteen-year period with the chest fund were he achieved an average annual return of 13. PERFORMANCE ANALYSIS 10 .2% compared with the UK market return of -0. More so.4. Hamao and Lakonishok (1991) found strong support for the superior performance of value investing strategies. France. and Japan…….. Sequoia Fund the first mutual fund run on the principle of focus investment..30 percent. Book value to market (BV/MV) has become an important indicator of a portfolio orientation towards value investment. Hagstrom (1999).(reference) Chan. a test of high price to book value against low price to book value was conducted in theUnited Kingdom.6% compared to the 14. He purposely limited his stock to a few in order to keep portfolio turnover at a very low rate.Buffet creamed the Dow Jones Industrial average annual return by 22% points over the period with less volatility. Germany. analyzed Buffett Partnership in 1957 to 1969 and the results showed that the returns were remarkable.83 percent compared with the average monthly return of glamour portfolio of 0.2 EMPIRICAL EVIDENCE In 1934 Keynes wrote to a business associate ―It is a mistake to think one limits one’s risk by spreading too much between enterprises about which one knows a little and has no reason for special confidence‖. Ibbotson (1988) suggests that stocks with a low price-to-book value ratio (value stocks) had significantly better investment returns over the 18-year period than stock with a high price to book value. Amex and the Nasdaq markets into 10 portfolio based on the stock (BV/MV). Fama and French (1992) sorted stock on the NYSE. from 1971 to 1977 earned an average annual return of19.5% of the S&P 500……….

07 percent over the past three years. Columbia Contrarian Core fund (US) have assets totaling $2. compared to S&P 500.1% 14. 6. News and world report.05 percent over the past year. IBM.1 Columbia Contrarian Core Fund As reported by the U.52 percent over the past decade.S. ExxonMobil. 2013.5% Source:http://money. This is shown in the performance table below and the graph that follows shows how the investments grow from December 2002 to February 2013. The fund portfolio consists primarily of shares of large companies such as such as Apple. Microsoft etc.1.com/funds/mutual-funds/large-blend/columbia-contrariancore-fund/lccax 11 . and 9.2013 7.9% 9.65 billion invested in 79 different holdings. Performance Table 1 Trailing Returns Year to date 1 Year 3 Years (Annualized) 5 Years (Annualized) 10 Years (Annualized) Updated 02.86 percent over the past five years.1% 6. as of March 05.6% 15.28. 14. The investment Strategy of this fund is to combine fundamental and quantitative analysis with risk management in identifying investment opportunities and constructing the Fund's portfolio.usnews.1 DEVELOPED MARKETS FUNDS 5. The fund has returned 15.5.

S.9% 13. Table 2 : Trailing Returns ofVanguard Capital Value Fund Trailing Returns Updated 02.82 percent over the past five years. The Vanguard Capital Value Fund (US) seeks long-term capital appreciation by investing in a portfolio of stocks across the capitalisation spectrum that is considered by the advisor to be undervalued. and 9. compared to S&P 500.8% 9.2013 Year to date 1 Year 3 Years (Annualized) 5 Years (Annualized) 10 Years (Annualized) 7. News and world report.Graph 1: Columbia Contrarian Core Fundvs S&P 500 TR .initial investment of $10000 Source:http://money.28.usnews. The fund has returned 13.57 percent over the past decade.9% 6. 10.4% 10.com/funds/mutual-funds/large-blend/columbia-contrariancore-fund/lccax 5. 6. This was accessed on 17 March 2013.37 percent over the past year.2 Vanguard Capital Value Fund As reported by the U. This is shown in the performance table below and the graph that follows shows how the investments grow from December 2002 to February 2013.1.90 percent over the past three years.6% 12 .

The fund has returned 13. The fund may invest in emerging markets as well as in developed markets throughout the world.The graph below 13 .44 percent over the past year. News and world report.initial investment of $10000 Source:http://money. and 13. It normally will invest at least 65% of its total assets in common and preferred stocks of issuers in at least three different countries outside of the United States.usnews.1 Oppenheimer International Growth Fund As reported by the U. 11.2.71 percent over the past decade.69 percent over the past three years.25 percent over the past five years.com/funds/mutual-funds/large-blend/vanguard-capital-valuefund/vcvlx 5. 3.2 DEVELOPED AND EMERGING MARKETS FUND 5.S. and emphasize investments in common stocks of issuers that the portfolio managers consider to be "growth" companies.usnews.Source:http://money.com/funds/mutual-funds/large-blend/vanguard-capital-valuefund/vcvlx Graph 2: Vanguard Capital Value Fund vs S&P 500 TR . It may invest 100% of its assets in securities of foreign companies. The Oppenheimer International Growth Fundseeks long-term capital appreciation by investing in the common stock of growth companies that are domiciled or have their primary operations outside of the United States.

28. compared to MSCI EAFE Index Performance.usnews.2013 4.initial investment of $10 000 Source:http://money.7% Source:http://money.3% 13.7% 3.usnews.5% 13.4% 11. Table 3: trailing returns of Oppenheimer International growth fund Trailing Returns Year to date 1 Year 3 Years (Annualized) 5 Years (Annualized) 10 Years (Annualized) Updated 02.com/funds/mutual-funds/foreign-large-growth/oppenheimerinternational-growth-fund/oigax 14 .shows how the investments grow from December 2002 to February 2013.com/funds/mutual-funds/foreign-large-growth/oppenheimerinternational-growth-fund/oigax Graph 3: Oppenheimer International Growth fund vs MSCI EAFE NR USD .

those of sovereign and corporate issuers.This is shown in the performance table below and the graph that follows shows how the investments grow from December 2002 to February 2013.3% Source:http://money. It expects that investments in the fund's portfolio normally will be weighted in favor of equity securities. Table 4: Trailing Return of Thornburg Developing World Fund Trailing Returns Year to date 1 Year 3 Years (Annualized) Updated 02. Thornburg Developing World Fundseeks long-term capital appreciation by investing at least 80% of assets in equity securities and debt obligations of developing country issuers.com/funds/mutual-funds/diversified-emerging-mkts/thornburgdeveloping-world-fund/thdax 15 . It may invest in issuers of any size of capitalization. compared to MSCI EAFE Index Performance. News and world report. including small companies.S.29 percent over the past year.3% 14.usnews.5. The investment in debt obligations may include.30 percent over the past three years. and 14.6% 14. It may purchase debt obligations of any maturity and quality. but is not limited to.1 Thornburg Developing World Fund As reported by the U.28.3 EMERGING MARKETS FUNDS 5. The fund may invest in debt obligations which have a combination of equity and debt characteristics.The fund has returned 14.3.2013 7.

usnews.S. compared to MSCI EAFE Index Performance. such issuers may be of any capitalization. Canada.This is shown in the performance table below and the graph that follows shows how the investments grow from December 2002 to February 2013. and 17.97 percent over the past three years. New Zealand and most nations located in Western Europe.S.87 percent over the past year. it invests at least 80% of its assets in equity securities or equity-linked instruments of issuers located in emerging markets countries. Australia.com/funds/mutual-funds/diversified-emerging- mkts/thornburg-developing-world-fund/thdax 5.3. the Virtus Emerging Markets Opportunities Fundseeks capital appreciation byoffering investors exposure to emerging economies through well-established companies. 14.The fund has returned 6. Emerging markets countries generally include every nation in the world except the U.90 percent over the past five years..57 percent over the past decade.Graph 4: Thornburg Developing World Fundvs MSCI EAFE NR USD – initial investment of $10 000 Source : http://money. Under normal circumstances. 16 . Japan. News and world report. 4.2 Virtus Emerging Markets Opportunities Fund As reported by the U.

28.6% Source: http://money.Table 5: Trailing Returns ofVirtus Emerging Markets Opportunities Fund Trailing Returns Year to date 1 Year 3 Years (Annualized) 5 Years (Annualized) 10 Years (Annualized) UUpdated 02.com/funds/mutual-funds/diversified-emerging-mkts/virtus- emerging-markets-opportunities-fund/hemzx Both in the developed and emerging markets.9% 15.Vanguard Capital Value Fund.com/funds/mutual-funds/diversified-emerging-mkts/virtus- emerging-markets-opportunities-fund/hemzx Graph 5:Virtus Emerging Markets Opportunities Fund vs MSCI EAFE NR USD – initial investment of $10 000 Source: http://money.0% 4.9% 17. Thornburg Developing World 17 .2013pdated 02.2013 -0.5% 6. Oppenheimer International Growth Fund.28. theColumbia Contrarian Core Fund.usnews.usnews.

In addition. The graphs above shows how the investments grew from December 2002 to February 2013. growth stock and contrarian where outperforming the benchmark. During the first part of 2002. We therefore recommend that asset managers should develop new tools of picking stocks to reduce management expenses. growth stocks did spectacularly well butvalue stocks performed poorly despite good earnings news. In 1998 and 1999. several consequences follow. One of them is that past stylereturns help to explain the cross-section of expected returns for individual stocks. fund managers should not specialize on one style but rotate styles or combine them to suit the prevailing market conditions.Barberis andShleifer (2003) believe that many investors trade baskets of stocks and move fundsbetween styles depending on their performance—always chasing past winner styles anddumping losers. Fund managers should also keep abreast of market changes because the different styles work best in different time periods.small capitalization firms kept the Standard and Poor’s-500 index from falling as steeplyas the Nasdaq Composite Talley. In theory. Further the analysis has shown that styles perform differently over time. 18 . we may find intermediate-term momentum and long-term reversals in prices. What was effective a year ago may becounterproductive today. The empirical discussion has highlighted the fact that excess returns are offset by management fees. No single style or mix of styles is optimal for allperiods and circumstances. At thestyle level. The performance analysis was based on developed market fund and emerging market fund and the results show that value stocks.Fund and Virtus Emerging Markets Opportunities Fund beat the market. (2002). 6 CONCLUSION AND RECOMMENDATIONS The basis of the essay was to provide an analysis of evidence pointing to the success of various styles of investing and present supporting empirical evidence of some of the styles thereof.

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