Reliance Asset Management (Malaysia) Sdn. Bhd. A Reliance Capital Company Global Market Report Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia Reliance Global Shariah Strategy Powered by Cognition This presentation has been prepared by Reliance Asset Management (Malaysia) Sdn Bhd (“RAMMy”) and is solely for informational purposes only. It may not be copied, published, circulated, reproduced or distributed in whole or part to any person without the prior written consent of RAMMy. In preparing this presentation, RAMMy has relied upon and assumed the accuracy and completeness of all information available from public sources or which was otherwise reviewed by RAMMy. Accordingly, whilst we have taken all reasonable care to ensure that the information contained in this presentation is not untrue or misleading at the time of publication, we cannot guarantee its accuracy or completeness and make no representation or warranty (whether express or implied) and accept no responsibility or liability for its accuracy or completeness. You should not act on the information contained in this presentation without first independently verifying its contents. Any opinion, management forecast or estimate contained in this presentation is based on information available as at the date of this presentation and reflects prevailing conditions and our views as of the date of this presentation, all of which are subject to change at any time without notice. Such opinions, forecasts and estimates as well as the information contained herein relating to the historical performance of various indices is for information only and is not indicative of the future or likely performance of an investment portfolio and should not be construed as such. RAMMy and its related and affiliated corporations together with their respective directors and officers may have or may take positions in the investments mentioned in this presentation and may also perform or seek to perform broking and other investment services for the corporations whose securities are mentioned in this presentation as well as other parties. This presentation is not an offer or solicitation by anyone in any jurisdictions or to any person to whom or to which it is unlawful to make such an offer or solicitation. The historical performances presented are not indicative of the future or likely performance of an investment portfolio and should not be construed as being indicative of or otherwise used as a proxy for future or likely performance of the investment portfolio. October 2012
A review of Style Trends in Global Equity Markets Q3 2012
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Reliance Asset Management (Malaysia) Sdn. Bhd. A Reliance Capital Company
Global Market Report
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia
Reliance Global Shariah Strategy Powered by Cognition
This presentation has been prepared by Reliance Asset Management (Malaysia) Sdn Bhd (“RAMMy”) and is solely for informational purposes only. It may not be copied, published, circulated, reproduced or distributed in whole or part to any person without the prior written consent of RAMMy. In preparing this presentation, RAMMy has relied upon and assumed the accuracy and completeness of all information available from public sources or which was otherwise reviewed by RAMMy. Accordingly, whilst we have taken all reasonable care to ensure that the information contained in this presentation is not untrue or misleading at the time of publication, we cannot guarantee its accuracy or completeness and make no representation or warranty (whether express or implied) and accept no responsibility or liability for its accuracy or completeness. You should not act on the information contained in this presentation without first independently verifying its contents. Any opinion, management forecast or estimate contained in this presentation is based on information available as at the date of this presentation and reflects prevailing conditions and our views as of the date of this presentation, all of which are subject to change at any time without notice. Such opinions, forecasts and estimates as well as the information contained herein relating to the historical performance of various indices is for information only and is not indicative of the future or likely performance of an investment portfolio and should not be construed as such. RAMMy and its related and affiliated corporations together with their respective directors and officers may have or may take positions in the investments mentioned in this presentation and may also perform or seek to perform broking and other investment services for the corporations whose securities are mentioned in this presentation as well as other parties. This presentation is not an offer or solicitation by anyone in any jurisdictions or to any person to whom or to which it is unlawful to make such an offer or solicitation. The historical performances presented are not indicative of the future or likely performance of an investment portfolio and should not be construed as being indicative of or otherwise used as a proxy for future or likely performance of the investment portfolio.
October 2012
Global Market Report October 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. A Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 2
Overview
This document offers an overview of the global equity market from the point of view of our proprietary stock selection system, “Cognition”.
This expert-system observes most of the indicators that traditional investors would analyse, but in a systematic,
data-intensive way.
Cognition continually monitors the market, changing its preference between Value, Growth, Price Momentum (PMom), Earnings Momentum (EMom), Quality, Low Volatility and Financial Strength (Financial) investment “styles” as the market’s focus moves between them.
Detailed analysis of economic sectors across 6 geographic regions enables Cognition to track down the most promising types of company characteristics based on local market conditions.
Companies that offer the most compelling combinations of the most favourable investment styles are ranked highly and form the core of the portfolio.
The WSF Reliance Global Shariah Growth fund uses the Cognition investment process to invest in a portfolio of
approximately 100-150 companies from 2,500 Shariah compliant equities across the world’s developed equity markets.
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 3 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 3
Global Market Report October 2012
Index
Page Section
4 Global Style Summary
5 US style and trend analysis
6 Europe ex-UK style and trend analysis
7 Canada style and trend analysis
8 UK style and trend analysis
9 Japan style and trend analysis
10 Asia ex-Japan style and trend analysis
11 Index Performance
12 S&P Developed BMI Index returns and historic valuation
13 S&P Developed BMI Shariah Index returns and historic valuation
14 Shariah Valuation and Returns Relative to S&P Developed BMI
15 WSF Reliance Global Shariah Growth Fund – Fundamental Statistics
16-19 WSF Reliance Global Shariah Growth Fund – Portfolio Stock Ratings
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 4 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 4
Global Market Report October 2012
Market Overview Global
0%
10%
20%
30%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The global market is biased towards the Financial sector. However, when only Shariah-compliant stocks are considered the Technology sector comes to the fore. The charts below describe recent style trends across the global equity market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20%
25% Sep-12
-10%
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-15%-10%-5%0%5%10%15%20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Global Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Financial - 1
Value +4 2
Emom +1 3
Grow th +3 4
Low Vol -3 5
Quality -1 6
Pmom -4 7
-30%
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
60%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-20%
-10%
0%
10%
20%
0%
5%
10%
15%
20%
25%
30%
Sep Nov Jan Mar May Jul Sep
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 5 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 5
Global Market Report October 2012
Market Overview United States
0%
10%
20%
30%
40%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The US market is biased towards the Technology and Financial sectors. However, when only Shariah-compliant stocks are considered the Technology and Health sectors come to the fore. The charts below describe recent style trends within the US market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-10%
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20%
25%
30% Sep-12
-10%
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-15%
-10%
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Financial - 1
Emom +2 2
Value +2 3
Low Vol -2 4
Grow th +1 5
Pmom -3 6
Quality - 7
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
60%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 6 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 6
Global Market Report October 2012
Market Overview Europe
0%
10%
20%
30%
40%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The European market is biased toward the Financial sector. However, when only Shariah-compliant stocks are considered the Health sector comes to the fore. The charts below describe recent style trends within the European market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-10%
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20%
25% Sep-12
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Emom +1 1
Financial +2 2
Quality -2 3
Grow th -1 4
Value +2 5
Low Vol -1 6
Pmom -1 7
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-10%
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
60%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 7 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 7
Global Market Report October 2012
Market Overview Canada
0%
10%
20%
30%
40%
50%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The Canadian market is heavily biased towards the Financial, Energy and Materials sectors. However, when only Shariah-compliant stocks are considered the Energy and Materials sectors dominate. The charts below describe recent style trends within the Canadian market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20%
25%Sep-12
-30%
-20%
-10%
0%
10%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-30%
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Financial - 1
Value +4 2
Quality -1 3
Emom +1 4
Pmom -1 5
Low Vol -3 6
Grow th - 7
-30%-20%-10%0%10%20%30%40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-15%-10%-5%0%5%10%15%20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
60%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-20%
-10%
0%
10%
20%
30%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 8 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 8
Global Market Report October 2012
Market Overview UK
0%
10%
20%
30%
40%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The UK market is biased toward the Energy, Consumer Staples and Financial sectors. However, when only Shariah-compliant stocks are considered the Energy and Health sectors come to the fore. The charts below describe recent style trends within the UK market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-15%-10%-5%0%5%10%15%20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20%
25%
30% Sep-12
-10%
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Financial - 1
Value +4 2
Grow th +1 3
Low Vol -2 4
Emom +2 5
Pmom -3 6
Quality -2 7
-60%
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-20%-15%-10%-5%0%5%10%15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 9 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 9
Global Market Report October 2012
Market Overview Japan
0%
10%
20%
30%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The Japanese market is biased toward the Industrials and Consumer Discretionary sectors. However, when only Shariah-compliant stocks are considered the Technology and Health sectors come to the fore. The charts below describe recent style trends within the Japanese market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-20%
-10%
0%
10%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20% Sep-12
-30%
-20%
-10%
0%
10%
20%
30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-30%
-20%
-10%
0%
10%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Grow th +2 1
Financial +2 2
Quality +4 3
Low Vol -3 4
Value -3 5
Pmom - 6
Emom -2 7
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-15%
-10%
-5%
0%
5%
10%
15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
60%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 10 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 10
Global Market Report October 2012
Market Overview Asia
0%
10%
20%
30%
40%
Energy Materials Industrials Cons Disc Cons Stap Health Financials Technology Telecom Utilities
Free Float Sector Weights
All Companies
Shariah-Compliant
The Asian market is heavily biased toward the Financial sector. However, when only Shariah-compliant stocks are considered the Technology and Materials sectors come to the fore. The charts below describe recent style trends within the Asian market according to the latest Cognition analysis.
Style Trends – Cognition style weights
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Value
1m Med IC - RHS Cog Wgt - LHS
0%
5%
10%
15%
20%
25% Sep-12
-20%-15%-10%-5%0%5%10%15%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Growth
1m Med IC - RHS Cog Wgt - LHS
-15%-10%-5%0%5%10%15%20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
EMom
1m Med IC - RHS Cog Wgt - LHS
Style Weight Rank - Mcap Wtd
Style 3m Chg Rank
Quality +1 1
Financial -1 2
Value +1 3
Low Vol -1 4
Grow th - 5
Emom - 6
Pmom - 7
-40%-30%-20%-10%0%10%20%30%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
PMom
1m Med IC - RHS Cog Wgt - LHS
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Financial Strength
1m Med IC - RHS Cog Wgt - LHS
-40%
-20%
0%
20%
40%
60%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Low Vol
1m Med IC - RHS Cog Wgt - LHS
-10%
-5%
0%
5%
10%
15%
20%
0%
5%
10%
15%
20%
25%
30%
S O N D J F M A M J J A S
Quality
1m Med IC - RHS Cog Wgt - LHS
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 3m Med IC = 1-month median Spearman Rank Information Coefficient; Cog Wgt = Cognition Weight aggregated by free float Mcap weight
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 11 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 11
Global Market Report October 2012
Index Performance
Index Total Return
40
50
60
70
80
90
100
110
S&P BMI Developed
S&P BMI Shariah Developed
Rolling 1-Year Return
-100%
-50%
0%
50%
100%
S&P BMI Developed
S&P BMI Shariah Developed
Rolling 1-Year Sharpe Ratio – BMI Shariah Developed / BMI Developed Differential
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
1 Yr Sharpe Shariah - Developed
Source: Standard & Poor’s, Bloomberg, Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012 *Sharpe Ratio calculated using the 3-month US Treasury Bill.
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 12 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 12
Global Market Report October 2012
Estimated S&P Developed BMI Shariah Valuation & Returns*
Price to Earnings (P/E) Forward Twelve Month (FTM)
*Calculations exclude outliers for Returns and Valuation. Data presented is based upon a historical simulation of the Shariah Index according to S&P criteria prior to June 2009 and the actual index post June 2009. Average = cumulative average since Jan 1991. Source: Reliance Asset Management (Malaysia) Sdn. Bhd., S&P, Thomson Reuters, Data at month end Sept 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 13 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 13
Global Market Report October 2012
Estimated S&P Developed BMI Valuation & Returns*
Price to Earnings (P/E) Forward Twelve Month (FTM)
*Calculations exclude outliers for Returns for Valuation. Average = cumulative average since Jan 1991. Source: Reliance Asset Management (Malaysia) Sdn. Bhd., S&P, Thomson Reuters, Data at month end Sept 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 14 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 14
Global Market Report October 2012
S&P Developed BMI Shariah* Relative to S&P Developed BMI
Price to Earnings (P/E) Forward Twelve Month (FTM)
*Calculations exclude outliers for Returns and Valuation. Data presented is based upon a historical simulation of the Shariah Index according to S&P criteria prior to June 2009 and the actual index post June 2009. Average = cumulative average since Jan 1991. Source: Reliance Asset Management (Malaysia) Sdn. Bhd., S&P, Thomson Reuters, Data at month end Sept 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 15 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 15
Global Market Report October 2012
WSF Reliance Global Shariah Growth Fund Statistics
86.2 85.9 85.6
69.8 69.8 65.2 63.353.0
0
20
40
60
80
100
Portfolio Score Low Vol Quality Financial Pmom Growth Emom Value
Weighted Portfolio Style Scores
The WSF Reliance Shariah Global Growth portfolio is currently focused on companies with the highest relative Quality and Lowest Volatility. However, It is important to note that individual company scores, which are calculated on the basis of style analysis at the regional-sector level, may express very different style preferences than that of the overall portfolio.
0
50
100
150
200
Forward 12m
P/E Ratio
Forward 12m
Dividend Yield
3Yr EPS
Growth (%)
Return on
Equity (%)
FY1 EPS
Revision (%)^
FY2 EPS
Revision (%)^
Total Debt /
Equity*
Portfolio Characteristics vs. Shariah Developed BMI (=100) and All Companies Developed BMI
Portfolio
Shariah BMI
BMI
Max
The portfolio currently offers a comparable valuation to the S&P Developed Shariah BMI index, though the forward dividend yield of the portfolio is below that of the benchmark. The portfolio has generated higher historic earnings growth, in addition to higher Returns on Equity than the Shariah index. Earnings revisions have also been significantly ahead of both the Shariah index and the overall market.
Source: Reliance Asset Management (Malaysia) Sdn. Bhd., S&P Developed BMI Shariah/ S&P Developed BMI Indices. Data as at month end Sept 2012
* Total Debt / Equity calculation for BMI Developed Index excludes Financials. Chart is capped at a maximum of 200. ^ For presentation purposes consensus EPS Revisions for the Portfolio and BMI Index have been scaled relative to the Shariah benchmark.
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 16 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 16
Global Market Report October 2012
The Cognition Stock Analysis System
The WSF Reliance Global Shariah Growth Fund selects Shariah-compliant equities using “Cognition”, Reliance’s proprietary stock screening process. Our approach is to refine individual financial metrics, such as Price to Earnings and Return on Equity, into collective investment ‘styles’. Rather than conforming to any static definition, each style is constantly re-configured according to the recent explanatory power of each metric within each geographic sector. Significant ‘number crunching’ is required here, but this approach enables the relative merits of each stock in the fund’s investment universe to be compared across multiple dimensions of style.
How to read the Cognition Score – Example
The next step in the process is to analyse the recent explanatory power of each style within each geographic sector, the aim being to focus our model on stocks offering the most compelling combination of the ‘right’ fundamental characteristics. In the above example, Next PLC (a UK Consumer Discretionary stock) benefits from its high level of relative ‘Price Momentum’ and ‘Quality’. Our analysis suggests this attribute is a desirable characteristic in the sector. Despite a relatively poorly score for Value (37 per cent), Next PLC is nonetheless awarded a high score of 99 per cent because this weaker style rank is deemed to be a less important predictor of outperformance within the sector.
100 Dollar Tree Inc 91.9 6.6 20% 69.8 7% 78.4 0% 93.4 29% 90.7 7% 33.3 12% 98.0 25%
Value rank is Low, but it is not considered important for this sector
The overall result is a high overall Cognition Score for Next
Quality and Price Momentum rank High, and importance of these styles is High for the sector.
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 17 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 17
Global Market Report October 2012
WSF Reliance Global Shariah Growth Fund – Portfolio Stock Ratings
The table above is reproduced for illustration purposes only Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 18 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 18
Global Market Report October 2012
Portfolio Stock Ratings (continued)
The table above is reproduced for illustration purposes only Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 19 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 19
Global Market Report October 2012
Portfolio Stock Ratings (continued)
The table above is reproduced for illustration purposes only Source: Reliance Asset Management (Malaysia) Sdn. Bhd., Data as at month end Sept 2012
Reliance Asset Management (Malaysia) Sdn. Bhd. Reliance Capital Company
Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 20 Corporate office : Suite 5-7, Level 5, Wisma UOA II, 21 Jalan Pinang, Kuala Lumpur 50450, Malaysia 20
Global Market Report October 2012
Disclaimer
This presentation has been prepared by Reliance Asset Management (Malaysia) Sdn Bhd (“RAMMy”) and is solely for informational purposes only. It may not be copied, published, circulated, reproduced or distributed in whole or part to any person without the prior written consent of RAMMy. In preparing this presentation, RAMMy has relied upon and assumed the accuracy and completeness of all information available from public sources or which was otherwise reviewed by RAMMy. Accordingly, whilst we have taken all reasonable care to ensure that the information contained in this presentation is not untrue or misleading at the time of publication, we cannot guarantee its accuracy or completeness and make no representation or warranty (whether express or implied) and accept no responsibility or liability for its accuracy or completeness. You should not act on the information contained in this presentation without first independently verifying its contents. Any opinion, management forecast or estimate contained in this presentation is based on information available as at the date of this presentation and reflects prevailing conditions and our views as of the date of this presentation, all of which are subject to change at any time without notice. Such opinions, forecasts and estimates as well as the information contained herein relating to the historical performance of various indices is for information only and is not indicative of the future or likely performance of an investment portfolio and should not be construed as such. RAMMy and its related and affiliated corporations together with their respective directors and officers may have or may take positions in the investments mentioned in this presentation and may also perform or seek to perform broking and other investment services for the corporations whose securities are mentioned in this presentation as well as other parties. This presentation is not an offer or solicitation by anyone in any jurisdictions or to any person to whom or to which it is unlawful to make such an offer or solicitation. The historical performances presented are not indicative of the future or likely performance of an investment portfolio and should not be construed as being indicative of or otherwise used as a proxy for future or likely performance of the investment portfolio. The price of units and distributions payable, if any, may go down as well as up.
Risk Statement
These are some of the major risks of investments a potential investor should consider carefully and the Reliance Global Shariah Strategy is not intended as a complete investment programme. The risks include but not limited to investment risk, stock specific risk, sector risk, country risk, currency risk, liquidity risk and risk of Shariah non-compliance. There is also a potential conflicts of interest risk: - i) Management
Reliance Asset Management (Malaysia) Sdn Bhd (“RAMMy”) provides management services to other clients. The investment strategies employed for other investment fund/portfolios could conflict with the investment fund/portfolio employing the Reliance Global Shariah Strategy. This may affect the prices and availability of the investments in the fund/portfolio using the Reliance Global Shariah Strategy. RAMMy has policies in place where participation in investment opportunities will be allocated on an equitable basis, taking into account such factors as the relative amounts of capital available for new investments, relative exposure to short-term market trends, and the respective investment policies of other investment portfolios. ii) RAMMy, Custodian, Administrator, Shariah Advisor
RAMMy, its officers, employees or associates, and the Custodian, Administrator and the Shariah Advisor may from time to time provide services to, or be involved with, other investment fund/portfolios established by parties other than RAMMy which may have similar objectives to those of the investment fund/portfolio employing the Reliance Global Shariah Strategy. As such, it is possible that any of them may, in the course of business, have potential conflicts of interest with the investment fund/portfolio using the Reliance Global Shariah Strategy. However, the Custodian, Administrator and Shariah Advisor will, at all times, uphold its obligation to act in the best interests of the investment fund/portfolio and RAMMy will ensure that all such potential conflicts of interest are resolved fairly and in the interests of investors/clients.