Quantitative strategy
Sell into strength
Bualuang Research
29 Aug 2014
Our quant model indicates that the SET is
now at the cusp of turbulence
Market volatility is bottoming out and is
likely to rise during September, suggesting
that volatility risk will re-emerge
Our short-term Bull2Bear Index has risen to
near the high risk zone, while the Momentum
Strength Index indicates a bearish
divergence pattern against the SET, implying
greater risk of downside
Delete: DTAC, SF, PSL
SEE REQUIRED DISCLOSURES
SECTION
Thai Strategyslide
1 AT END OF NOTES
Chaiyaporn Nompitakcharoen,
Capital Market Fundamental
Investment Analyst
Channarong Meechaikareonying,
Analyst Assistant
Nuttimas Akarapanuvitaya,
Securities Fundamental Investment
Analyst
Phone No.
+662 618 1330 +662 618 1335
Investment summary
The SET went on a mini-rally during the last two weeks, as we had anticipated. The market
increased 1.1% from mid-month and surpassed 1550, which is psychologically significant. The SET
has recently traded near the cusp of turbulence.
We anticipate that the Thai bourse will enter a 7-10% correction phase in September. Our
reasoning is as follows:
Our market breadth toolsthe short-term Bull2Bear and medium-term Bull2Bear are now at
extremely positive levels. Historically, such high levels have been followed by market pull-backs.
The Momentum Strength Index points to a bearish divergence pattern against the SET.
Market volatility is likely to head north to its long-term average, based on our volatility
forecasting model. The implication is that SET is now ready to enter a turbulent phase and will
be much more sensitive to negative news.
The bourses forward PER has recently hit its most expensive level since 2009. While in
comparative terms, it now trades at premiums to most major marketsS&P500, MSCI EU and
MSCI Asia ex-Japan. As such, we cant see any rational argument for foreigners to aggressively
buy into the Thai market.
Quantitative Strategyslide 2
Recommended portfolio Type I: Balanced portfolio style
We build the balanced portfolio style based on following rules:
1) Buy stocks in tiers 1-3 of the Overall Scores only (see slides 6-8),
2) Those stocks must be in tiers 1-3 of the Sectors in Radar (see slide 5),
3) Portfolio exposure varies from time to time, depending on perceived prevailing market downside risk.
Note: Recommendations in the Balanced Portfolio (BP) may differ from the Fully-invested Portfolio, as the BP
allows adding stocks in tiers 1-3, but the Fully-invested portfolio allows only tier-1 stocks.
Recommendation
% Allocation
Recommendation
date
Return since
recommendation
SRICHA
HOLD
5.0%
11-Jun-14
8.2%
BECL
HOLD
5.0%
25-Jul-14
5.7%
SF
SELL
0.0%
25-Jul-14
11.1%
ADVANC
HOLD
5.0%
15-Aug-14
-1.6%
DTAC
SELL
0.0%
15-Aug-14
5.7%
INTUCH
HOLD
5.0%
15-Aug-14
-0.7%
PSL
SELL
0.0%
15-Aug-14
-2.5%
SPCG
HOLD
5.0%
15-Aug-14
-0.9%
SAMART
HOLD
5.0%
15-Aug-14
13.1%
TUF
HOLD
5.0%
15-Aug-14
2.9%
Stock
Total equities
35%
Cash
65%
Sources: Bloomberg, BLS
Quantitative Strategyslide 3
Performance
Since inception (30 Jul 14)
Portfolio
2.32%
SET
2.53%
Max
Drawdown
-0.50%
-1.34%
Recommended portfolio Type II: Fully-invested portfolio style
We build the fully-invested portfolio style based on stocks in tier 1 of overall scores (see slide 6) in order to track
our back-tested performances.
Recommendation
% Allocation
Recommendation
date
Return since
recommendation
INTUCH
SELL
0.0%
15-Aug-14
-0.7%
RS
SELL
0.0%
15-Aug-14
-3.7%
New Addition
ADVANC
SELL
0.0%
30-Jul-14
3.1%
29-Aug-14
New Addition
SPCG
SELL
0.0%
15-Aug-14
-0.9%
4.8%
29-Aug-14
New Addition
BTS
SELL
0.0%
15-Aug-14
0.4%
4.8%
29-Aug-14
New Addition
BH
SELL
0.0%
30-Jul-14
14.7%
2.8%
SRICHA
SELL
0.0%
30-Jul-14
8.2%
2.4%
PSL
SELL
0.0%
15-Aug-14
-2.5%
DTAC
SELL
0.0%
15-Aug-14
5.7%
SC
SELL
0.0%
15-Aug-14
-1.5%
GLOBAL
SELL
0.0%
15-Aug-14
10.2%
CPF
SELL
0.0%
15-Aug-14
2.5%
TTCL
SELL
0.0%
15-Aug-14
-2.3%
Recommendation
% Allocation
Recommendation
date
Return since
recommendation
CCET
BUY
4.8%
29-Aug-14
New Addition
SIRI
BUY
4.8%
29-Aug-14
New Addition
HEMRAJ
BUY
4.8%
29-Aug-14
ROJNA
BUY
4.8%
CPALL
BUY
CENTEL
BUY
VGI
HOLD
4.8%
30-Jul-14
BEC
HOLD
4.8%
15-Aug-14
TISCO
BUY
4.8%
29-Aug-14
New Addition
IVL
BUY
4.8%
29-Aug-14
New Addition
SVI
HOLD
4.8%
15-Aug-14
5.1%
LOXLEY
HOLD
4.8%
15-Aug-14
3.8%
GUNKUL
HOLD
4.8%
30-Jul-14
23.1%
ITD
BUY
4.8%
29-Aug-14
New Addition
CK
HOLD
4.8%
30-Jul-14
6.3%
ANAN
BUY
4.8%
29-Aug-14
New Addition
BECL
BUY
4.8%
29-Aug-14
New Addition
Stock
BUY
4.8%
29-Aug-14
New Addition
DELTA
HOLD
4.8%
15-Aug-14
2.7%
TUF
HOLD
4.8%
15-Aug-14
2.9%
BUY
4.8%
29-Aug-14
New Addition
MINT
SPALI
Stock
Total equities
100%
Performance
Since inception (30 Jul 14)
Portfolio
5.86%
SET
2.53%
Sources: Bloomberg, BLS
Quantitative Strategyslide 4
Max
Drawdown
-0.95%
-1.34%
Sectors in radar
We applied technical factors to detect the sectors that are in the focus of the market through a cross-sectional
approach, we ranked the sectors on three technical criteria (momentum, direction and volume).
The combined scores based on those measures give us the sector preferences in our quant playbook
Agribusiness, Electronics, Food, Media, Healthcare, Tourism and Bank.
Tier
Tier 1
Tier 2
Tier 3
Tier 4
Tier 5
Sector
AGRI
ETRON
FOOD
MEDIA
HELTH
TOURISM
BANK
COMM
PROP
CONMAT
AUTO
ICT
CONS
TRANS
ENERG
PETRO
Technical Z-Score Previous Tier
Positive
5
Positive
4
Positive
1
Positive
4
Positive
1
Positive
5
Positive
4
Negative
3
Negative
5
Negative
2
Negative
2
Negative
2
Negative
1
Negative
5
Negative
3
Negative
3
Sources: Bloomberg, BLS
Quantitative Strategyslide 5
Factor model by rank: Fundamental-cum-technical approaches
We applied both fundamental and technical factors to derive the stock picks in our portfolio. Through this crosssectional approach, we ranked the stocks on five fundamental criteria (forward PER, dividend yield, EPS growth, ROE
and D/E ratio) and on three technical measures (momentum, direction and volume).
The combined scores based on those measures give us the stock preferences in our quant playbookCCET, SIRI,
HEMRAJ, ROJNA, CPALL, CENTEL, VGI, BEC, TISCO, IVL, SVI, LOXLEY, GUNKUL, ITD, CK, ANAN, BECL, MINT,
DELTA, TUF and SPALI.
Overall scores (fundamental & technical); data as of August 26, 2014
Stock
Forward PE
Yr 14 Yr 14-16
Fundamentals
Dvd Yield
EPS Growth
Yr 14 Yr 14-16 Yr 14 Yr 14-16
Technical
ROE
DE
Directional Momentum Money Flow
Price
Current Previous
Ranks
Ranks
TIER 1
CCET
SIRI
HEMRAJ
ROJNA
CPALL
CENTEL
VGI
BEC
TISCO
IVL
SVI
LOXLEY
GUNKUL
ITD
CK
ANAN
BECL
MINT
DELTA
TUF
SPALI
10.2
9.1
12.7
11.7
34.9
39.5
34.3
18.8
8.5
32.0
9.2
19.0
29.0
37.8
35.5
11.7
11.3
31.0
13.7
15.4
10.4
9.0
8.2
11.7
17.8
27.5
30.9
30.1
17.3
7.4
23.7
9.6
15.6
23.5
31.0
32.1
9.5
10.5
26.1
12.7
13.2
9.1
5.3%
5.1%
3.6%
4.6%
1.8%
1.0%
2.5%
5.1%
4.8%
1.1%
4.3%
2.2%
0.9%
1.1%
1.6%
2.0%
4.4%
1.1%
4.3%
3.3%
3.8%
5.7%
5.4%
4.1%
3.2%
2.2%
1.3%
2.9%
5.5%
5.4%
1.5%
4.6%
3.1%
1.1%
1.1%
1.5%
2.5%
4.6%
1.3%
4.7%
3.9%
4.4%
178.8%
7.5%
-23.0%
50.0%
15.5%
8.7%
31.6%
-8.9%
-7.0%
50.0%
58.0%
19.2%
413.9%
-7.7%
704.4%
12.5%
53.9%
7.3%
11.4%
75.7%
45.0%
66.6%
9.4%
-1.5%
-4.8%
24.9%
21.8%
20.4%
3.4%
8.2%
41.1%
19.7%
34.4%
159.4%
15.1%
243.4%
20.9%
23.4%
15.3%
9.4%
36.4%
23.1%
1.6%
17.3%
38.3%
2.2%
39.7%
10.4%
60.7%
60.5%
17.7%
4.2%
44.6%
6.1%
36.5%
6.9%
12.2%
14.8%
10.7%
17.8%
24.0%
11.0%
24.6%
Sources: Bloomberg, BLS
Quantitative Strategyslide 6
1.2
2.3
1.0
1.9
6.4
1.0
0.0
0.0
2.9
1.3
0.0
0.5
0.2
2.4
2.3
0.7
1.2
1.0
0.0
0.9
0.8
54.9
40.2
55.2
81.0
56.5
66.8
65.8
49.5
77.9
71.0
21.7
41.2
-27.6
56.9
16.4
29.8
14.9
40.8
29.6
53.5
-32.7
-0.6
0.8
8.4
2.7
2.1
2.3
0.7
1.7
4.3
2.6
2.0
3.4
-0.1
2.2
-0.7
2.1
1.4
2.1
-0.3
0.2
-1.0
13.1
16.5
9.1
16.7
8.4
12.7
6.2
3.8
7.8
11.2
3.2
8.8
0.1
9.5
1.7
5.8
5.7
7.0
6.9
2.0
3.1
3.02
2.08
4.36
8.20
47.00
39.50
13.40
47.75
43.75
27.75
4.28
4.38
18.30
5.40
27.00
3.16
38.75
34.75
63.25
67.50
25.25
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
93
36
90
92
40
104
21
20
29
50
9
13
1
79
14
39
22
43
16
15
71
Factor model by rank: Fundamental-cum-technical approaches
Overall scores (fundamental & technical); data as of August 26, 2014
Stock
Forward PE
Yr 14 Yr 14-16
Fundamentals
Dvd Yield
EPS Growth
Yr 14 Yr 14-16 Yr 14 Yr 14-16
Technical
ROE
DE
Directional Momentum Money Flow
Price
Current Previous
Ranks
Ranks
TIER 2
STPI
GLOBAL
KTC
ERW
SCCC
IRPC
QH
TVO
GFPT
PTT
SPCG
TCAP
SAMART
MAKRO
CPN
BLAND
SCC
RATCH
LH
HMPRO
AOT
KTB
10.7
42.9
12.2
4720.0
17.6
40.5
12.7
12.2
12.0
9.4
14.9
8.2
14.6
37.2
29.6
66.7
14.6
12.8
17.6
34.2
27.4
10.1
13.0
34.1
10.9
1595.0
16.4
24.5
11.2
12.3
11.2
9.0
11.5
7.3
12.7
30.6
25.6
42.9
12.9
12.2
16.0
29.4
23.2
8.8
3.8%
0.7%
3.5%
0.9%
3.9%
2.3%
3.7%
6.3%
2.5%
3.9%
2.4%
4.0%
3.6%
2.3%
1.3%
2.0%
3.3%
4.0%
4.3%
1.4%
1.5%
4.0%
3.6%
0.7%
3.8%
1.3%
4.3%
2.7%
4.2%
6.3%
2.7%
4.0%
3.4%
4.4%
4.2%
2.9%
1.5%
1.2%
3.7%
4.2%
4.9%
1.5%
1.7%
4.5%
48.6%
3.0%
9.1%
-98.5%
16.9%
107.5%
-4.7%
54.5%
17.8%
7.8%
123.9%
-42.5%
19.9%
21.0%
14.8%
-74.6%
-2.5%
7.8%
-1.7%
12.9%
-11.3%
-3.1%
3.6%
18.7%
12.4%
3759.0%
10.8%
86.7%
7.8%
18.0%
10.5%
4.5%
61.0%
-6.0%
17.0%
22.4%
15.7%
6.4%
8.4%
7.1%
7.0%
16.1%
9.1%
8.8%
35.9%
6.4%
22.7%
-0.5%
26.6%
3.2%
18.7%
24.9%
28.2%
15.4%
27.7%
12.2%
23.6%
40.5%
19.3%
4.5%
21.6%
11.4%
18.9%
25.0%
16.8%
16.5%
Sources: Bloomberg, BLS
Quantitative Strategyslide 7
0.0
0.3
6.0
1.6
0.4
0.8
1.4
0.2
0.5
0.5
4.5
1.7
1.0
0.4
0.4
0.1
1.0
0.4
0.9
0.8
0.4
1.3
25.7
41.8
67.5
34.5
11.1
26.1
30.2
-49.8
54.8
-33.9
-65.8
26.3
30.3
-14.5
18.7
28.1
-11.3
54.2
-18.2
19.4
43.2
37.2
6.5
5.9
2.1
0.3
-0.5
0.4
1.8
-1.3
-0.3
0.3
-2.0
3.1
5.8
-0.5
3.9
0.6
-0.6
4.3
5.4
1.6
4.1
2.5
0.2
4.6
2.5
6.2
5.9
4.7
3.0
4.4
2.6
5.6
1.8
6.0
-0.4
2.7
3.8
7.0
4.2
2.3
2.1
1.6
1.5
0.7
20.50
14.20
66.00
4.72
428.00
3.36
4.36
22.40
17.00
333.00
25.50
35.25
25.75
40.50
48.25
2.20
434.00
59.00
11.00
10.80
235.00
23.70
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
34
17
42
100
60
57
94
70
67
99
5
103
24
48
64
95
41
33
30
32
72
59
Factor model by rank: Fundamental-cum-technical approaches
Overall scores (fundamental & technical); data as of August 26, 2014
Stock
Forward PE
Yr 14 Yr 14-16
Fundamentals
Dvd Yield
EPS Growth
Yr 14 Yr 14-16 Yr 14 Yr 14-16
Technical
ROE
DE
Directional Momentum Money Flow
Price
Current Previous
Ranks
Ranks
TIER 3
ADVANC
KSL
SRICHA
KKP
SC
BH
PTTEP
INTUCH
PS
BCP
HANA
TOP
TMB
STEC
BGH
SCB
JAS
BIGC
AAV
AP
BANPU
16.4
10.8
11.5
10.7
10.3
37.5
10.1
14.1
13.0
9.5
11.5
12.6
16.6
24.4
40.5
12.0
12.5
27.5
46.0
9.8
20.1
14.6
9.6
9.8
8.8
8.9
32.4
9.9
12.4
11.4
8.8
12.0
11.2
14.5
22.9
34.3
10.7
10.5
23.9
26.7
8.8
15.9
6.1%
3.5%
6.6%
4.9%
3.6%
1.5%
3.8%
6.8%
2.4%
4.2%
4.5%
3.8%
2.0%
2.0%
1.1%
3.0%
4.0%
1.1%
1.5%
3.6%
3.0%
7.0%
3.9%
6.5%
5.9%
4.6%
1.7%
4.0%
7.7%
2.6%
4.6%
4.6%
4.2%
2.3%
2.1%
1.4%
3.4%
5.2%
1.4%
0.8%
4.0%
3.6%
2.7%
24.4%
3.5%
-26.5%
35.7%
4.3%
16.0%
7.3%
2.6%
22.6%
83.0%
-37.1%
37.9%
-10.4%
15.3%
7.2%
24.5%
4.0%
-53.5%
8.5%
73.8%
10.4%
15.0%
14.1%
5.1%
23.2%
12.6%
5.9%
12.4%
9.3%
11.8%
27.4%
-5.3%
23.7%
1.1%
18.5%
10.5%
21.0%
12.0%
37.8%
9.4%
47.6%
74.5%
14.7%
40.2%
11.3%
9.3%
27.7%
14.4%
58.5%
27.7%
13.9%
20.7%
13.8%
12.8%
26.3%
16.6%
21.3%
30.7%
20.1%
1.8%
17.2%
5.6%
Sources: Bloomberg, BLS
Quantitative Strategyslide 8
0.8
1.5
0.0
1.5
1.4
0.5
0.3
0.3
1.0
0.9
0.0
0.8
1.7
0.0
0.5
1.0
0.3
0.7
0.3
1.2
1.2
-35.8
19.0
-44.4
43.4
9.6
37.3
-39.1
-58.1
-10.5
13.6
44.5
10.1
-1.9
34.6
52.6
17.7
-7.1
24.3
3.9
4.0
-30.0
-0.2
-0.2
1.2
1.4
0.3
0.6
-1.6
-1.7
-1.5
7.1
1.5
0.6
1.6
2.4
1.7
1.6
2.5
0.5
-0.5
1.2
-1.3
-5.0
3.2
-1.2
3.4
1.1
0.5
5.7
-1.5
2.8
-1.0
-2.2
4.0
0.5
0.0
1.0
-0.8
-2.8
2.3
3.8
-0.7
2.9
206.00
13.50
35.75
41.50
3.92
135.50
166.50
69.00
34.75
33.50
37.00
52.25
3.02
24.90
18.90
189.50
6.55
242.00
4.60
7.50
32.00
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
4
44
8
53
12
7
66
2
84
46
78
26
106
47
25
37
76
81
98
63
75
Factor model by rank: Fundamental-cum-technical approaches
Overall scores (fundamental & technical); data as of August 26, 2014
Stock
Forward PE
Yr 14 Yr 14-16
Fundamentals
Dvd Yield
EPS Growth
Yr 14 Yr 14-16 Yr 14 Yr 14-16
Technical
ROE
DE
Directional Momentum Money Flow
Price
Current Previous
Ranks
Ranks
TIER 4
JMART
BBL
DTAC
MAJOR
ROBINS
GLOW
PTTGC
TTW
THAI
MCOT
LPN
OFM
WORK
TTCL
PSL
TASCO
AMATA
TICON
STA
CPF
EGCO
KCE
14.3
10.4
19.4
20.6
30.3
14.2
9.4
17.4
36.7
16.0
14.4
33.1
42.0
27.0
53.6
9.6
12.4
11.0
23.4
20.2
12.0
12.7
13.0
9.3
16.7
18.2
24.9
14.1
8.7
16.6
131.2
16.7
11.3
27.4
32.4
19.0
30.4
8.0
11.4
9.6
15.7
15.3
11.8
11.0
4.8%
3.6%
5.5%
4.2%
1.6%
3.6%
4.8%
5.0%
0.1%
6.0%
3.5%
1.3%
1.7%
2.0%
1.6%
3.1%
3.1%
5.7%
3.3%
2.6%
3.6%
2.6%
5.2%
3.9%
6.4%
4.8%
2.0%
4.2%
5.1%
5.2%
0.9%
5.8%
4.5%
1.6%
2.0%
2.8%
1.9%
3.9%
3.4%
6.6%
3.6%
3.6%
3.7%
3.0%
19.8%
3.9%
21.9%
-10.2%
8.3%
26.6%
2.2%
13.8%
0.0%
-28.8%
-2.7%
18.6%
-29.2%
-6.7%
-8.3%
9.6%
-4.7%
6.0%
-58.2%
50.0%
5.3%
36.3%
15.6%
9.7%
18.8%
6.8%
18.5%
9.6%
6.4%
7.4%
913.0%
-9.3%
15.2%
22.1%
8.9%
26.6%
57.7%
13.4%
6.2%
13.7%
16.7%
39.2%
4.0%
22.7%
24.0%
12.1%
31.1%
14.3%
18.1%
21.2%
14.4%
24.2%
-38.9%
16.4%
20.6%
9.9%
18.1%
19.5%
1.2%
13.7%
22.5%
12.7%
6.2%
9.2%
11.3%
32.6%
Sources: Bloomberg, BLS
Quantitative Strategyslide 9
1.1
0.9
0.8
0.7
0.2
1.3
0.5
1.1
3.8
0.0
0.7
0.0
0.3
0.2
0.7
2.1
0.7
1.6
0.7
1.5
0.7
0.9
-25.6
7.2
11.4
18.3
14.7
-56.6
-5.8
-53.2
-3.9
-2.1
-41.5
26.1
4.0
-53.4
-25.5
-28.8
-42.4
9.4
8.2
-2.9
24.4
-24.5
1.7
1.3
4.7
1.8
2.6
-1.8
2.1
-0.8
-1.7
-0.6
-3.1
1.1
0.4
-0.5
0.5
-0.1
1.4
-0.2
-0.5
0.5
1.2
-4.1
-0.7
0.7
-4.5
1.8
-0.2
2.0
0.6
-0.3
4.5
1.2
1.7
1.0
0.7
-0.2
1.6
-0.9
-0.9
-1.1
2.4
-1.2
-1.4
-1.7
13.20
203.00
109.00
21.80
58.75
88.75
66.25
12.20
15.50
25.25
22.10
50.25
29.75
31.00
25.00
57.50
16.80
17.80
13.90
29.25
166.50
39.25
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
28
61
11
45
68
91
52
86
88
49
58
74
56
19
10
62
82
101
83
18
27
96
Factor model by rank: Fundamental-cum-technical approaches
Overall scores (fundamental & technical); data as of August 26, 2014
Stock
Forward PE
Yr 14 Yr 14-16
Fundamentals
Dvd Yield
EPS Growth
Yr 14 Yr 14-16 Yr 14 Yr 14-16
18.4
19.8
24.7
25.8
34.8
15.4
34.8
19.7
10.5
10.9
11.7
25.0
17.8
23.2
24.1
45.9
28.5
12.1
565.9
10.8
344.0
126.0
4.0%
1.9%
1.9%
1.0%
1.6%
2.0%
1.6%
2.2%
7.6%
2.6%
1.9%
3.0%
5.6%
1.3%
2.1%
6.3%
1.0%
0.6%
0.2%
3.3%
3.3%
1.7%
Technical
ROE
DE
Directional Momentum Money Flow
Price
Current Previous
Ranks
Ranks
TIER 5
RS
BAY
THCOM
BLA
BCH
ESSO
BJC
RCL
ASP
AH
KBANK
M
DCC
TPIPL
WHA
BTS
TTA
SF
TRUE
SAT
THRE
SSI
18.0
17.2
20.5
20.6
29.6
13.9
31.5
18.1
10.3
9.2
10.3
21.9
15.8
21.6
21.0
43.4
22.6
12.5
251.2
9.6
123.7
46.9
3.7%
2.2%
2.7%
1.4%
1.9%
2.5%
1.8%
2.5%
7.8%
3.1%
2.2%
3.4%
6.3%
1.1%
2.3%
5.7%
1.5%
0.5%
0.1%
3.8%
1.9%
123.3%
-1.4%
11.5%
48.0%
-12.3%
17.4%
50.0%
-8.5%
50.0%
-29.8%
-28.2%
10.3%
-7.5%
2.1%
71.4%
-3.5%
14.2%
50.0%
61.5%
0.0%
-14.8%
50.0%
0.0%
1.1%
14.2%
28.9%
12.4%
18.3%
26.3%
3.8%
20.0%
-9.6%
4.5%
12.3%
7.0%
10.1%
29.3%
9.8%
8.9%
32.2%
16.2%
73.9%
2.8%
714.7%
16.7%
22.0%
9.1%
9.9%
14.1%
14.0%
-7.8%
13.6%
-15.1%
16.9%
8.6%
20.2%
29.2%
39.7%
1.8%
41.6%
4.3%
-15.7%
8.9%
-34.2%
17.8%
-89.4%
-88.1%
Sources: Bloomberg, BLS
Quantitative Strategyslide 10
0.3
1.7
0.6
0.0
0.9
1.7
1.0
0.6
0.1
0.8
1.0
0.0
0.2
0.2
1.1
0.1
0.5
0.5
14.6
0.6
0.0
6.8
-65.7
14.1
-2.7
17.5
9.8
-25.7
23.7
-1.9
-59.3
-48.9
-21.8
-73.6
-17.0
-42.7
-44.9
8.9
-22.6
14.2
8.4
-41.9
-33.3
8.1
-1.0
-0.7
4.5
-6.4
-2.2
-0.6
-7.0
-0.4
-2.8
2.2
-1.1
-7.5
-6.3
-4.3
-2.0
-0.7
1.6
-1.8
-0.3
-2.2
-0.7
-2.2
-0.8
1.6
-5.5
1.6
-0.5
0.9
2.5
0.6
-0.8
-4.9
-4.1
-1.8
-5.0
0.8
-7.5
-1.7
-2.6
-4.3
0.4
-7.1
1.3
0.1
7.90
51.00
39.25
82.00
9.40
5.95
48.75
11.40
3.76
16.10
222.00
59.50
57.75
15.40
35.25
9.60
21.00
6.80
10.70
17.60
3.44
0.34
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
3
87
54
89
55
97
102
85
51
80
38
73
69
31
35
6
65
23
108
77
107
105
Factor model: Fundamental approaches
Fundamental scores; data as of August 26, 2014
Stock
Forward PE
14
14-16
Fundamentals
Dvd Yield
EPS Growth
14
14-16
14
14-16
ROE
DE
36.5%
74.5%
58.5%
27.7%
12.2%
60.7%
60.5%
44.6%
1.6%
40.2%
32.6%
30.7%
39.7%
20.7%
39.7%
40.5%
24.6%
41.6%
31.1%
35.9%
38.3%
0.2
0.8
0.3
4.5
2.3
0.0
0.0
0.0
1.2
0.0
0.9
0.3
0.2
0.0
6.4
0.4
0.8
1.1
0.8
0.0
1.0
Price
Current Previous
Ranks
Ranks
TIER 1
GUNKUL
ADVANC
INTUCH
SPCG
CK
VGI
BEC
SVI
CCET
SRICHA
KCE
JAS
DCC
HANA
CPALL
MAKRO
SPALI
WHA
DTAC
STPI
HEMRAJ
29.0
16.4
14.1
14.9
35.5
34.3
18.8
9.2
10.2
11.5
12.7
12.5
17.8
11.5
34.9
37.2
10.4
24.1
19.4
10.7
12.7
23.5
14.6
12.4
11.5
32.1
30.1
17.3
9.6
9.0
9.8
11.0
10.5
15.8
12.0
27.5
30.6
9.1
21.0
16.7
13.0
11.7
0.9%
6.1%
6.8%
2.4%
1.6%
2.5%
5.1%
4.3%
5.3%
6.6%
2.6%
4.0%
5.6%
4.5%
1.8%
2.3%
3.8%
2.1%
5.5%
3.8%
3.6%
1.1%
7.0%
7.7%
3.4%
1.5%
2.9%
5.5%
4.6%
5.7%
6.5%
3.0%
5.2%
6.3%
4.6%
2.2%
2.9%
4.4%
2.3%
6.4%
3.6%
4.1%
413.9%
2.7%
7.3%
123.9%
704.4%
31.6%
-8.9%
58.0%
178.8%
3.5%
36.3%
24.5%
2.1%
83.0%
15.5%
21.0%
45.0%
-3.5%
21.9%
48.6%
-23.0%
159.4%
10.4%
12.4%
61.0%
243.4%
20.4%
3.4%
19.7%
66.6%
14.1%
22.7%
21.0%
10.1%
27.4%
24.9%
22.4%
23.1%
9.8%
18.8%
3.6%
-1.5%
Sources: Bloomberg, BLS
Quantitative Strategyslide 11
18.30
206.00
69.00
25.50
27.00
13.40
47.75
4.28
3.02
35.75
39.25
6.55
57.75
37.00
47.00
40.50
25.25
35.25
109.00
20.50
4.36
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
1
2
3
6
4
7
8
5
9
10
11
12
14
17
13
15
16
18
19
20
23
We examined five
fundamental features of
each stock to arrive at a
cross-section of values and
risk. The five fundamental
factors in the model were
determined by back-testing
to see which features
correlated most closely
with future share price
appreciation.
Fundamental preferences:
GUNKUL, ADVANC,
INTUCH, SPCG, CK, VGI,
BEC, SVI, CCET, SRICHA,
KCE, JAS, DCC, HANA,
CPALL, MAKRO, SPALI,
WHA, DTAC, STPI and
HEMRAJ.
Factor model: Fundamental approaches
Fundamental scores; data as of August 26, 2014
Stock
Forward PE
14
14-16
Fundamentals
Dvd Yield
EPS Growth
14
14-16
14
14-16
ROE
DE
Price
Current Previous
Ranks
Ranks
Stock
Forward PE
14
14-16
Fundamentals
Dvd Yield
EPS Growth
14
14-16
14
14-16
TIER 2
ROE
DE
Price
Current Previous
Ranks
Ranks
TIER 3
TVO
12.2
12.3
6.3%
6.3%
54.5%
18.0%
24.9%
0.2
22.40
22
26
CPF
20.2
15.3
2.6%
3.6%
50.0%
39.2%
9.2%
1.5
29.25
44
49
GFPT
12.0
11.2
2.5%
2.7%
17.8%
10.5%
28.2%
0.5
17.00
23
42
HMPRO
34.2
29.4
1.4%
1.5%
12.9%
16.1%
25.0%
0.8
10.80
45
44
SAMART
14.6
12.7
3.6%
4.2%
19.9%
17.0%
23.6%
1.0
25.75
24
21
JMART
14.3
13.0
4.8%
5.2%
19.8%
15.6%
24.0%
1.1
13.20
25
25
PS
13.0
11.4
2.4%
2.6%
2.6%
9.3%
27.7%
1.0
34.75
26
32
KTC
12.2
10.9
3.5%
3.8%
9.1%
12.4%
22.7%
6.0
66.00
27
58
SCCC
17.6
16.4
3.9%
4.3%
16.9%
10.8%
26.6%
0.4
428.00
28
30
TASCO
9.6
8.0
3.1%
3.9%
9.6%
13.4%
13.7%
2.1
57.50
46
46
BANPU
20.1
15.9
3.0%
3.6%
73.8%
47.6%
5.6%
1.2
32.00
47
29
KSL
10.8
9.6
3.5%
3.9%
24.4%
15.0%
14.7%
1.5
13.50
48
53
AMATA
12.4
11.4
3.1%
3.4%
-4.7%
6.2%
22.5%
0.7
16.80
49
51
TUF
15.4
13.2
3.3%
3.9%
75.7%
36.4%
11.0%
0.9
67.50
29
37
SCC
14.6
12.9
3.3%
3.7%
-2.5%
8.4%
21.6%
1.0
434.00
50
50
LPN
14.4
11.3
3.5%
4.5%
-2.7%
15.2%
20.6%
0.7
22.10
30
31
GLOW
14.2
14.1
3.6%
4.2%
26.6%
9.6%
21.2%
1.3
88.75
51
52
ANAN
11.7
9.5
2.0%
2.5%
12.5%
20.9%
14.8%
0.7
3.16
31
24
AP
9.8
8.8
3.6%
4.0%
8.5%
9.4%
17.2%
1.2
7.50
52
60
25.0
21.9
3.0%
3.4%
-7.5%
7.0%
29.2%
0.0
59.50
32
36
TICON
11.0
9.6
5.7%
6.6%
6.0%
13.7%
12.7%
1.6
17.80
53
38
DELTA
13.7
12.7
4.3%
4.7%
11.4%
9.4%
24.0%
0.0
63.25
33
35
STEC
24.4
22.9
2.0%
2.1%
-10.4%
1.1%
26.3%
0.0
24.90
54
65
SC
10.3
8.9
3.6%
4.6%
35.7%
23.2%
9.3%
1.4
3.92
34
34
KTB
10.1
8.8
4.0%
4.5%
-3.1%
8.8%
16.5%
1.3
23.70
55
54
BCP
9.5
8.8
4.2%
4.6%
22.6%
11.8%
13.9%
0.9
33.50
56
48
QH
12.7
11.2
3.7%
4.2%
-4.7%
7.8%
18.7%
1.4
4.36
57
56
TISCO
8.5
7.4
4.8%
5.4%
-7.0%
8.2%
17.7%
2.9
43.75
35
28
BH
37.5
32.4
1.5%
1.7%
4.3%
12.6%
27.7%
0.5
135.50
36
47
TTCL
27.0
19.0
2.0%
2.8%
-6.7%
26.6%
19.5%
0.2
31.00
37
22
SCB
12.0
10.7
3.0%
3.4%
7.2%
10.5%
21.3%
1.0
189.50
38
39
SIRI
9.1
8.2
5.1%
5.4%
7.5%
9.4%
17.3%
2.3
2.08
39
41
KBANK
11.7
10.3
1.9%
2.2%
10.3%
12.3%
20.2%
1.0
222.00
40
43
BECL
11.3
10.5
4.4%
4.6%
53.9%
23.4%
10.7%
1.2
38.75
41
40
TMB
16.6
14.5
2.0%
2.3%
37.9%
23.7%
12.8%
1.7
3.02
58
55
LH
17.6
16.0
4.3%
4.9%
-1.7%
7.0%
18.9%
0.9
11.00
59
63
BIGC
27.5
23.9
1.1%
1.4%
4.0%
12.0%
20.1%
0.7
242.00
60
67
ROBINS
30.3
24.9
1.6%
2.0%
8.3%
18.5%
18.1%
0.2
58.75
61
66
64
TTW
17.4
16.6
5.0%
5.2%
13.8%
7.4%
24.2%
1.1
12.20
42
45
CPN
29.6
25.6
1.3%
1.5%
14.8%
15.7%
19.3%
0.4
48.25
62
IRPC
40.5
24.5
2.3%
2.7%
107.5%
86.7%
3.2%
0.8
3.36
43
27
PTTGC
9.4
8.7
4.8%
5.1%
2.2%
6.4%
14.4%
0.5
66.25
63
62
RS
18.4
18.0
4.0%
3.7%
-1.4%
1.1%
22.0%
0.3
7.90
64
68
Sources: Bloomberg, BLS
Quantitative Strategyslide 12
Factor model: Fundamental approaches
Fundamental scores; data as of August 26, 2014
Stock
Forward PE
14
14-16
Fundamentals
Dvd Yield
EPS Growth
14
14-16
14
14-16
ROE
DE
Price
Current Previous
Ranks
Ranks
Stock
Forward PE
14
14-16
Fundamentals
Dvd Yield
EPS Growth
14
14-16
14
14-16
ROE
DE
Price
Current Previous
Ranks
Ranks
TIER 5
TIER 4
LOXLEY
19.0
15.6
2.2%
3.1%
19.2%
34.4%
6.1%
0.5
4.38
65
61
EGCO
4.0%
11.3%
0.7
166.50
87
SAT
10.8
9.6
3.3%
3.8%
-14.8%
2.8%
17.8%
0.6
17.60
66
71
CENTEL
39.5
30.9
1.0%
1.3%
8.7%
21.8%
10.4%
1.0
39.50
88
86
BBL
10.4
9.3
3.6%
3.9%
3.9%
9.7%
12.1%
0.9
203.00
67
69
STA
23.4
15.7
3.3%
3.6%
-58.2%
16.7%
6.2%
0.7
13.90
89
100
MINT
31.0
26.1
1.1%
1.3%
7.3%
15.3%
17.8%
1.0
34.75
68
70
PSL
53.6
30.4
1.6%
1.9%
-8.3%
57.7%
1.2%
0.7
25.00
90
84
PTT
9.4
9.0
3.9%
4.0%
7.8%
4.5%
15.4%
0.5
333.00
69
78
BJC
34.8
31.5
1.6%
1.8%
-8.5%
3.8%
13.6%
1.0
48.75
91
89
PTTEP
10.1
9.9
3.8%
4.0%
16.0%
5.9%
14.4%
0.3
166.50
70
72
AH
10.9
9.2
2.6%
3.1%
-28.2%
4.5%
8.6%
0.8
16.10
92
87
MCOT
16.0
16.7
6.0%
5.8%
-28.8%
-9.3%
16.4%
0.0
25.25
71
79
TOP
12.6
11.2
3.8%
4.2%
-37.1%
-5.3%
13.8%
0.8
52.25
93
94
THCOM
24.7
20.5
1.9%
2.7%
48.0%
28.9%
9.9%
0.6
39.25
72
76
AAV
46.0
26.7
1.5%
0.8%
-53.5%
37.8%
1.8%
0.3
4.60
94
98
BGH
40.5
34.3
1.1%
1.4%
15.3%
18.5%
16.6%
0.5
18.90
73
77
TCAP
8.2
7.3
4.0%
4.4%
-42.5%
-6.0%
12.2%
1.7
35.25
95
96
WORK
42.0
32.4
1.7%
2.0%
-29.2%
8.9%
18.1%
0.3
29.75
74
75
TPIPL
23.2
21.6
1.3%
1.1%
71.4%
29.3%
1.8%
0.2
15.40
96
93
KKP
10.7
8.8
4.9%
5.9%
-26.5%
5.1%
11.3%
1.5
41.50
75
74
THAI
36.7
131.2
0.1%
0.9%
0.0%
913.0% -38.9%
3.8
15.50
97
103
AOT
27.4
23.2
1.5%
1.7%
-11.3%
9.1%
16.8%
0.4
235.00
76
73
ITD
37.8
31.0
1.1%
1.1%
-7.7%
15.1%
6.9%
2.4
5.40
98
99
BLA
25.8
20.6
1.0%
1.4%
-12.3%
12.4%
14.1%
0.0
82.00
77
57
GLOBAL
42.9
34.1
0.7%
0.7%
3.0%
18.7%
6.4%
0.3
14.20
99
95
MAJOR
20.6
18.2
4.2%
4.8%
-10.2%
6.8%
14.3%
0.7
21.80
78
81
ESSO
15.4
13.9
2.0%
2.5%
50.0%
26.3%
-7.8%
1.7
5.95
100
97
BCH
34.8
29.6
1.6%
1.9%
17.4%
18.3%
14.0%
0.9
9.40
79
82
BTS
45.9
43.4
6.3%
5.7%
14.2%
8.9%
4.3%
0.1
9.60
101
59
SF
12.1
12.5
0.6%
0.5%
61.5%
16.2%
8.9%
0.5
6.80
80
80
BLAND
66.7
42.9
2.0%
1.2%
-74.6%
6.4%
4.5%
0.1
2.20
102
101
RATCH
12.8
12.2
4.0%
4.2%
7.8%
7.1%
11.4%
0.4
59.00
81
85
ROJNA
11.7
17.8
4.6%
3.2%
50.0%
-4.8%
2.2%
1.9
8.20
103
102
IVL
32.0
23.7
1.1%
1.5%
50.0%
41.1%
4.2%
1.3
27.75
82
83
TTA
28.5
22.6
1.0%
1.5%
50.0%
32.2%
-15.7%
0.5
21.00
104
105
ASP
10.5
10.3
7.6%
7.8%
-29.8%
-9.6%
16.9%
0.1
3.76
83
91
RCL
19.7
18.1
2.2%
2.5%
50.0%
20.0%
-15.1%
0.6
11.40
105
104
ERW
4720.0
1595.0
0.9%
1.3%
-98.5% #####
-0.5%
1.6
4.72
84
33
TRUE
565.9
251.2
0.2%
0.1%
0.0%
73.9%
-34.2%
14.6
10.70
106
106
OFM
33.1
27.4
1.3%
1.6%
18.6%
22.1%
9.9%
0.0
50.25
85
90
THRE
344.0
123.7
3.3%
1.9%
50.0%
714.7% -89.4%
0.0
3.44
107
108
BAY
19.8
17.2
1.9%
2.2%
11.5%
14.2%
9.1%
1.7
51.00
86
88
SSI
126.0
46.9
1.7%
123.3%
0.0%
16.7%
6.8
0.34
108
107
Source: Bloomberg, BLS
Quantitative Strategyslide 13
12.0
11.8
3.6%
3.7%
5.3%
-88.1%
92
Factor model: Technical approaches
Technical scores; data as of August 26, 2014
Price
Current
Ranks
Previous
Ranks
8.20
2.08
39.50
4.36
3.02
27.75
5.40
43.75
4.38
47.00
14.20
2.20
34.75
35.25
38.75
4.72
3.16
63.25
13.40
67.50
333.00
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
66
34
105
99
107
39
61
27
8
75
6
76
33
101
25
103
49
11
62
10
97
Technical
Stock
Directional Momentum Money Flow
TIER 1
ROJNA
SIRI
CENTEL
HEMRAJ
CCET
IVL
ITD
TISCO
LOXLEY
CPALL
GLOBAL
BLAND
MINT
TCAP
BECL
ERW
ANAN
DELTA
VGI
TUF
PTT
81.0
40.2
66.8
55.2
54.9
71.0
56.9
77.9
41.2
56.5
41.8
28.1
40.8
26.3
14.9
34.5
29.8
29.6
65.8
53.5
-33.9
2.7
0.8
2.3
8.4
-0.6
2.6
2.2
4.3
3.4
2.1
5.9
0.6
2.1
3.1
1.4
0.3
2.1
-0.3
0.7
0.2
0.3
16.7
16.5
12.7
9.1
13.1
11.2
9.5
7.8
8.8
8.4
4.6
7.0
7.0
6.0
5.7
6.2
5.8
6.9
6.2
2.0
5.6
Sources: Bloomberg, BLS
Quantitative Strategyslide 14
We determined the predictive
power of momentum, directional
and volume indicators using
cross-sectional studies. Our
back-tested results indicate that
combined technical factors can
explain equity returns over a 1-2
month horizon. The pure
technical rankings are shown on
the table to the left (and on
slides 15 and 16).
The most attractive stocks in
terms of technical features:
ROJNA, SIRI, CENTEL,
HEMRAJ, CCET, IVL, ITD,
TISCO, LOXLEY, CPALL,
GLOBAL, BLAND, MINT, TCAP,
BECL, ERW, ANAN, DELTA,
VGI, TUF and PTT.
Factor model: Technical approaches
Technical scores; data as of August 26, 2014
Technical
Stock
Directional Momentum Money Flow
Price
Current
Ranks
Previous
Ranks
Technical
Stock
Directional Momentum Money Flow
TIER 2
Price
Current
Ranks
Previous
Ranks
86
TIER 3
RATCH
54.2
4.3
2.3
59.00
22
23
TVO
-49.8
-1.3
4.4
22.40
44
QH
30.2
1.8
3.0
4.36
23
94
THAI
-3.9
-1.7
4.5
15.50
45
52
CPN
18.7
3.9
3.8
48.25
24
65
KSL
19.0
-0.2
3.2
13.50
46
50
BCP
13.6
7.1
-1.0
33.50
47
53
TMB
-1.9
1.6
0.5
3.02
48
108
BEC
49.5
1.7
3.8
47.75
25
54
AOT
43.2
4.1
1.5
235.00
26
69
IRPC
26.1
0.4
4.7
3.36
27
73
TOP
10.1
0.6
4.0
52.25
28
12
LH
-18.2
5.4
2.1
11.00
29
26
KTC
67.5
2.1
2.5
66.00
30
41
SCCC
11.1
-0.5
5.9
428.00
31
78
STPI
25.7
6.5
0.2
20.50
32
51
KKP
43.4
1.4
3.4
41.50
33
45
AAV
3.9
-0.5
3.8
4.60
34
84
SVI
21.7
2.0
3.2
4.28
35
30
SCC
-11.3
-0.6
4.2
434.00
36
43
PTTEP
-39.1
-1.6
5.7
166.50
37
MAJOR
18.3
1.8
1.8
21.80
49
32
BH
37.3
0.6
0.5
135.50
50
STEC
34.6
2.4
0.0
24.90
51
47
BIGC
24.3
0.5
2.3
242.00
52
83
SC
9.6
0.3
1.1
3.92
53
OFM
26.1
1.1
1.0
50.25
54
63
59
BBL
7.2
1.3
0.7
203.00
55
PSL
-25.5
0.5
1.6
25.00
56
MAKRO
-14.5
-0.5
2.7
40.50
57
81
60
ROBINS
14.7
2.6
-0.2
58.75
58
71
4.0
1.2
-0.7
7.50
59
68
-10.5
-1.5
2.8
34.75
60
90
HMPRO
19.4
1.6
1.6
10.80
38
28
AP
SAMART
30.3
5.8
-0.4
25.75
39
29
PS
GFPT
54.8
-0.3
2.6
17.00
40
79
MCOT
-2.1
-0.6
1.2
25.25
61
38
SPALI
-32.7
-1.0
3.1
25.25
41
95
SCB
17.7
1.6
-0.8
189.50
62
36
KTB
37.2
2.5
0.7
23.70
42
67
CK
16.4
-0.7
1.7
27.00
63
57
BGH
52.6
1.7
1.0
18.90
43
19
WORK
4.0
0.4
0.7
29.75
64
48
Source: Bloomberg, BLS
Quantitative Strategyslide 15
Factor model: Technical approaches
Technical scores; data as of August 26, 2014
Technical
Stock
Directional MomentumMoney Flow
Price
Current
Ranks
Previous
Ranks
Technical
Stock
Directional Momentum Money Flow
Price
Current
Ranks
Previous
Ranks
TIER 5
TIER 4
PTTGC
-5.8
2.1
0.6
66.25
65
56
CPF
-2.9
0.5
-1.2
29.25
87
15
BANPU
-30.0
-1.3
2.9
32.00
66
87
SPCG
-65.8
-2.0
1.8
25.50
88
14
8.2
-0.5
2.4
13.90
67
64
JAS
-7.1
2.5
-2.8
6.55
89
98
THRE
-33.3
-0.7
1.3
3.44
68
55
SRICHA
-44.4
1.2
-1.2
35.75
90
21
GLOW
-56.6
-1.8
2.0
88.75
69
93
BLA
17.5
-6.4
1.6
82.00
91
91
RCL
-1.9
-0.4
0.6
11.40
70
42
BCH
9.8
-2.2
-0.5
9.40
92
44
TRUE
8.4
-0.3
0.4
10.70
71
89
THCOM
-2.7
4.5
-5.5
39.25
93
46
TTW
-53.2
-0.8
-0.3
12.20
72
92
BJC
23.7
-7.0
2.5
48.75
94
102
STA
EGCO
24.4
1.2
-1.4
166.50
73
17
TTA
-22.6
1.6
-2.6
21.00
95
24
JMART
-25.6
1.7
-0.7
13.20
74
31
ASP
-59.3
-2.8
-0.8
3.76
96
37
ESSO
-25.7
-0.6
0.9
5.95
75
80
AH
-48.9
2.2
-4.9
16.10
97
72
8.1
-2.2
0.1
0.34
76
40
TPIPL
-42.7
-4.3
0.8
15.40
98
20
-28.8
-0.1
-0.9
57.50
77
70
BTS
8.9
-0.7
-1.7
9.60
99
22
INTUCH
-58.1
-1.7
-1.5
69.00
100
KCE
-24.5
-4.1
-1.7
39.25
101
106
13
SSI
TASCO
TTCL
-53.4
-0.5
-0.2
31.00
78
GUNKUL
-27.6
-0.1
0.1
18.30
79
HANA
44.5
1.5
-2.2
37.00
80
100
ADVANC
-35.8
-0.2
-5.0
206.00
102
74
KBANK
-21.8
-1.1
-4.1
222.00
103
35
-73.6
-7.5
-1.8
59.50
104
85
LPN
-41.5
-3.1
1.7
22.10
81
AMATA
-42.4
1.4
-0.9
16.80
82
88
BAY
14.1
-0.7
1.6
51.00
83
82
SF
14.2
-1.8
-4.3
6.80
105
18
-41.9
-2.2
-7.1
17.60
106
77
TICON
9.4
-0.2
-1.1
17.80
84
104
SAT
DTAC
11.4
4.7
-4.5
109.00
85
16
WHA
-44.9
-2.0
-7.5
35.25
107
58
DCC
-17.0
-6.3
-5.0
57.75
108
96
RS
-65.7
-1.0
-0.8
7.90
86
Sources: Bloomberg, BLS
Quantitative Strategyslide 16
The SETs market breadths
The breadth of the latest rally has been strong (has included a lot of stocks), but the scope for further rises among
big-caps is largely exhausted. The implication is that the probability of market rising above 1600 is low.
Thai Strategyslide 17
The SETs Momentum Strength Index and volatility
The Momentum Strength Index model shows signs of bearish divergence, suggesting a greater probability of a trend
change in the stock market.
Our model projects that SET volatility will intensify this month. As such, the market is likely to enter a turbulent
phase.
Bearish divergence
Sources: Bloomberg, BLS
Quantitative Strategyslide 18
Comparative values: bonds versus equities and SET versus Asia
The SET is expensive compared to both long-term bonds and regional equities.
The yield spread between the 10-year Thai government bond and the SETs mean forward dividend yield puts the
main index in expensive territory, supporting our view that the market has only limited scope for upside.
Also, the SET doesnt look attractive in a dividend yield comparison against major stock indices. As such, we do not
expect significant foreign flows into the Thai market in the near-term.
Expensive
Expensive
Inexpensive
Inexpensive
Sources: Bloomberg, BLS
Quantitative Strategyslide 19
Appendix: Back-tested results and world equity monitors
Equity back-tested results: annual returns
Sources: Bloomberg, BLS
Quantitative Strategyslide 20
Our back-tested
results are based on
our hybrid model
fundamental plus
technical. We gauged
portfolio performances
by ranking stocks into
five groups from
highest to lowest
scores. Each portfolio
was rebalanced every
two weeks. Our study
shows that stocks in
groups 1-3
dramatically
outperformed stocks in
groups 4-5.
Forward PER expensive/inexpensive
Sources: Bloomberg, BLS
Quantitative Strategyslide 21
PBV expensive/inexpensive
Sources: Bloomberg, BLS
Quantitative Strategyslide 22
Yield spreads: Bonds versus equities
Sources: Bloomberg, BLS
Quantitative Strategyslide 23
Comparative dividend yield spreads between markets
Sources: Bloomberg, BLS
Quantitative Strategyslide 24
Momentum Strength Index
Sources: Bloomberg, BLS
Quantitative Strategyslide 25
Disclaimer:
This document was produced based on sources believed to be reliable, but their accuracy,
completeness and correctness can not be guaranteed. The statements or expressions of
opinion herein were arrived at after due and careful consideration for use as information for
investment. Expressions of opinion contained herein are subject to change without notice. This
document is not, and should not be construed as, an offer or the solicitation of an offer to buy
or sell securities. The use of any information shall be at the sole discretion and risk of the user.
Quantitative Strategyslide 26
