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Thai Strategyslide 1
SEE REQUIRED DISCLOSURES SECTION AT END OF NOTES
Bualuang Research
29 Aug 2014
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
Quantitative strategy
Sell into strength
Our quant model indicates that the SET isnow 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 bearishdivergence pattern against the SET, implying
greater risk of downside
Delete: DTAC, SF, PSL
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Quantitative Strategyslide 2
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. Ourreasoning 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.
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Quantitative Strategyslide 3
Recommended portfolio Type I: Balanced portfolio style
Sources: Bloomberg, BLS
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.
Stock 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%
Total equities 35%
Cash 65%
Performance Max
Since inception (30 Jul 14) Drawdown
Portfolio 2.32% -0.50%
SET 2.53% -1.34%
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Quantitative Strategyslide 4
Recommended portfolio Type II: Fully-invested portfolio style
Sources: Bloomberg, BLS
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.
Stock Recommendation % Allocation Recommendation
date
Return since
recommendationCCET BUY 4.8% 29-Aug-14 New Addition
SIRI BUY 4.8% 29-Aug-14 New Addition
HEMRAJ BUY 4.8% 29-Aug-14 New Addition
ROJNA BUY 4.8% 29-Aug-14 New Addition
CPALL BUY 4.8% 29-Aug-14 New Addition
CENTEL BUY 4.8% 29-Aug-14 New Addition
VGI HOLD 4.8% 30-Jul-14 2.8%
BEC HOLD 4.8% 15-Aug-14 2.4%
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
MINT 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%
SPALI BUY 4.8% 29-Aug-14 New Addition
Stock Recommendation % Allocation Recommendation
date
Return since
recommendationINTUCH SELL 0.0% 15-Aug-14 -0.7%
RS SELL 0.0% 15-Aug-14 -3.7%
ADVANC SELL 0.0% 30-Jul-14 3.1%
SPCG SELL 0.0% 15-Aug-14 -0.9%
BTS SELL 0.0% 15-Aug-14 0.4%
BH SELL 0.0% 30-Jul-14 14.7%
SRICHA SELL 0.0% 30-Jul-14 8.2%
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%
Total equities 100%
Performance Max
Since inception (30 Jul 14) DrawdownPortfolio 5.86% -0.95%
SET 2.53% -1.34%
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Quantitative Strategyslide 5
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.
Sources: Bloomberg, BLS
Tier Sector Technical Z-Score Previous Tier
AGRI Positive 5
ETRON Positive 4
FOOD Positive 1
MEDIA Positive 4
HELTH Positive 1TOURISM Positive 5
BANK Positive 4
COMM Negative 3
PROP Negative 5
CONMAT Negative 2
AUTO Negative 2
ICT Negative 2
CONS Negative 1
TRANS Negative 5
ENERG Negative 3
PETRO Negative 3
Tier 1
Tier 2
Tier 3
Tier 4
Tier 5
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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 cross-
sectional 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.
Quantitative Strategyslide 6
Sources: Bloomberg, BLS
Overall scores (fundamental & technical); data as of August 26, 2014
Current Previous
Price Ranks Ranks
Yr 14 Yr 14-16 Yr 14 Yr 14-16 Yr 14 Yr 14-16
CCET 10.2 9.0 5.3% 5.7% 178.8% 66.6% 1.6% 1.2 54.9 -0.6 13.1 3.02 1 93
SIRI 9.1 8.2 5.1% 5.4% 7.5% 9.4% 17.3% 2.3 40.2 0.8 16.5 2.08 2 36HEMRAJ 12.7 11.7 3.6% 4.1% -23.0% -1.5% 38.3% 1.0 55.2 8.4 9.1 4.36 3 90
ROJNA 11.7 17.8 4.6% 3.2% 50.0% -4.8% 2.2% 1.9 81.0 2.7 16.7 8.20 4 92
CPALL 34.9 27.5 1.8% 2.2% 15.5% 24.9% 39.7% 6.4 56.5 2.1 8.4 47.00 5 40
CENTEL 39.5 30.9 1.0% 1.3% 8.7% 21.8% 10.4% 1.0 66.8 2.3 12.7 39.50 6 104
VGI 34.3 30.1 2.5% 2.9% 31.6% 20.4% 60.7% 0.0 65.8 0.7 6.2 13.40 7 21
BEC 18.8 17.3 5.1% 5.5% -8.9% 3.4% 60.5% 0.0 49.5 1.7 3.8 47.75 8 20
TISCO 8.5 7.4 4.8% 5.4% -7.0% 8.2% 17.7% 2.9 77.9 4.3 7.8 43.75 9 29
IVL 32.0 23.7 1.1% 1.5% 50.0% 41.1% 4.2% 1.3 71.0 2.6 11.2 27.75 10 50
SVI 9.2 9.6 4.3% 4.6% 58.0% 19.7% 44.6% 0.0 21.7 2.0 3.2 4.28 11 9LOXLEY 19.0 15.6 2.2% 3.1% 19.2% 34.4% 6.1% 0.5 41.2 3.4 8.8 4.38 12 13
GUNKUL 29.0 23.5 0.9% 1.1% 413.9% 159.4% 36.5% 0.2 -27.6 -0.1 0.1 18.30 13 1
ITD 37.8 31.0 1.1% 1.1% -7.7% 15.1% 6.9% 2.4 56.9 2.2 9.5 5.40 14 79
CK 35.5 32.1 1.6% 1.5% 704.4% 243.4% 12.2% 2.3 16.4 -0.7 1.7 27.00 15 14
ANAN 11.7 9.5 2.0% 2.5% 12.5% 20.9% 14.8% 0.7 29.8 2.1 5.8 3.16 16 39
BECL 11.3 10.5 4.4% 4.6% 53.9% 23.4% 10.7% 1.2 14.9 1.4 5.7 38.75 17 22
MINT 31.0 26.1 1.1% 1.3% 7.3% 15.3% 17.8% 1.0 40.8 2.1 7.0 34.75 18 43
DELTA 13.7 12.7 4.3% 4.7% 11.4% 9.4% 24.0% 0.0 29.6 -0.3 6.9 63.25 19 16
TUF 15.4 13.2 3.3% 3.9% 75.7% 36.4% 11.0% 0.9 53.5 0.2 2.0 67.50 20 15SPALI 10.4 9.1 3.8% 4.4% 45.0% 23.1% 24.6% 0.8 -32.7 -1.0 3.1 25.25 21 71
Money FlowStock
TIER 1
TechnicalFundamentals
Forward PE Dvd Yield EPS GrowthROE DE Directional Momentum
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Quantitative Strategyslide 7
Sources: Bloomberg, BLS
Overall scores (fundamental & technical); data as of August 26, 2014
Factor model by rank: Fundamental-cum-technical approaches
Current Previous
Price Ranks Ranks
Yr 14 Yr 14-16 Yr 14 Yr 14-16 Yr 14 Yr 14-16
STPI 10.7 13.0 3.8% 3.6% 48.6% 3.6% 35.9% 0.0 25.7 6.5 0.2 20.50 22 34
GLOBAL 42.9 34.1 0.7% 0.7% 3.0% 18.7% 6.4% 0.3 41.8 5.9 4.6 14.20 23 17
KTC 12.2 10.9 3.5% 3.8% 9.1% 12.4% 22.7% 6.0 67.5 2.1 2.5 66.00 24 42
ERW 4720.0 1595.0 0.9% 1.3% -98.5% 3759.0% -0.5% 1.6 34.5 0.3 6.2 4.72 25 100
SCCC 17.6 16.4 3.9% 4.3% 16.9% 10.8% 26.6% 0.4 11.1 -0.5 5.9 428.00 26 60
IRPC 40.5 24.5 2.3% 2.7% 107.5% 86.7% 3.2% 0.8 26.1 0.4 4.7 3.36 27 57
QH 12.7 11.2 3.7% 4.2% -4.7% 7.8% 18.7% 1.4 30.2 1.8 3.0 4.36 28 94
TVO 12.2 12.3 6.3% 6.3% 54.5% 18.0% 24.9% 0.2 -49.8 -1.3 4.4 22.40 29 70
GFPT 12.0 11.2 2.5% 2.7% 17.8% 10.5% 28.2% 0.5 54.8 -0.3 2.6 17.00 30 67
PTT 9.4 9.0 3.9% 4.0% 7.8% 4.5% 15.4% 0.5 -33.9 0.3 5.6 333.00 31 99
SPCG 14.9 11.5 2.4% 3.4% 123.9% 61.0% 27.7% 4.5 -65.8 -2.0 1.8 25.50 32 5
TCAP 8.2 7.3 4.0% 4.4% -42.5% -6.0% 12.2% 1.7 26.3 3.1 6.0 35.25 33 103
SAMART 14.6 12.7 3.6% 4.2% 19.9% 17.0% 23.6% 1.0 30.3 5.8 -0.4 25.75 34 24
MAKRO 37.2 30.6 2.3% 2.9% 21.0% 22.4% 40.5% 0.4 -14.5 -0.5 2.7 40.50 35 48
CPN 29.6 25.6 1.3% 1.5% 14.8% 15.7% 19.3% 0.4 18.7 3.9 3.8 48.25 36 64
BLAND 66.7 42.9 2.0% 1.2% -74.6% 6.4% 4.5% 0.1 28.1 0.6 7.0 2.20 37 95
SCC 14.6 12.9 3.3% 3.7% -2.5% 8.4% 21.6% 1.0 -11.3 -0.6 4.2 434.00 38 41
RATCH 12.8 12.2 4.0% 4.2% 7.8% 7.1% 11.4% 0.4 54.2 4.3 2.3 59.00 39 33
LH 17.6 16.0 4.3% 4.9% -1.7% 7.0% 18.9% 0.9 -18.2 5.4 2.1 11.00 40 30HMPRO 34.2 29.4 1.4% 1.5% 12.9% 16.1% 25.0% 0.8 19.4 1.6 1.6 10.80 41 32
AOT 27.4 23.2 1.5% 1.7% -11.3% 9.1% 16.8% 0.4 43.2 4.1 1.5 235.00 42 72
KTB 10.1 8.8 4.0% 4.5% -3.1% 8.8% 16.5% 1.3 37.2 2.5 0.7 23.70 43 59
Money FlowStock
TIER 2
TechnicalFundamentals
Forward PE Dvd Yield EPS GrowthROE DE Directional Momentum
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Quantitative Strategyslide 8
Sources: Bloomberg, BLS
Overall scores (fundamental & technical); data as of August 26, 2014
Factor model by rank: Fundamental-cum-technical approaches
Current Previous
Price Ranks Ranks
Yr 14 Yr 14-16 Yr 14 Yr 14-16 Yr 14 Yr 14-16
ADVANC 16.4 14.6 6.1% 7.0% 2.7% 10.4% 74.5% 0.8 -35.8 -0.2 -5.0 206.00 44 4KSL 10.8 9.6 3.5% 3.9% 24.4% 15.0% 14.7% 1.5 19.0 -0.2 3.2 13.50 45 44
SRICHA 11.5 9.8 6.6% 6.5% 3.5% 14.1% 40.2% 0.0 -44.4 1.2 -1.2 35.75 46 8
KKP 10.7 8.8 4.9% 5.9% -26.5% 5.1% 11.3% 1.5 43.4 1.4 3.4 41.50 47 53
SC 10.3 8.9 3.6% 4.6% 35.7% 23.2% 9.3% 1.4 9.6 0.3 1.1 3.92 48 12
BH 37.5 32.4 1.5% 1.7% 4.3% 12.6% 27.7% 0.5 37.3 0.6 0.5 135.50 49 7
PTTEP 10.1 9.9 3.8% 4.0% 16.0% 5.9% 14.4% 0.3 -39.1 -1.6 5.7 166.50 50 66
INTUCH 14.1 12.4 6.8% 7.7% 7.3% 12.4% 58.5% 0.3 -58.1 -1.7 -1.5 69.00 51 2
PS 13.0 11.4 2.4% 2.6% 2.6% 9.3% 27.7% 1.0 -10.5 -1.5 2.8 34.75 52 84
BCP 9.5 8.8 4.2% 4.6% 22.6% 11.8% 13.9% 0.9 13.6 7.1 -1.0 33.50 53 46HANA 11.5 12.0 4.5% 4.6% 83.0% 27.4% 20.7% 0.0 44.5 1.5 -2.2 37.00 54 78
TOP 12.6 11.2 3.8% 4.2% -37.1% -5.3% 13.8% 0.8 10.1 0.6 4.0 52.25 55 26
TMB 16.6 14.5 2.0% 2.3% 37.9% 23.7% 12.8% 1.7 -1.9 1.6 0.5 3.02 56 106
STEC 24.4 22.9 2.0% 2.1% -10.4% 1.1% 26.3% 0.0 34.6 2.4 0.0 24.90 57 47
BGH 40.5 34.3 1.1% 1.4% 15.3% 18.5% 16.6% 0.5 52.6 1.7 1.0 18.90 58 25
SCB 12.0 10.7 3.0% 3.4% 7.2% 10.5% 21.3% 1.0 17.7 1.6 -0.8 189.50 59 37
JAS 12.5 10.5 4.0% 5.2% 24.5% 21.0% 30.7% 0.3 -7.1 2.5 -2.8 6.55 60 76
BIGC 27.5 23.9 1.1% 1.4% 4.0% 12.0% 20.1% 0.7 24.3 0.5 2.3 242.00 61 81
AAV 46.0 26.7 1.5% 0.8% -53.5% 37.8% 1.8% 0.3 3.9 -0.5 3.8 4.60 62 98AP 9.8 8.8 3.6% 4.0% 8.5% 9.4% 17.2% 1.2 4.0 1.2 -0.7 7.50 63 63
BANPU 20.1 15.9 3.0% 3.6% 73.8% 47.6% 5.6% 1.2 -30.0 -1.3 2.9 32.00 64 75
TIER 3
Money FlowStock
TechnicalFundamentals
Forward PE Dvd Yield EPS GrowthROE DE Directional Momentum
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Quantitative Strategyslide 9
Sources: Bloomberg, BLS
Overall scores (fundamental & technical); data as of August 26, 2014
Factor model by rank: Fundamental-cum-technical approaches
Current Previous
Price Ranks Ranks
Yr 14 Yr 14-16 Yr 14 Yr 14-16 Yr 14 Yr 14-16
JMART 14.3 13.0 4.8% 5.2% 19.8% 15.6% 24.0% 1.1 -25.6 1.7 -0.7 13.20 65 28
BBL 10.4 9.3 3.6% 3.9% 3.9% 9.7% 12.1% 0.9 7.2 1.3 0.7 203.00 66 61DTAC 19.4 16.7 5.5% 6.4% 21.9% 18.8% 31.1% 0.8 11.4 4.7 -4.5 109.00 67 11
MAJOR 20.6 18.2 4.2% 4.8% -10.2% 6.8% 14.3% 0.7 18.3 1.8 1.8 21.80 68 45
ROBINS 30.3 24.9 1.6% 2.0% 8.3% 18.5% 18.1% 0.2 14.7 2.6 -0.2 58.75 69 68
GLOW 14.2 14.1 3.6% 4.2% 26.6% 9.6% 21.2% 1.3 -56.6 -1.8 2.0 88.75 70 91
PTTGC 9.4 8.7 4.8% 5.1% 2.2% 6.4% 14.4% 0.5 -5.8 2.1 0.6 66.25 71 52
TTW 17.4 16.6 5.0% 5.2% 13.8% 7.4% 24.2% 1.1 -53.2 -0.8 -0.3 12.20 72 86
THAI 36.7 131.2 0.1% 0.9% 0.0% 913.0% -38.9% 3.8 -3.9 -1.7 4.5 15.50 73 88
MCOT 16.0 16.7 6.0% 5.8% -28.8% -9.3% 16.4% 0.0 -2.1 -0.6 1.2 25.25 74 49
LPN 14.4 11.3 3.5% 4.5% -2.7% 15.2% 20.6% 0.7 -41.5 -3.1 1.7 22.10 75 58OFM 33.1 27.4 1.3% 1.6% 18.6% 22.1% 9.9% 0.0 26.1 1.1 1.0 50.25 76 74
WORK 42.0 32.4 1.7% 2.0% -29.2% 8.9% 18.1% 0.3 4.0 0.4 0.7 29.75 77 56
TTCL 27.0 19.0 2.0% 2.8% -6.7% 26.6% 19.5% 0.2 -53.4 -0.5 -0.2 31.00 78 19
PSL 53.6 30.4 1.6% 1.9% -8.3% 57.7% 1.2% 0.7 -25.5 0.5 1.6 25.00 79 10
TASCO 9.6 8.0 3.1% 3.9% 9.6% 13.4% 13.7% 2.1 -28.8 -0.1 -0.9 57.50 80 62
AMATA 12.4 11.4 3.1% 3.4% -4.7% 6.2% 22.5% 0.7 -42.4 1.4 -0.9 16.80 81 82
TICON 11.0 9.6 5.7% 6.6% 6.0% 13.7% 12.7% 1.6 9.4 -0.2 -1.1 17.80 82 101
STA 23.4 15.7 3.3% 3.6% -58.2% 16.7% 6.2% 0.7 8.2 -0.5 2.4 13.90 83 83
CPF 20.2 15.3 2.6% 3.6% 50.0% 39.2% 9.2% 1.5 -2.9 0.5 -1.2 29.25 84 18EGCO 12.0 11.8 3.6% 3.7% 5.3% 4.0% 11.3% 0.7 24.4 1.2 -1.4 166.50 85 27
KCE 12.7 11.0 2.6% 3.0% 36.3% 22.7% 32.6% 0.9 -24.5 -4.1 -1.7 39.25 86 96
TIER 4
Money FlowStock
TechnicalFundamentals
Forward PE Dvd Yield EPS GrowthROE DE Directional Momentum
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Quantitative Strategyslide 10
Sources: Bloomberg, BLS
Overall scores (fundamental & technical); data as of August 26, 2014
Factor model by rank: Fundamental-cum-technical approaches
Current Previous
Price Ranks Ranks
Yr 14 Yr 14-16 Yr 14 Yr 14-16 Yr 14 Yr 14-16
RS 18.4 18.0 4.0% 3.7% -1.4% 1.1% 22.0% 0.3 -65.7 -1.0 -0.8 7.90 87 3BAY 19.8 17.2 1.9% 2.2% 11.5% 14.2% 9.1% 1.7 14.1 -0.7 1.6 51.00 88 87
THCOM 24.7 20.5 1.9% 2.7% 48.0% 28.9% 9.9% 0.6 -2.7 4.5 -5.5 39.25 89 54
BLA 25.8 20.6 1.0% 1.4% -12.3% 12.4% 14.1% 0.0 17.5 -6.4 1.6 82.00 90 89
BCH 34.8 29.6 1.6% 1.9% 17.4% 18.3% 14.0% 0.9 9.8 -2.2 -0.5 9.40 91 55
ESSO 15.4 13.9 2.0% 2.5% 50.0% 26.3% -7.8% 1.7 -25.7 -0.6 0.9 5.95 92 97
BJC 34.8 31.5 1.6% 1.8% -8.5% 3.8% 13.6% 1.0 23.7 -7.0 2.5 48.75 93 102
RCL 19.7 18.1 2.2% 2.5% 50.0% 20.0% -15.1% 0.6 -1.9 -0.4 0.6 11.40 94 85
ASP 10.5 10.3 7.6% 7.8% -29.8% -9.6% 16.9% 0.1 -59.3 -2.8 -0.8 3.76 95 51
AH 10.9 9.2 2.6% 3.1% -28.2% 4.5% 8.6% 0.8 -48.9 2.2 -4.9 16.10 96 80KBANK 11.7 10.3 1.9% 2.2% 10.3% 12.3% 20.2% 1.0 -21.8 -1.1 -4.1 222.00 97 38
M 25.0 21.9 3.0% 3.4% -7.5% 7.0% 29.2% 0.0 -73.6 -7.5 -1.8 59.50 98 73
DCC 17.8 15.8 5.6% 6.3% 2.1% 10.1% 39.7% 0.2 -17.0 -6.3 -5.0 57.75 99 69
TPIPL 23.2 21.6 1.3% 1.1% 71.4% 29.3% 1.8% 0.2 -42.7 -4.3 0.8 15.40 100 31
WHA 24.1 21.0 2.1% 2.3% -3.5% 9.8% 41.6% 1.1 -44.9 -2.0 -7.5 35.25 101 35
BTS 45.9 43.4 6.3% 5.7% 14.2% 8.9% 4.3% 0.1 8.9 -0.7 -1.7 9.60 102 6
TTA 28.5 22.6 1.0% 1.5% 50.0% 32.2% -15.7% 0.5 -22.6 1.6 -2.6 21.00 103 65
SF 12.1 12.5 0.6% 0.5% 61.5% 16.2% 8.9% 0.5 14.2 -1.8 -4.3 6.80 104 23
TRUE 565.9 251.2 0.2% 0.1% 0.0% 73.9% -34.2% 14.6 8.4 -0.3 0.4 10.70 105 108SAT 10.8 9.6 3.3% 3.8% -14.8% 2.8% 17.8% 0.6 -41.9 -2.2 -7.1 17.60 106 77
THRE 344.0 123.7 3.3% 1.9% 50.0% 714.7% -89.4% 0.0 -33.3 -0.7 1.3 3.44 107 107
SSI 126.0 46.9 1.7% 123.3% 0.0% 16.7% -88.1% 6.8 8.1 -2.2 0.1 0.34 108 105
TIER 5
Money FlowStock
TechnicalFundamentals
Forward PE Dvd Yield EPS GrowthROE DE Directional Momentum
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Factor model: Fundamental approaches
We examined five
fundamental features of
each stock to arrive at a
cross-section of values andrisk. 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.
Quantitative Strategyslide 11
Sources: Bloomberg, BLS
Fundamental scores; data as of August 26, 2014
Current Previous
Price Ranks Ranks
14 14-16 14 14-16 14 14-16
GUNKUL 29.0 23.5 0.9% 1.1% 413.9% 159.4% 36.5% 0.2 18.30 1 1ADVANC 16.4 14.6 6.1% 7.0% 2.7% 10.4% 74.5% 0.8 206.00 2 2
INTUCH 14.1 12.4 6.8% 7.7% 7.3% 12.4% 58.5% 0.3 69.00 3 3
SPCG 14.9 11.5 2.4% 3.4% 123.9% 61.0% 27.7% 4.5 25.50 4 6
CK 35.5 32.1 1.6% 1.5% 704.4% 243.4% 12.2% 2.3 27.00 5 4
VGI 34.3 30.1 2.5% 2.9% 31.6% 20.4% 60.7% 0.0 13.40 6 7
BEC 18.8 17.3 5.1% 5.5% -8.9% 3.4% 60.5% 0.0 47.75 7 8
SVI 9.2 9.6 4.3% 4.6% 58.0% 19.7% 44.6% 0.0 4.28 8 5
CCET 10.2 9.0 5.3% 5.7% 178.8% 66.6% 1.6% 1.2 3.02 9 9
SRICHA 11.5 9.8 6.6% 6.5% 3.5% 14.1% 40.2% 0.0 35.75 10 10KCE 12.7 11.0 2.6% 3.0% 36.3% 22.7% 32.6% 0.9 39.25 11 11
JAS 12.5 10.5 4.0% 5.2% 24.5% 21.0% 30.7% 0.3 6.55 12 12
DCC 17.8 15.8 5.6% 6.3% 2.1% 10.1% 39.7% 0.2 57.75 13 14
HANA 11.5 12.0 4.5% 4.6% 83.0% 27.4% 20.7% 0.0 37.00 14 17
CPALL 34.9 27.5 1.8% 2.2% 15.5% 24.9% 39.7% 6.4 47.00 15 13
MAKRO 37.2 30.6 2.3% 2.9% 21.0% 22.4% 40.5% 0.4 40.50 16 15
SPALI 10.4 9.1 3.8% 4.4% 45.0% 23.1% 24.6% 0.8 25.25 17 16
WHA 24.1 21.0 2.1% 2.3% -3.5% 9.8% 41.6% 1.1 35.25 18 18
DTAC 19.4 16.7 5.5% 6.4% 21.9% 18.8% 31.1% 0.8 109.00 19 19
STPI 10.7 13.0 3.8% 3.6% 48.6% 3.6% 35.9% 0.0 20.50 20 20
HEMRAJ 12.7 11.7 3.6% 4.1% -23.0% -1.5% 38.3% 1.0 4.36 21 23
StockFundamentals
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Quantitative Strategyslide 12
Sources: Bloomberg, BLS
Fundamental scores; data as of August 26, 2014
Factor model: Fundamental approaches
Current Previous
Price Ranks Ranks
14 14-16 14 14-16 14 14-16
TVO 12.2 12.3 6.3% 6.3% 54.5% 18.0% 24.9% 0.2 22.40 22 26GFPT 12.0 11.2 2.5% 2.7% 17.8% 10.5% 28.2% 0.5 17.00 23 42
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
TUF 15.4 13.2 3.3% 3.9% 75.7% 36.4% 11.0% 0.9 67.50 29 37
LPN 14.4 11.3 3.5% 4.5% -2.7% 15.2% 20.6% 0.7 22.10 30 31
ANAN 11.7 9.5 2.0% 2.5% 12.5% 20.9% 14.8% 0.7 3.16 31 24
M 25.0 21.9 3.0% 3.4% - 7.5% 7.0% 29.2% 0.0 59.50 32 36
DELTA 13.7 12.7 4.3% 4.7% 11.4% 9.4% 24.0% 0.0 63.25 33 35
SC 10.3 8.9 3.6% 4.6% 35.7% 23.2% 9.3% 1.4 3.92 34 34
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
TTW 17.4 16.6 5.0% 5.2% 13.8% 7.4% 24.2% 1.1 12.20 42 45
IRPC 40.5 24.5 2.3% 2.7% 107.5% 86.7% 3.2% 0.8 3.36 43 27
Stock
Fundamentals
Forward PE Dvd Yield EPS GrowthROE DE
TIER 2
Current Previous
Price Ranks Ranks
14 14-16 14 14-16 14 14-16
CPF 20.2 15.3 2.6% 3.6% 5 0.0% 39.2% 9.2% 1.5 29.25 44 49
HMPRO 34.2 29.4 1.4% 1.5% 12.9% 16.1% 25.0% 0.8 10.80 45 44
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
SCC 14.6 12.9 3.3% 3.7% -2.5% 8.4% 21.6% 1.0 434.00 50 50
GLOW 14.2 14.1 3.6% 4.2% 26.6% 9.6% 21.2% 1.3 88.75 51 52
AP 9.8 8.8 3.6% 4.0% 8.5% 9.4% 17.2% 1.2 7.50 52 60
TICON 11.0 9.6 5.7% 6.6% 6.0% 13.7% 12.7% 1.6 17.80 53 38
STEC 24.4 22.9 2.0% 2.1% -10.4% 1.1% 26.3% 0.0 24.90 54 65
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
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% 1 8.9% 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
CPN 29.6 25.6 1.3% 1.5% 14.8% 15.7% 19.3% 0.4 48.25 62 64
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
StockFundamentals
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Quantitative Strategyslide 13
Source: Bloomberg, BLS
Fundamental scores; data as of August 26, 2014
Factor model: Fundamental approaches
Current Previous
Price Ranks Ranks
14 14-16 14 14-16 14 14-16
LOXLEY 19.0 15.6 2.2% 3.1% 19.2% 34.4% 6.1% 0.5 4.38 65 61SAT 10.8 9.6 3.3% 3.8% -14.8% 2.8% 1 7.8% 0.6 17.60 66 71
BBL 10.4 9.3 3.6% 3.9% 3.9% 9.7% 12.1% 0.9 203.00 67 69
MINT 31.0 26.1 1.1% 1.3% 7.3% 15.3% 17.8% 1.0 34.75 68 70
PTT 9.4 9.0 3.9% 4.0% 7.8% 4.5% 15.4% 0.5 333.00 69 78
PTTEP 10.1 9.9 3.8% 4.0% 16.0% 5.9% 14.4% 0.3 166.50 70 72
MCOT 16.0 16.7 6.0% 5.8% -28.8% -9.3% 1 6.4% 0.0 25.25 71 79
THCOM 24.7 20.5 1.9% 2.7% 48.0% 28.9% 9.9% 0.6 39.25 72 76
BGH 40.5 34.3 1.1% 1.4% 15.3% 18.5% 16.6% 0.5 18.90 73 77
WORK 42.0 32.4 1.7% 2.0% -29.2% 8 .9% 18.1% 0.3 29.75 74 75
KKP 10.7 8.8 4.9% 5.9% -26.5% 5.1% 11.3% 1.5 41.50 75 74
AOT 27.4 23.2 1.5% 1.7% -11.3% 9.1% 16.8% 0.4 235.00 76 73
BLA 25.8 20.6 1.0% 1.4% -12.3% 12.4% 14.1% 0.0 82.00 77 57
MAJOR 20.6 18.2 4.2% 4.8% - 10.2% 6.8% 14.3% 0.7 21.80 78 81
BCH 34.8 29.6 1.6% 1.9% 17.4% 18.3% 14.0% 0.9 9.40 79 82
SF 12.1 12.5 0.6% 0.5% 6 1.5% 16.2% 8.9% 0.5 6.80 80 80
RATCH 12.8 12.2 4.0% 4.2% 7.8% 7.1% 11.4% 0.4 59.00 81 85
IVL 32.0 23.7 1.1% 1.5% 50.0% 41.1% 4.2% 1.3 27.75 82 83
ASP 10.5 10.3 7.6% 7.8% -29.8% -9.6% 16.9% 0.1 3.76 83 91
ERW 4720.0 1595.0 0.9% 1.3% -98.5% ##### -0.5% 1.6 4 .72 84 33
OFM 33.1 27.4 1.3% 1.6% 18.6% 22.1% 9.9% 0.0 50.25 85 90
BAY 19.8 17.2 1.9% 2.2% 11.5% 14.2% 9.1% 1.7 51.00 86 88
Stock
Fundamentals
Forward PE Dvd Yield EPS GrowthROE DE
TIER 4
Current Previous
Price Ranks Ranks
14 14-16 14 14-16 14 14-16
EGCO 12.0 11.8 3.6% 3.7% 5.3% 4.0% 11.3% 0.7 166.50 87 92CENTEL 39.5 30.9 1.0% 1.3% 8.7% 21.8% 10.4% 1.0 39.50 88 86
STA 23.4 15.7 3.3% 3.6% -58.2% 16.7% 6.2% 0.7 13.90 89 100
PSL 53.6 30.4 1.6% 1.9% -8.3% 57.7% 1.2% 0.7 25.00 90 84
BJC 34.8 31.5 1.6% 1.8% -8.5% 3.8% 13.6% 1.0 48.75 91 89
AH 10.9 9.2 2.6% 3.1% -28.2% 4.5% 8.6% 0.8 16.10 92 87
TOP 12.6 11.2 3.8% 4.2% -37.1% -5.3% 1 3.8% 0.8 52.25 93 94
AAV 46.0 26.7 1.5% 0.8% -53.5% 37.8% 1 .8% 0.3 4.60 94 98
TCAP 8.2 7.3 4.0% 4.4% -42.5% -6.0% 12.2% 1.7 35.25 95 96
TPIPL 23.2 21.6 1.3% 1.1% 71.4% 29.3% 1.8% 0.2 15.40 96 93
THAI 36.7 131.2 0.1% 0.9% 0.0% 913.0% -38.9% 3.8 15.50 97 103
ITD 37.8 31.0 1.1% 1.1% -7.7% 15.1% 6 .9% 2.4 5.40 98 99
GLOBAL 42.9 34.1 0.7% 0.7% 3.0% 18.7% 6.4% 0.3 14.20 99 95
ESSO 15.4 13.9 2.0% 2.5% 50.0% 26.3% -7.8% 1.7 5.95 100 97
BTS 45.9 43.4 6.3% 5.7% 14.2% 8.9% 4.3% 0.1 9.60 101 59
BLAND 66.7 42.9 2.0% 1.2% -74.6% 6.4% 4.5% 0.1 2.20 102 101
ROJNA 11.7 17.8 4.6% 3.2% 50.0% -4.8% 2.2% 1.9 8.20 103 102
TTA 28.5 22.6 1.0% 1.5% 50.0% 32.2% -15.7% 0.5 21.00 104 105
RCL 19.7 18.1 2.2% 2.5% 50.0% 20.0% -15.1% 0.6 11.40 105 104
TRUE 565.9 251.2 0.2% 0.1% 0.0% 73.9% -34.2% 14.6 10.70 106 106
THRE 344.0 123.7 3.3% 1.9% 50.0% 714.7% -89.4% 0.0 3.44 107 108
SSI 126.0 46.9 1.7% 123.3% 0.0% 16.7% -88.1% 6.8 0.34 108 107
Stock
Fundamentals
Forward PE Dvd Yield EPS GrowthROE DE
TIER 5
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Factor model: Technical approaches
We determined the predictive
power of momentum, directional
and volume indicators using
cross-sectional studies. Our
back-tested results indicate thatcombined 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.
Quantitative Strategyslide 14
Sources: Bloomberg, BLS
Technical scores; data as of August 26, 2014
Current Previous
Price Ranks Ranks
ROJNA 81.0 2.7 16.7 8.20 1 66SIRI 40.2 0.8 16.5 2.08 2 34
CENTEL 66.8 2.3 12.7 39.50 3 105
HEMRAJ 55.2 8.4 9.1 4.36 4 99
CCET 54.9 -0.6 13.1 3.02 5 107
IVL 71.0 2.6 11.2 27.75 6 39
ITD 56.9 2.2 9.5 5.40 7 61
TISCO 77.9 4.3 7.8 43.75 8 27LOXLEY 41.2 3.4 8.8 4.38 9 8
CPALL 56.5 2.1 8.4 47.00 10 75
GLOBAL 41.8 5.9 4.6 14.20 11 6
BLAND 28.1 0.6 7.0 2.20 12 76
MINT 40.8 2.1 7.0 34.75 13 33
TCAP 26.3 3.1 6.0 35.25 14 101
BECL 14.9 1.4 5.7 38.75 15 25
ERW 34.5 0.3 6.2 4.72 16 103
ANAN 29.8 2.1 5.8 3.16 17 49
DELTA 29.6 -0.3 6.9 63.25 18 11
VGI 65.8 0.7 6.2 13.40 19 62
TUF 53.5 0.2 2.0 67.50 20 10
PTT -33.9 0.3 5.6 333.00 21 97
StockTechnical
Directional MomentumMoney Flow
TIER 1
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Quantitative Strategyslide 15
Source: Bloomberg, BLS
Technical scores; data as of August 26, 2014
Factor model: Technical approaches
Current Previous
Price Ranks Ranks
RATCH 54.2 4.3 2.3 59.00 22 23
QH 30.2 1.8 3.0 4.36 23 94
CPN 18.7 3.9 3.8 48.25 24 65
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 60
HMPRO 19.4 1.6 1.6 10.80 38 28
SAMART 30.3 5.8 -0.4 25.75 39 29
GFPT 54.8 -0.3 2.6 17.00 40 79
SPALI -32.7 -1.0 3.1 25.25 41 95
KTB 37.2 2.5 0.7 23.70 42 67
BGH 52.6 1.7 1.0 18.90 43 19
TIER 2
Stock
Technical
Directional MomentumMoney Flow
Current Previous
Price Ranks Ranks
TVO -49.8 -1.3 4.4 22.40 44 86
THAI -3.9 -1.7 4.5 15.50 45 52
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
MAJOR 18.3 1.8 1.8 21.80 49 32
BH 37.3 0.6 0.5 135.50 50 5
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 9
OFM 26.1 1.1 1.0 50.25 54 63
BBL 7.2 1.3 0.7 203.00 55 59
PSL -25.5 0.5 1.6 25.00 56 4
MAKRO -14.5 -0.5 2.7 40.50 57 81
ROBINS 14.7 2.6 -0.2 58.75 58 71
AP 4.0 1.2 -0.7 7.50 59 68
PS -10.5 -1.5 2.8 34.75 60 90
MCOT -2.1 -0.6 1.2 25.25 61 38
SCB 17.7 1.6 -0.8 189.50 62 36
CK 16.4 -0.7 1.7 27.00 63 57
WORK 4.0 0.4 0.7 29.75 64 48
TIER 3
StockTechnical
Directional MomentumMoney Flow
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Quantitative Strategyslide 16
Sources: Bloomberg, BLS
Technical scores; data as of August 26, 2014
Factor model: Technical approaches
Current Previous
Price Ranks Ranks
PTTGC -5.8 2.1 0.6 66.25 65 56
BANPU -30.0 -1.3 2.9 32.00 66 87
STA 8.2 -0.5 2.4 13.90 67 64
THRE -33.3 -0.7 1.3 3.44 68 55
GLOW -56.6 -1.8 2.0 88.75 69 93
RCL -1.9 -0.4 0.6 11.40 70 42
TRUE 8.4 -0.3 0.4 10.70 71 89
TTW -53.2 -0.8 -0.3 12.20 72 92
EGCO 24.4 1.2 -1.4 166.50 73 17JMART -25.6 1.7 -0.7 13.20 74 31
ESSO -25.7 -0.6 0.9 5.95 75 80
SSI 8.1 -2.2 0.1 0.34 76 40
TASCO -28.8 -0.1 -0.9 57.50 77 70
TTCL -53.4 -0.5 -0.2 31.00 78 22
GUNKUL -27.6 -0.1 0.1 18.30 79 2
HANA 44.5 1.5 -2.2 37.00 80 100
LPN -41.5 -3.1 1.7 22.10 81 74AMATA -42.4 1.4 -0.9 16.80 82 88
BAY 14.1 -0.7 1.6 51.00 83 82
TICON 9.4 -0.2 -1.1 17.80 84 104
DTAC 11.4 4.7 -4.5 109.00 85 16
RS -65.7 -1.0 -0.8 7.90 86 1
TIER 4
StockTechnical
Directional MomentumMoney Flow
Current Previous
Price Ranks Ranks
CPF -2.9 0.5 -1.2 29.25 87 15
SPCG -65.8 -2.0 1.8 25.50 88 14
JAS -7.1 2.5 -2.8 6.55 89 98
SRICHA -44.4 1.2 -1.2 35.75 90 21
BLA 17.5 -6.4 1.6 82.00 91 91
BCH 9.8 -2.2 -0.5 9.40 92 44
THCOM -2.7 4.5 -5.5 39.25 93 46
BJC 23.7 -7.0 2.5 48.75 94 102
TTA -22.6 1.6 -2.6 21.00 95 24
ASP -59.3 -2.8 -0.8 3.76 96 37
AH -48.9 2.2 -4.9 16.10 97 72
TPIPL -42.7 -4.3 0.8 15.40 98 20
BTS 8.9 -0.7 -1.7 9.60 99 3
INTUCH -58.1 -1.7 -1.5 69.00 100 7
KCE -24.5 -4.1 -1.7 39.25 101 106
ADVANC -35.8 -0.2 -5.0 206.00 102 13
KBANK -21.8 -1.1 -4.1 222.00 103 35
M -73.6 -7.5 -1.8 59.50 104 85
SF 14.2 -1.8 -4.3 6.80 105 18
SAT -41.9 -2.2 -7.1 17.60 106 77
WHA -44.9 -2.0 -7.5 35.25 107 58
DCC -17.0 -6.3 -5.0 57.75 108 96
TIER 5
Stock
Technical
Directional MomentumMoney Flow
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Thai Strategyslide 17
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.
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Quantitative Strategyslide 18
The SETs Momentum Strength Index and volatility
Sources: Bloomberg, BLS
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
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Comparative values: bonds versus equities and SET versus Asia
Sources: Bloomberg, BLS
Quantitative Strategyslide 19
Expensive
Inexpensive
Expensive
Inexpensive
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.
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Quantitative Strategyslide 20
Appendix: Back-tested results and world equity monitors
Our back-tested
results are based on
our hybrid model
fundamental plustechnical. We gauged
portfolio performances
by ranking stocks into
five groups from
highest to lowestscores. Each portfolio
was rebalanced every
two weeks. Our study
shows that stocks in
groups 1-3
dramaticallyoutperformed stocks in
groups 4-5.
Sources: Bloomberg, BLS
Equity back-tested results: annual returns
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Quantitative Strategyslide 21
Sources: Bloomberg, BLS
Forward PER expensive/inexpensive
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PBV expensive/inexpensive
Sources: Bloomberg, BLS
Quantitative Strategyslide 22
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Sources: Bloomberg, BLS
Quantitative Strategyslide 23
Yield spreads: Bonds versus equities
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Quantitative Strategyslide 24
Sources: Bloomberg, BLS
Comparative dividend yield spreads between markets
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Quantitative Strategyslide 25
Momentum Strength Index
Sources: Bloomberg, BLS
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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.
Disclaimer:
Quantitative Strategyslide 26