Quant Strategy

Quantitative strategy Sell into strength

Bualua Bua luang ng Res Resear earch ch 29 Au Aug g 2014 2014

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Our quant model indicates that the SET is now at the cusp of turbulence

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Market volatility is bottoming out and is likely to rise during September, suggesting that volatility risk will re-emerge

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Our short-term Bull2Bear Index has risen to near the high risk zone, while the Momentum Strength Index indicates a bearish divergence pattern p attern against the SET, SET, implying greater risk of downside

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Delete: DTAC, SF, PSL

Chaiyaporn Chaiy aporn Nompit Nompitakch akcharoen aroen,, Capital Market Fundamental Investment Analyst Channarong Meechaikareonying, Analyst Assistant Nuttimas Nutti mas Akar Akarapanu apanuvita vitaya, ya, 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 incr increa ease sed d 1.1% 1.1% from from midmid-mo mont nth h and and surp surpas asse sed d 1550 1550,, whic which h is psyc psycho holo logi gica call lly y sign signif ific ican ant. t. The The SET SET has has rece ecently ntly trade raded d near near the cus cusp of turb turbul ule ence. nce.

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We anticipate that the Thai bourse will enter a 7-10% correction phase in September. Our reas reason onin ing g is as foll follow ows: s:

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Our market breadth tools—the short-term Bull2Bear and medium-term Bull2Bear are now at extr extrem emel ely y posi positi tive ve leve levels ls.. Hist Histor oric ical ally ly,, such such high high leve levels ls have have been been foll follow owed ed by mark market et pull pull-b -bac acks ks..

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The Momen omenttum Stren trengt gth h Inde Index x poin pointts to a beari earis sh div diverge ergenc nce e pat pattern ern again gains st the SET. ET.

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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 sensitiv tive to negati gativ ve news ews.

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The bourse’s forward PER has recently hit its most expensive level since 2009. While in comparative terms, it now trades at premiums to most major markets—S&P500, MSCI EU and MSCI Asia ex-Japan. As such, we can’t see any rational argument for foreigners to aggressively buy into the Thai market.

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. 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%

Sources: Bloomberg, BLS

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 date


4.8%

29-Aug-14

New Addition

4.8%

29-Aug-14

New Addition

BUY

4.8%

29-Aug-14

ROJNA

BUY

4.8%

CPALL

BUY

CENTEL

BUY

Stock

Recommendation date


0.0%

15-Aug-14

-0.7%

0.0%

15-Aug-14

-3.7%

0.0%

30-Jul-14

3.1%

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%

Recommendation

% Allocation

INTUCH

SELL

RS

SELL

New Addition

ADVANC

SELL

29-Aug-14

New Addition

SPCG

4.8%

29-Aug-14

New Addition

4.8%

29-Aug-14

New Addition

Recommendation

% Allocation

CCET

BUY

SIRI

BUY

HEMRAJ

Stock

VGI

HOLD

4.8%

30-Jul-14

2.8%

SRICHA

SELL

0.0%

30-Jul-14

8.2%

BEC

HOLD

4.8%

15-Aug-14

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%

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%

4.8%

29-Aug-14

New Addition

4.8%

30-Jul-14

6.3%

ITD

BUY

CK

HOLD

ANAN

BUY

4.8%

29-Aug-14

New Addition

BECL

BUY

4.8%

29-Aug-14

New Addition

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%

4.8%

29-Aug-14

New Addition

MINT

SPALI


BUY

BUY

Total equities

100%

Performance Since inception (30 Jul 14) Portfolio 5.86% SET 2.53%

Max Drawdown -0.95% -1.34%

Sectors in radar 

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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

Factor model by rank: Fundamental-cum-technical approaches 

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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 playbook—CCET, 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%

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



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

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%

Technical ROE

DE


Price


TIER 2 STPI GLOBAL KTC ERW SCCC IRPC QH TVO GFPT PTT SPCG TCAP SAMART MAKRO CPN BLAND SCC RATCH LH HMPRO AOT KTB


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

3.6% 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%

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




Technical ROE

DE


Price


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%

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




Technical ROE

DE


Price


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%

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




Technical ROE

DE


Price


TIER 5 RS BAY THCOM BLA BCH ESSO BJC RCL ASP AH KBANK M DCC TPIPL WHA BTS TTA SF TRUE SAT THRE SSI

18.4 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


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

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%

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%

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




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%

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

For wa rd PE 14 14-16

Fundamentals D vd Y ie ld EP S Gr ow th 14 14-16 14 14-16

ROE

DE

P ric e

Current Previous R an ks R an ks

Stock

Forward PE 14 14-16

Fundamentals Dvd Yield EPS Growth 14 14-16 14 14-16

TIER 2

ROE

DE

Price


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%

5 0.0%

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

TASCO

9.6

8.0

3.1%

3.9%

9.6%

13.4%

13.7%

2.1

57.50

46

46

PS

13.0

11.4

2.4%

2.6%

2.6%

9.3%

27.7%

1.0

34.75

26

32

BANPU

20.1

15.9

3.0%

3.6%

73.8%

47.6%

5.6%

1.2

32.00

47

29

KTC

12.2

10.9

3.5%

3.8%

9.1%

12.4%

22.7%

6.0

66.00

27

58

KSL

10.8

9.6

3.5%

3.9%

24.4%

15.0%

14.7%

1.5

13.50

48

53

SCCC

17.6

16.4

3.9%

4.3%

16.9%

10.8%

26.6%

0.4

428.00

28

30

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

11.7

9.5

2.0%

2.5%

12.5%

20.9%

14.8%

0.7

3.16

31

24

9.8

8.8

3.6%

4.0%

8.5%

9.4%

17.2%

1.2

7.50

52

60

M

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

TISCO

8.5

7.4

4.8%

5.4%

-7.0%

8.2%

17.7%

2.9

43.75

35

28

BCP

9.5

8.8

4.2%

4.6%

22.6%

11.8%

13.9%

0.9

33.50

56

48

BH

37.5

32.4

1.5%

1.7%

4.3%

12.6%

27.7%

0.5

135.50

36

47

12.7

11.2

3.7%

4.2%

-4.7%

7.8%

18.7%

1.4

4.36

TTCL

56

19.0

2.0%

2.8%

-6.7%

26.6%

19.5%

0.2

31.00

22

57

27.0

37

QH

SCB

12.0

10.7

3.0%

3.4%

7.2%

10.5%

21.3%

1.0

189.50

38

39

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

ANAN

AMATA

AP

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

ROBINS

30.3

24.9

1.6%

2.0%

8.3%

18.5%

18.1%

0.2

58.75

61

66

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

64

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


Factor model: Fundamental approaches Fundamental scores; data as of August 26, 2014

Stock

For wa rd P E 14 14-16

Fundamentals D vd Y ie ld EPS Gr ow th 14 14-16 14 14-16

ROE

DE

Price


Stock

Forwar d PE 14 14-16

Fundamentals D vd Yie ld EPS Growth 14 14-16 14 14-16

ROE

DE

P ric e

Current Previous Ra nk s R an ks

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

12.0

11.8

3.6%

3.7%

5.3%

4.0%

11.3%

0.7

166.50

87

SAT

10.8

9.6

3.3%

3.8%

-14.8%

2.8%

1 7.8%

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

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%

1 6.4%

0.0

25.25

71

79

TOP

12.6

11.2

3.8%

4.2%

-37.1%

-5.3%

1 3.8%

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%

6 1.5%

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

15 95.0

0.9 %

1 .3 %

- 98 .5 % #####

- 0.5%

1.6

4 .7 2

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

AH

- 88.1%

92

Factor model: Technical approaches Technical scores; data as of August 26, 2014 Technical Stock

Directional MomentumMoney Flow

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



TIER 1 ROJNA SIRI CENTEL HEMRAJ CCET IVL ITD TISCO LOXLEY CPALL GLOBAL BLAND MINT TCAP BECL ERW ANAN DELTA VGI TUF PTT Sources: Bloomberg, BLS

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



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.



Price

Cu rr en t Ranks

P reviou s Ranks

Technical Stock


TIER 2

Price

Current Ranks

Previous Ranks

TIER 3

RATCH

54.2

4.3

2.3

59.00

22

23

TVO

-49.8

-1.3

4.4

22.40

44

86

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

BEC

49.5

1.7

3.8

47.75

25

54

BCP

13.6

7.1

-1.0

33.50

47

53

AOT

43.2

4.1

1.5

235.00

26

69

TMB

-1.9

1.6

0.5

3.02

48

108

IRPC

26.1

0.4

4.7

3.36

27

73

MAJOR

18.3

1.8

1.8

21.80

49

32

TOP

10.1

0.6

4.0

52.25

28

12

LH

-18.2

5.4

2.1

11.00

29

26

BH

37.3

0.6

0.5

135.50

50

5

KTC

67.5

2.1

2.5

66.00

30

41

STEC

34.6

2.4

0.0

24.90

51

47

SCCC

11.1

-0.5

5.9

428.00

31

78

BIGC

24.3

0.5

2.3

242.00

52

83

STPI

25.7

6.5

0.2

20.50

32

51

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

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 SAMART GFPT

19.4 30.3 54.8

1.6 5.8 -0.3

1.6 -0.4 2.6

10.80 25.75 17.00

38 39 40

14.7

2.6

-0.2

58.75

58

71

28

AP

4.0

1.2

-0.7

7.50

59

68

29

PS

-10.5

-1.5

2.8

34.75

60

90

79

MCOT

-2.1

-0.6

1.2

25.25

61

38

17.7

1.6

-0.8

189.50

62

36

SPALI

-32.7

-1.0

3.1

25.25

41

95

SCB

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



Price

Cu rr en t Ranks

Pr eviou s Ranks

Technical Stock


Price

Cu rre nt Ranks

P reviou s 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

-7.1

2.5

-2.8

6.55

89

98

8.2

-0.5

2.4

13.90

67

64

JAS

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

EGCO

24.4

1.2

-1.4

166.50

73

17

TTA

-22.6

1.6

-2.6

21.00

95

24

31

ASP

-59.3

-2.8

-0.8

3.76

96

37

AH

-48.9

2.2

-4.9

16.10

97

72

-42.7

-4.3

0.8

15.40

98

20

8.9

-0.7

-1.7

9.60

99

3

STA

JMART ESSO

-25.6

1.7

-0.7

13.20

74

-25.7

-0.6

0.9

5.95

75

80

8.1

-2.2

0.1

0.34

76

40

TPIPL

TASCO

-28.8

-0.1

-0.9

57.50

77

70

BTS

TTCL

-53.4

-0.5

-0.2

31.00

78

22

INTUCH

-58.1

-1.7

-1.5

69.00

100

7

GUNKUL

-27.6

-0.1

0.1

18.30

79

2

KCE

-24.5

-4.1

-1.7

39.25

101

106

HANA

44.5

1.5

-2.2

37.00

80

100

ADVANC

-35.8

-0.2

-5.0

206.00

102

13

74

KBANK

-21.8

-1.1

-4.1

222.00

103

35

88

M

-73.6

-7.5

-1.8

59.50

104

85

14.2

-1.8

-4.3

6.80

105

18

SSI

LPN AMATA BAY

-41.5 -42.4 14.1

-3.1 1.4 -0.7

TICON

9.4

-0.2

DTAC

11.4

4.7

RS

-65.7

-1.0


1.7 -0.9

22.10 16.80

81 82

51.00

83

82

SF

-1.1

17.80

84

104

SAT

-41.9

-2.2

-7.1

17.60

106

77

-4.5

109.00

85

16

WHA

-44.9

-2.0

-7.5

35.25

107

58

-0.8

7.90

86

1

DCC

-17.0

-6.3

-5.0

57.75

108

96

1.6

The SET’s 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.

The SET’s 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


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 SET’s 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 doesn’t 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


Appendix: Back-tested results and world equity monitors Equity back-tested results: annual returns 


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


PBV expensive/inexpensive


Yield spreads: Bonds versus equities


Comparative dividend yield spreads between markets


Momentum Strength Index


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.

Quant Strategy

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