Quantitative strategy Sell into strength
Bualua Bua luang ng Res Resear earch ch 29 Au Aug g 2014 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 p attern against the SET, SET, implying greater risk of downside
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.
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:
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..
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.
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.
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
Return since recommendation
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
Return since recommendation
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
Sources: Bloomberg, BLS
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
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
Sources: Bloomberg, BLS
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
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
Sources: Bloomberg, BLS
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
Forward PE Yr 14 Yr 14-16
Fundamentals Dvd Yield EPS Growth Yr 14 Yr 14-16 Yr 14 Yr 14-16
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
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
Sources: Bloomberg, BLS
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
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
Sources: Bloomberg, BLS
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
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
Sources: Bloomberg, BLS
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
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 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
Sources: Bloomberg, BLS
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
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
Sources: Bloomberg, BLS
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
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%
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
Sources: Bloomberg, BLS
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
Current Previous Ranks Ranks
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.
Factor model: Technical approaches Technical scores; data as of August 26, 2014 Technical Stock
Directional MomentumMoney Flow
Price
Cu rr en t Ranks
P reviou s Ranks
Technical Stock
Directional Momentum Money Flow
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
Factor model: Technical approaches Technical scores; data as of August 26, 2014 Technical Stock
Directional Momentum Money Flow
Price
Cu rr en t Ranks
Pr eviou s Ranks
Technical Stock
Directional MomentumMoney Flow
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
Sources: Bloomberg, BLS
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
Sources: Bloomberg, BLS
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
Sources: Bloomberg, BLS
Appendix: Back-tested results and world equity monitors Equity back-tested results: annual returns
Sources: Bloomberg, BLS
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
PBV expensive/inexpensive
Sources: Bloomberg, BLS
Yield spreads: Bonds versus equities
Sources: Bloomberg, BLS
Comparative dividend yield spreads between markets
Sources: Bloomberg, BLS
Momentum Strength Index
Sources: Bloomberg, BLS
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.