quant strategy

8/11/2019 Quant Strategy

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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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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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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.


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


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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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 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.



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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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




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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




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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




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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




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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.



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

Forward PE Dvd Yield EPS GrowthROE DE

TIER 1


12/26





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


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


TIER 3


13/26


Source: Bloomberg, BLS



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


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


TIER 5


14/26

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.



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


15/26


Source: Bloomberg, BLS



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


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



16/26





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


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



17/26

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.


18/26


The SETs Momentum Strength Index and volatility


The Momentum Strength Index model shows signs of bearish divergence, suggesting a greater probability of a trend

change in the stock market.

Our model projects that SET volatility will intensify this month. As such, the market is likely to enter a turbulent

phase.

Bearish divergence


19/26

Comparative values: bonds versus equities and SET versus Asia



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.


20/26


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.


Equity back-tested results: annual returns


21/26



Forward PER expensive/inexpensive


22/26

PBV expensive/inexpensive




23/26



Yield spreads: Bonds versus equities


24/26



Comparative dividend yield spreads between markets


25/26


Momentum Strength Index



26/26

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:


quant strategy

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