Summary

Factor Focus is our factor-based framework for picking stocks in local market. Stocks were picked from the top percentile combination of Quality and Momentum score. Our most recent simulation portfolio Big Cap and Small Cap continue to outperformed our benchmarks except Whole Universe portfolio which underperformed FBMKLCI and FBM70.

Factor strategy and performance

Our strategy integrates quality and momentum factors. The momentum score is derived from the price change over 6 and 12 months, while the quality scores result from a combination of financial ratios that exhibit a robust backtest result. Since the inception, most of the picks were able to deliver better results as compared to the average benchmark returns.

Source: Mplus Research - 5 Aug 2024