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. Subsequent to the global sell-off amid the yen carry trade incident, our picks' returns have underperformed the benchmark as a whole. However, it has maintained a notable cumulative return since Feb-2024.

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.

Source: Mplus Research - 3 Sept 2024