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 for all three portfolios rebounded, outperforming benchmark after a brutal sell-off in August due to the unwinding of Japanese yen carry trade.

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 - 2 Oct 2024