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 of the large-cap portfolio continued to outperform the FBMKLCI by 2.2%, while the rest of the simulated portfolio underperformed.

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 Nov 2024