Summary

Factor Focus is our factor-based framework for selecting stocks in the local market. Stocks are chosen from the top percentile combination of Quality and Momentum scores. Our most recent simulation of the Large, Small, and Whole Universe portfolios underperformed. However, since inception, our portfolio has yielded an average excess return of 25.1% compared to our selected benchmark.

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: PublicInvest Research - 2 Jan 2025