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. The January 2025 simulated portfolios underperformed the average market return of -5.1%. However, it is still yielding an average excess return of 18.3% since inception, 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 - 4 Feb 2025