Quant Quest 06 February 2017

Transcription

1 FOCUS XXX Company Update XX XXXXX 213 Quant Quest 6 February 217 Mandiri Sekuritas Analyst Francis Lim francis.lim@mandirisek.co.id Yearning for We take specific look at stocks in light of their strong performance in recent months. They are not cheap, but neither are they expensive. We expect continued performance from stocks in February, with seasonal trend also lending support to our views. Sector : Quantitative Top Stocks score Mansek Feb 217 Rating BKSL 1.97 Not rated JSMR 1.7 Buy DOID 1.61 Not rated TBIG 1.45 Neutral PTPP 1.38 Buy ELSA 1.32 Not rated WTON 1.26 Buy TARA 1.21 Not rated KRAS 1.7 Not rated CPIN 1.3 U/R Top Momentum Stocks Momentum Mansek Feb217 Rating DOID 1.98 Not rated BWPT 1.28 Not rated ADRO 1. Sell WSKT.92 Not rated TARA.89 Not rated BJBR.85 Not rated INDY.75 Not rated ASII.72 Not rated GJTL.69 Not rated LSIP.66 Not rated Why MQQ pumps up? In our earlier note, Spicing up, we have highlighted that the MQQ is increasing its exposure towards growth amid greater market uncertainty since Trump s presidential win in Nov 216. While peculiar at first, the high growth names based on our growth factors have, in fact, performed quite well, with the top 1 stocks yielded 1.6% and 18.2% over the past one and three months. This is driven by the well-diversified nature of our signals that consist of both cyclical and defensive factors. Interestingly, the MQQ also maintains zero exposure towards Momentum factors despite their strong performance. The choice to go for instead of Momentum implies a more cautious stance by the MQQ as the latter tends to be a more risky trade. : Not cheap, nor expensive. We take a deeper look into the valuation of companies within our Quant universe. Our method first selects the 1 stocks that rank the highest on MQQ s scores. It then calculates their 4- week average PER to compare against Quant universe s, starting from 26. Based on this, our names are trading at 21.5x PER compared to 22.2x for the Quant universe, i.e. they are not cheap, nor are they expensive. We expect more upside from the names in February, unlike the Momentum stocks that have gained 64% since May-16. Is Momentum running out of gas? Probably not in February but we can t help but see greater risk of reversal following their phenomenal gains over the past few months. Using the same PER analysis, our Momentum stocks are trading at 33.1x PER, which is at the higher end of their historical valuation (close to +2SD above long-term average). This is significantly more expensive than and the broader Quant universe! Seasonality everywhere. Aside from recent gains, and Momentum stocks have also been the strongest performing styles in February since April 26 with an average return of 4.4% and 4.8% respectively. The average return to the JCI is more moderate, standing at 1.8% for the same calendar month. Looking for a juicier February? Our flagship quantitative strategy, MQQ, aims to achieve longer term outperformance through a balance between risk and return. In other words, we do not expect a sudden surge in the MQQ s portfolio performance. For those looking to spice things up in Feb, we provide the lists of stocks ranking highly on our and Momentum scores (see left). We recommend the former. Market performance MTD has so far been cheery with no surprise from today s GDP release. Key event to watch for is the upcoming election on the 15th. Stocks ranking highly on our scores are BKSL, JSMR, DOID, TBIG and PTPP. Please see important disclosure at the back of this report Page 1 of 6

2 3 February 217 Notes Favoring over Momentum in February Valuation: over Momentum We find more upside potential in than Momentum this month based on our valuation anaysis below. : Not cheap, nor expensive. We take a deeper look into the valuation of companies within our Quant universe. Our method first selects the 1 stocks that rank the highest on MQQ s scores. It then calculates their 4-week average PER to compare against Quant universe s, starting from 26. This is performed to mitigate the impact of outliers. Based on this, our names are trading at 21.5x PER compared to 22.2x for the Quant universe, i.e. they are not cheap, nor are they expensive. We expect more upside from the names in February, unlike the Momentum stocks which have gained 64% since May-16. FIGURE 1. AVERAGETRAILING PER OF GROWTH AND QUANT UNIVERSE FIGURE 2. DIFFERENCE IN PER BETWEEN GROWTH AND QUANT UNIVERSE Universe P/E difference +2SD -2SD Jan-6 Jan-9 Jan-1 Jan-6 Jan-9 Jan Is Momentum running out of gas? Probably not in February but we can t help but see greater risk of reversal following the phenomenal gains in Momentum stocks over the past few months. Using the same PER analysis, our Momentum stocks are trading at 33.1x PER, which is at the higher end of their historical valuation (close to +2SD above long-term average). This is significantly more expensive than and the universe average. FIGURE 3. AVERAGETRAILING PER OF GROWTH AND QUANT UNIVERSE FIGURE 4. DIFFERENCE IN PER BETWEEN MOMENTUM AND QUANT UNIVERSE Momentum Universe PE difference +2SD -2SD Jan-6 Jan-9 Jan Jan-6 Jan-9 Jan-1 Please see important disclosure at the back of this report Page 2 of 6

3 3 February 217 Note All PER averages are 1% trimmed mean, meaning stocks with very large positive/ negative PER are set to the top/ bottom 1% PER level. This serves to lessen the impact of extreme outliers. Momentum: Greater risk of reversal after 64% gain since May-16 : Up 36% but there is room for more Seasonality everywhere Besides their strong performance in recent months, we also find and Momentum stocks tend to perform more strongly in February when compared to other styles and the JCI. The wining themes: and Momentum. We construct style portfolios based on the 1 stocks ranking highest on their respective factor scores. All stocks selected by these portfolios must also satisfy the same liquidity requirement as the MQQ portfolio, i.e. a minimum 6M average daily T/O of US$1m. Since May-216, Momentum is the strongest performing style and has generated a whopping 64%. was the runner up (+36%) but its return is nowhere near Momentum s. With reasonable PER, we see more room for. FIGURE 5. PERFORMANCE OF STYLE PORTFOLIOS AND JCI SINCE MAY-216 Momentum Profitability Low Risk Value JCI % +36% +17% +11% +9% +4% Seasonality favors and Momentum. There is a distinct seasonality in Indonesian equity market and we observe the same for the style portfolios above. Below we show the average returns by month since April 26. Our choice in the start date was due to better data coverage of factors. On average, Momentum was the strongest performer (+4.8%) in February, and was closely followed by (+4.4%). All other styles and the JCI lagged. FIGURE 6. AVERAGE RETURN IN FEBRUARY OF JCI AND STYLE PORTFOLIOS SINCE APR-26 1.% Momentum Profitability Low Risk Value JCI 8.% 6.% Best performers, on average,were and Momentum in Feb 4.% 2.%.% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec -2.% -4.% Please see important disclosure at the back of this report Page 3 of 6

4 3 February 217 FIGURE 7. STOCKS RANKED BY GROWTH IN FEBRUARY 217 Price (Rp) Mkt Cap (Rp bn) Daily T/O 6M Avg. (Rp mn) Looking for a juicier February? MTD market movement has been more cheery. Key event to watch for is the upcoming election on the 15th. For those looking to spice things up, below are the lists of stocks ranked by and Momentum. score Mansek Rating Sales ROA ROIC Factor Scores Cash EPS EBITDA FCF BKSL 13 3,557 18, Not rated JSMR 425 3,846 43, Buy DOID 6 4,995 34, Not rated TBIG 5 22,657 15, Neutral PTPP ,374 44, Buy ELSA 428 3,124 28, Not rated WTON 825 7,19 14, Buy TARA 67 6,744 37, Not rated KRAS 74 14,316 31, Not rated CPIN ,13 19, U/R BBRI , , Buy WIKA ,515 5,71.8 Buy GJTL 114 3,973 15, Not rated BJTM 635 9,49 32,32.71 Neutral BMTR 595 8,448 22, Not rated BJBR ,883 53, Sell SMGR ,15 72, Neutral BMRI , ,6.44 Not rated ADRO ,656 67, Sell AKRA 69 27,543 26, Not rated MNCN 17 24,269 24, Buy WSKT ,884 61, Buy INTP ,783 24, Neutral BBTN 195 2,174 29, Buy BBCA , , Neutral PTBA ,86 4, Sell MIKA ,213 14, Buy BBNI , ,327.9 Buy KLBF ,375 45,876.6 U/R INDY 745 3,882 13, Not rated BEST 312 3,1 18, Buy TINS 19 8,118 26, Not rated ICBP ,1 42, Neutral HMSP ,946 53, Neutral ADHI 211 7,513 45, Neutral SMBR ,938 34, Not rated UNTR ,73 88, Neutral PWON ,21 6, Buy INDF ,84 8, Buy GGRM ,5 6, Buy UNVR ,171 82, Neutral PBRX 434 2,812 24, Not rated SCMA ,28 32, Buy BSDE ,376 57, Buy TLKM , , Buy ASRI 394 7,742 21, Neutral CTRA ,613 3, Buy ITMG ,853 25, Sell SRIL 236 4,388 37, U/R PGAS 31 72,967 18, U/R LSIP 158 1,78 37, Buy EXCL ,29 36, Neutral SMRA ,43 34, Neutral AALI 16 3,795 34, Buy LPKR ,424 64, Not rated ASII , , Neutral SSMS ,2 71, Not rated ANTM ,585 87, Neutral INCO ,27 51, U/R BRMS 138 3,529 46, Not rated BWPT 37 11,664 29, Not rated Please see important disclosure at the back of this report Page 4 of 6

5 3 February 217 FIGURE 8. STOCKS RANKED BY MOMENTUM IN FEBRUARY 217 Factor Scores Price Mkt Cap Daily T/O 6M Mansek 3M 6M 12M (Rp) (Rp bn) Avg. (Rp mn) score Rating Momentum Momentum Momentum DOID 6 4,995 34, Not rated BWPT 37 11,664 29, Not rated ADRO ,656 67, Sell WSKT ,884 61, Not rated TARA 67 6,744 37,24.89 Not rated BJBR ,883 53, Not rated INDY 745 3,882 13, Not rated ASII , , Not rated GJTL 114 3,973 15, Not rated LSIP 158 1,78 37, Not rated PGAS 31 72,967 18, U/R AALI 16 3,795 34, Not rated INDF ,84 8,26.52 Not rated WIKA ,515 5,71.49 Not rated TLKM , , Buy AKRA 69 27,543 26, Not rated PTPP ,374 44,54.41 Not rated ICBP ,1 42, Not rated MNCN 17 24,269 24, Buy HMSP ,946 53, Not rated SMBR ,938 34, Not rated UNVR ,171 82,76.21 Not rated BKSL 13 3,557 18, Not rated SCMA ,28 32,7.13 Buy GGRM ,5 6, Not rated EXCL ,29 36,758.8 Neutral PBRX 434 2,812 24,543.6 Not rated ITMG ,853 25,711.4 Sell BBCA , ,865.1 Not rated SRIL 236 4,388 37,9 -.4 U/R ADHI 211 7,513 45, Not rated SSMS ,2 71, Not rated BEST 312 3,1 18, Buy BBNI , , Not rated BJTM 635 9,49 32, Not rated BBTN 195 2,174 29, Not rated BMRI , , Not rated CPIN ,13 19, U/R ANTM ,585 87, Neutral TBIG 5 22,657 15, Neutral PTBA ,86 4, Sell MIKA ,213 14, Not rated KRAS 74 14,316 31, Not rated JSMR 425 3,846 43, Not rated PWON ,21 6, Not rated BBRI , , Not rated UNTR ,73 88, Not rated BRMS 138 3,529 46, Not rated BSDE ,376 57, Not rated ASRI 394 7,742 21, Not rated ELSA 428 3,124 28, Not rated CTRA ,613 3, Not rated KLBF ,375 45, Not rated BMTR 595 8,448 22, Not rated SMRA ,43 34, Not rated TINS 19 8,118 26, Not rated INCO ,27 51, U/R LPKR ,424 64, Not rated SMGR ,15 72, Not rated WTON 825 7,19 14, Not rated INTP ,783 24, Not rated Please see important disclosure at the back of this report Page 5 of 6

6 Mandiri Sekuritas A subsidiary of PT Bank Mandiri (Persero) Tbk Plaza Mandiri 28 th Floor, Jl. Jend. Gatot Subroto Kav , Jakarta 1219, Indonesia General: , Fax : (Equity Sales) RESEARCH Tjandra Lienandjaja Deputy Head of Equity Research, Banking tjandra.lienandjaja@mandirisek.co.id Liliana S Bambang Property, Building Material liliana.bambang@mandirisek.co.id Adrian Joezer Consumer, Strategy adrian.joezer@mandirisek.co.id Ariyanto Kurniawan Telecom, Coal, Metal, Automotive ariyanto.kurniawan@mandirisek.co.id Bob Setiadi Construction, Toll Road bob.setiadi@mandirisek.co.id Francis Lim Quant, Health Care, Hospital francis.lim@mandirisek.co.id Yudha Gautama Mining, Plantation yudha.gautama@mandirisek.co.id Laura Taslim Retail laura.taslim@mandirisek.co.id Priscilla Thany Banking priscilla.thany@mandirisek.co.id Ferdy Wan Building Material, Industrial Est., Media ferdy.wan@mandirisek.co.id Lakshmi Rowter Research Assistant lakshmi.rowter@mandirisek.co.id Gerry Harlan Research Assistant gerry.harlan@mandirisek.co.id Leo Putera Rinaldy Chief Economist leo.rinaldy@mandirisek.co.id Wisnu Trihatmojo Economist wisnu.trihatmojo@mandirisek.co.id Aziza Nabila Amani Research Assistant aziza.amani@mandirisek.co.id INSTITUTIONAL SALES Lokman Lie Co-Head Institutional Equities lokman.lie@mandirisek.co.id Silva Halim Co-Head Institutional Equities silva.halim@mandirisek.co.id Aditya Sastrawinata Institutional Sales aditya.sastrawinata@mandirisek.co.id Andrew Handaya Institutional Sales andrew.handaya@mandirisek.co.id Cindy Amelia P. Kalangie Institutional Sales cindy.amelia@mandirisek.co.id Feliciana Ramonda Institutional Sales feliciana.ramonda@mandirisek.co.id Kevin Halim Institutional Sales kevin.halim@mandirisek.co.id Mirna Santikara Salim Institutional Sales santikara.salim@mandirisek.co.id Oos Rosadi Institutional Sales oos.rosadi@mandirisek.co.id Zahra Aldila Niode Institutional Sales zahra.niode@mandirisek.co.id Kusnadi Widjaja Equity Dealing kusnadi.widjaja@mandirisek.co.id Edwin Pradana Setiadi Equity Dealing edwin.setiadi@mandirisek.co.id Jane Theodoven Sukardi Equity Dealing jane.sukardi@mandirisek.co.id Michael Taarea Equity Dealing michael.taarea@mandirisek.co.id RETAIL SALES Andreas M. Gunawidjaja Head Retail Equities andreas@mandirisek.co.id Boy Triyono Plaza Mandiri boy.triyono@mandirisek.co.id A. A. Damargumilang Pondok Indah Office Tower damar.gumilang@mandirisek.co.id Herianto Pondok Indah Prioritas herianto@mandirisek.co.id Hendra Riady Mangga Dua hendra.riady@mandirisek.co.id Indra Mas'ari Bandung indra.mas ari@mandirisek.co.id Yogiswara P. Yogyakarta yogiswara.perdana@mandirisek.co.id Widodo Solo widodo@mandirisek.co.id Linawati Surabaya Linawati@mandirisek.co.id Bambang Suwanto Malang bambang.suwanto@mandirisek.co.id Ruwie Medan ruwie@mandirisek.co.id Aidil Idham Palembang aidil.idham@mandirisek.co.id Yuri Ariadi Pontianak yuri.ariadi@mandirisek.co.id INVESTMENT RATINGS: Indicators of expected total return (price appreciation plus dividend yield) within the 12-month period from the date of the last published report, are: Buy (15% or higher), Neutral (-15% to15%) and Sell (-15% or lower). DISCLAIMER: This report is issued by PT. Mandiri Sekuritas, a member of the Indonesia Stock Exchanges (IDX) and Mandiri Sekuritas is registered and supervised by the Financial Services Authority (OJK). Although the contents of this document may represent the opinion of PT. Mandiri Sekuritas, deriving its judgement from materials and sources believed to be reliable, PT. Mandiri Sekuritas or any other company in the Mandiri Group cannot guarantee its accuracy and completeness. PT. Mandiri Sekuritas or any other company in the Mandiri Group may be involved in transactions contrary to any opinion herein to make markets, or have positions in the securities recommended herein. PT. Mandiri Sekuritas or any other company in the Mandiri Group may seek or will seek investment banking or other business relationships with the companies in this report. For further information please contact our number or fax ANALYSTS CERTIFICATION: Each contributor to this report hereby certifies that all the views expressed accurately reflect his or her views about the companies, securities and all pertinent variables. It is also certified that the views and recommendations contained in this report are not and will not be influenced by any part or all of his or her compensation.