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Selasa, 17 Mei 2011

Quantitative strategy for Indonesia - JP Morgan

The goal is to bias stock selection towards cheap, successful, quality companies with
solid earnings, and away from expensive, poor quality, unsuccessful companies with poor earnings. The higher the company scores, the higher the expected return (or Alpha) relative to the considered universe. Profit revision strategies are working well; buy top quartile of EPS revisions and sell lower quartile.

Indonesian stocks with overall Q-score greater than 75%
1. Bank Rakyat Indonesia – 95.9%
2. Indo Tambangraya – 92.2%
3. Gudang Garam – 91.5%
4. Astra International – 79.7%
5. Tambang Batubara – 78.9%

My take – among the mid to small cap, sectors that may feature highly in terms of earnings revision this year could be property and construction sectors. The Bakrie sector may also feature highly by 2H11, driven by debt reductions (that is yet to be factored into consensus revision).
Posted by Saham Pilihan at 21.55

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