Market Outlook
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Market Outlook

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A quantitative view on financial markets

A quantitative view on financial markets

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Market Outlook Presentation Transcript

  • 1. TURKISH EQUITY MARKETS “ BEARS ON PLAY” (February 9, 2010)
  • 2. MARKET OUTLOOK (as of February 9, 2010)
    • We are bullish with (+2)% rise @XU100 for short term.
    • More bearish than January in mid term. Our top mid term recommendations: THYAO, PETKM.
    • Short Term :
      • XU100 : Narrow band movements with limited profits
    • Medium Term:
      • XU100 : We are bearish, with weak indicators
      • USDTL : Downtrend is ended with more positive momentum
      • XU100 / USD : Limited momentum, bearish market
    • HIGHLIGHTS:
    • Short Term : (*)
      • BUY TUPRS : Oversold market necessitates a correction
      • BUY BIMAS : Need of a correction with strong indicators
    • Medium Term: (*)
    • BUY
      • THYAO : A strong uptrend since 10 months. Stock currently draws a risk-free formation but daily corrections needed for an healthy uptrend
      • PETKM : Indicators tend to be near “1” level
    • SELL
      • BIMAS : An horizontal trend slightly negative
      • TUPRS : Oversold with mixed indicator signals
    • ISE-30 Relative Medium Term : (*)
    • Outperform by %15 – %20 :
      • TUPRS : A very promising formation is in the making over the last 3 months with our favoured indicators rising since June.
    • Outperform by %20 – %25 :
      • THYAO : Higher momentum in last 6 months and the stock makes a new high every month over the last 6 months
    • Peer Trade in Medium Term: (*)
    • Outperform by %10 – %15 :
      • SELL TUPRS / BUY PETKM : A new uptrend in PETKM is likely lead Tupras shares to perform better relative to TUPRS
    • Outperform by %20 – %25 :
    • SELL ISCTR / BUY THYAO : Sacrifice a good stock for a better one. High possibilty for double digit gain for THYAO relative to ISCTR gain
    • (*) in the order of our conviction levels (higher to lower)
  • 3. TR BOND (as of February 9, 2010)
    • BOND. MONTHLY
    • Medium Term Expectations:
    • Excessive price movements that dont confirmed by indicator are trading opportunities
    • We expect a rise in interest raises and hold our “ SELL ” position.
  • 4. RECOMMENDATIONS CONVICTION LEVEL (as of February 9, 2010) BUY SELL BUY BUY SELL SELL RECOM. BUY BUY BUY BUY BUY BUY RECOM. 75/100 (+) 30 - 40 % 80/100 0.5 – 1.0 % USDYTL 70/100 (-) 7 - 10 % 80/100 5.0 – 7.0 % TUPRS 85/100 (+) 25 - 35 % 85/100 2.0 – 3.0 % THYAO 85/100 (+) 10 - 15 % 80/100 5.0 – 6.0 % PETKM 75/100 (-) 5 -10 % 80/100 3.0 – 4.0 % BIMAS 80/100 (-) 10 - 15 % 80/100 3.0 - 3.5 % XU100 Conviction level Medium term target Conviction level Short term target
  • 5. MARKET VIEW (as of February 9, 2010)
    • XU100. DAILY
    • Short Term Expectations:
    • Oversold conditions ended: we are in a reaction days.
    • Our last call has been a “BUY” delivered @ 49.750
    • What we expect for a “SELL” signal:
        • at least 3 days consolidation
        • smooth movements on pirce averages
    Our propre priority momentum indicator eases market trend analysis notably
  • 6. MARKET VIEW (as of February 9, 2010)
    • XU100. MONTHLY
    • Long Term Expectations:
    • We are “BEARISH” (line 1 is violated)
    • Last signal is a “SELL” dated on Jan.2010 (@ 55.000)
    • Bearish trend duration expected: 1-2 months
    • We expect to be “BULLISH” @45.000
    1 2
  • 7. MARKET VIEW (as of February 9, 2010)
    • XU100/USD MONTHLY
    • Long Term Expectations:
    • Similar pattern as XU100/TL
    • Overbpught conditions: support expected @27.750
    • Last signal as “SELL” in Jan.10 (@ 37.750)
    • Trend duration expected: 3-6 months
  • 8. MARKET VIEW (as of February 9, 2010)
    • USD/TL MONTHLY
    • We are more “BULLISH” as long as blue curve (1) stay above “0” level
    • Last signal as “BUY” in September.09 (@ 1.4650)
    • We expect to be more “BULLISH” after April.10
    1
  • 9. RECOMMENDATIONS PERFORMANCE SUMMARY (as of Feb. 9, 2010)
    • Quarterly Performance
      • Our model portfolio outperformed XU100 performance by 740% with high volume equities
      • We invested with equal capital to equities
      • Double digit gains relative to XU100 every quarter (47% on quarter average) (*)
      • Every quarter 4-5 equity is recommended to beat XU100
      • 8-10 transactions / quarter ( average period for every equity is one quarter)
      • Max drawdown (occured at Q1.08): -24% ( 7 out of 23 recoms with negative performance )
      • portfolio performance average / portfolio standard deviation = 0,56
      • market performance average / market standard deviation = 0.05
    • * See last pages for details
  • 10. RECOMMENDATIONS PERFORMANCE (daily ) Cumulative yield for a given period * See last pages for details   148%     Relative   -34% 36.051 54.708 XU100   114% 213.614 TRL 100.000 TRL Net     2.388 TRL 0,3% Commi.       36 Transa.   116% 216.002 TRL 100.000 TRL System days 273 01.10.08 02.01.08 Period       100.000 TRL Capital
  • 11. HISTORIC PERFORMANCE: VIX030 daily (as of February 9, 2010)
    • Correctin time to oversold days: although the indicator made new low of last days (leading to a bearish market)
    • We expect price approaching to its moving average.
    • Our favoured “C-system” methodology has given a last signal as a BUY on 63.300 and continues remain bearish
    • Exhibit: Daily Chart vs. Our Recommendations
    2 1
  • 12. HISTORIC PERFORMANCE: VIX030 hourly (as of February 9, 2010)
    • Still BEARISH after weaker indicators (line 2)
    • We expect more oversold market with falling price averages sharply (line 1)
    • Our favoured “C-system” methodology has given a last signal as a BUY on 63.000 and continues remain bearish
    • Exhibit: Hourly Chart vs. Our Recommendations
    2 1
  • 13. HISTORIC PERFORMANCE: TUPRS (Short Term View – BUY)
    • Indicator is at new low since december.09 but averages are near “0”: bullish after -10% deviation from moving averages.
    • Our favoured “C-system” methodology has given a BUY signal on TRL 27.25 and continues remain bullish
    • Exhibit: Daily Price Chart vs. Our Recommendatiostillns
    2 1
  • 14. HISTORIC PERFORMANCE: TUPRS (Long Term View - SELL)
    • We are “ BEARISH ” after excessive price movements
    • Our favoured “C-system” methodology has given a SELL signal on TRL 32.50 and continues remain bearish
    • Exhibit: Monthly Price Chart vs. Our Recommendations
    1
  • 15. HISTORIC PERFORMANCE: BIMAS (Short Term View – BUY)
    • We are less “BULLISH”: indicator and its moving averages are under “0” but stock is oversold.
    • Our favoured “C-system” methodology has given a BUY signal on TRL 65.50 and continues remain bullish
    • Exhibit: Daily Price Chart vs. Our Recommendatiostillns
    2 1
  • 16. HISTORIC PERFORMANCE: BIMAS (Long Term View - SELL)
    • We are “ BEARISH ” : we expect prices dropping to moving average (1)
    • Our favoured “C-system” methodology has given a SELL signal on TRL 73.50 and continues remain bearish
    • Exhibit: Monthly Price Chart vs. Our Recommendations
    1
  • 17. HISTORIC PERFORMANCE: PETKM (Short Term View – BUY)
    • BULLISH: Oversold market with indicator averages above “0”
    • Our favoured “C-system” methodology has given a BUY signal on TRL 8.20 and continues remain bullish
    • Exhibit: Daily Price Chart vs. Our Recommendatiostillns
    1
  • 18. HISTORIC PERFORMANCE: PETKM (Long Term View - BUY)
    • We are “ BULLISH ” : indicator’s moving averages still rise and stock price is not overbought
    • Our favoured “C-system” methodology has given a BUY signal on TRL6.40 and continues remain bullish
    • Exhibit: Monthly Price Chart vs. Our Recommendations
    1
  • 19. HISTORIC PERFORMANCE: THYAO (Short Term View – BUY)
    • BULLISH: Indicator’s average (blue line) is very good sign of market trend and it tries to move to “0”
    • Our favoured “C-system” methodology has given a BUY signal on TRL 4.90 and continues remain bullish
    • Exhibit: Daily Price Chart vs. Our Recommendatiostillns
    1
  • 20. HISTORIC PERFORMANCE: THYAO (Long Term View - BUY)
    • We are “ BULLISH ” : indicator’s moving average (line 1) is very strong –near “1”
    • Our favoured “C-system” methodology has given a BUY signal on TRL0.75 and continues remain bullish
    • Exhibit: Monthly Price Chart vs. Our Recommendations
    1
  • 21. BalticDRY vs ISE INDUSTRIALS (as of February 9, 2010)
    • We choose another indicator to analyze indexes ratio
    • The ratio has net signals: see the indicator above “0” : sign of weak uptrend.
    • Falling BDRY index limit ISE.IND positive momentum (they are highly correlated)
    • We think it will reach “0.10” level in 2010
    Indexes are strongly correlated: R^2=0.82
  • 22. RECOMMENDATIONS PERFORMANCE TABLE (quarterly) Sample selected from high volume equities -%9 TTKOM %423 KOZAA %285 ARCLK %50 EREGL %98 GUBRF %35 BAGFS %34 ISCTR %264 %34 VAKBN %38 YKBNK %54 AKBNK %17 KCHOL -%15 GARAN %438 -%14 THYAO %97 -%34 %3 -%11 -%42 XU100 %5 PETKM %43 IHEVA -%24 ASYAB -% 9 EREGL %9 -%14 TUPRS %5 -%13 TCELL 2009 2008 (Q4) 2008 (Q3) 2008 (Q2) 2008 (Q1)
  • 23. RECOMMENDATIONS PERFORMANCE TABLE (daily) Transactions table 90 158 62% 12.564 32.564 6,35 29.09.08 20.000 3,90 01.07.08 5.128 AKBNK 30 168 79% 16.000 36.000 90,00 09.07.08 20.000 50,00 09.06.08 400 FENER 32 131 18% 3.647 23.647 4,02 06.06.08 20.000 3,40 05.05.08 5.882 VESBE 16 147 44% 8.923 28.923 9,40 24.04.08 20.000 6,50 08.04.08 3.077 GUBRF 38 170 82% 16.500 36.500 1,46 24.04.08 20.000 0,80 17.03.08 25.000 GSDHO 24 181 101% 20.397 40.397 6,10 10.03.08 20.000 3,02 15.02.08 6.623 GUBRF 10 134 23% 4.816 24.816 3,04 21.02.08 20.000 2,45 11.02.08 8.163 OZGYO 3 128 13% 2.695 22.695 8,00 14.02.08 20.000 7,05 11.02.08 2.837 HALKB 11 125 8% 1.642 21.642 1,45 19.02.08 20.000 1,34 08.02.08 14.925 THYAO 7 130 16% 3.415 23.415 4,80 15.02.08 20.000 4,10 08.02.08 4.878 GARAN 19 134 23% 4.789 24.789 4,40 27.02.08 20.000 3,55 08.02.08 5.634 ASYAB 5 125 8% 1.702 21.702 7,65 05.02.08 20.000 7,05 31.01.08 2.837 THYAO 8 134 23% 4.793 24.793 3,00 30.01.08 20.000 2,42 22.01.08 8.264 OZGYO 13 125 8% 1.746 21.746 6,85 04.02.08 20.000 6,30 22.01.08 3.175 AKBNK 3 128 12% 2.581 22.581 10,50 25.01.08 20.000 9,30 22.01.08 2.151 TCELL 4 126 9% 1.860 21.860 35,25 11.01.08 20.000 32,25 07.01.08 620 TUPRS 8 144 39% 7.931 27.931 3,24 10.01.08 20.000 2,32 02.01.08 8.621 GUBRF day 0,3% % P/L cost sell date cost buy date lot
  • 24. CONTACT DETAILS Cem Şengezer Technical & Quantitative Analyst System Developer GSM: 0532 382 85 92 E-mail: cem.sengezer@gmail.com