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05.sqst2017 warren buffet

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05.sqst2017 warren buffet

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05.sqst2017 warren buffet

  1. 1. Warren Buffet Presented By Sataporn K.
  2. 2. Buffettology
  3. 3. Summarize Criteria ● Consumer Monopoly Characteristic ○ OPM > OPM Median of Industry ○ NPM > NPM Median of Industry ● Financial ○ TL / TA < TL / TA of Industry ● Earning stability and Trend ○ CAGR Short Term > CAGR Long Term ○ Consecutive Gain Long Term Positive
  4. 4. Consumer Vs Commodity
  5. 5. Consumer Vs Commodity
  6. 6. Industry Median
  7. 7. Trend of EPS Growth Rate
  8. 8. ROE ต้องได้ถึงระดับที่ Buffet พอใจ
  9. 9. Sustainable Growth Rate ROE * (1 - Payout Ratio) Payout Ratio = Dividend / Earning Per Share
  10. 10. How to calculate Intrinsic Value Book Value Per Share at Year 7 = Book Value Per Share ปัจจุบัน * (1 + (Sustainable Growth rate) ^ 7) Earning per Share Year 7 = Avg. 7 Years ROE * Book Value per Share Year 7
  11. 11. How to calculate Intrinsic Value (Con.) Intrinsic Value at Year 7 = (EPS Year 7 * P/E) + Avg. 7 Years Dividend Paid Over 7 Years
  12. 12. Summarize Criteria ● Consumer Monopoly Characteristic ○ OPM > OPM Median of Industry ○ NPM > NPM Median of Industry ● Financial ○ TL / TA < TL / TA of Industry ● Earning stability and Trend ○ CAGR Short Term > CAGR Long Term ○ Consecutive Gain Long Term Positive
  13. 13. Entry & Exit ● Entry: ○ 3Yrs EPS Growth Rate > 7 Yrs EPS Growth Rate ○ 7 Yrs Avg. ROE > 12% ○ Sustainable Growth Rate > 15% ○ ราคาปิ ด < Intrinsic Value ● Exit: ○ ราคาปิ ด > Intrinsic Value ○ 50% Stop Loss
  14. 14. Condition Details Backtesting Window - 01/01/2007 - 31/12/2016 Backtesting Restriction - Initial 1 M. - 0.15% Per Trade Commission - 1% Slippage Entry & Exit (รวม 2%) - Long Only Universe - All Stocks Filter - Buffettology Criteria Indicator - None Position Size - 5% of Equity Risk Management - Stop Loss 50% Order Management - Open
  15. 15. Buffettology Backtest Result
  16. 16. Buffettology Trade Stats Portfolio Metrics Original SET Net Profit 111.71% 134.04% CAGR 7.77% 9.17% MaxDD -43.72% -58.02% Longest DD (Month) 46.50 44.15 CAR/MDD 0.18 0.16 Trade Metrics Original SET No. of All Trade 46 - Avg. Bar Held 1073.50 - % Win 54.35% - Avg. Profit/Loss % 78.96% - Max Consecutive Loss 8 -
  17. 17. Improved Buffettology Backtest Result
  18. 18. Improved Buffettology Trade Stats Portfolio Metrics Original Improve SET Net Profit 111.71% 379.42% 134.04% CAGR 7.77% 16.97% 9.17% MaxDD -43.72% -40.41% -58.02% Longest DD (Month) 46.50 26.15 44.15 CAR/MDD 0.18 0.38 0.16 Trade Metrics Original Improve SET No. of All Trade 46 65 - Avg. Bar Held 1073.50 857.2.0 - % Win 54.35% 49.23% - Avg. Profit/Loss % 78.96% 125.14% - Max Consecutive Loss 8 14 -
  19. 19. Key takeaways for Buffetology ● Stock Selection Strategies ○ Quantity Earning is King ● Market Size

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