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TURKISH EQUITY MARKETS “ BEARS ON PLAY” (February 9, 2010)
MARKET OUTLOOK (as of February 9, 2010)  <ul><li>We are bullish with (+2)% rise @XU100 for short term.  </li></ul><ul><li>...
TR BOND (as of February 9, 2010)  <ul><li>BOND. MONTHLY </li></ul><ul><li>Medium Term Expectations: </li></ul><ul><li>Exce...
RECOMMENDATIONS CONVICTION LEVEL  (as of February 9, 2010)   BUY SELL BUY BUY SELL SELL RECOM. BUY BUY BUY BUY BUY BUY REC...
MARKET VIEW (as of February 9, 2010)  <ul><li>XU100. DAILY </li></ul><ul><li>Short Term Expectations: </li></ul><ul><li>Ov...
MARKET VIEW (as of February 9, 2010)  <ul><li>XU100. MONTHLY </li></ul><ul><li>Long Term Expectations: </li></ul><ul><li>W...
MARKET VIEW (as of February 9, 2010)  <ul><li>XU100/USD MONTHLY </li></ul><ul><li>Long Term Expectations: </li></ul><ul><l...
MARKET VIEW (as of February 9, 2010)  <ul><li>USD/TL MONTHLY </li></ul><ul><li>We are  more “BULLISH”  as long as  blue cu...
RECOMMENDATIONS PERFORMANCE SUMMARY (as of Feb. 9, 2010)  <ul><li>Quarterly Performance </li></ul><ul><ul><li>Our model po...
RECOMMENDATIONS PERFORMANCE  (daily ) Cumulative yield for a given period  *  See last pages  for details   148%     Relat...
HISTORIC PERFORMANCE: VIX030 daily (as of February 9, 2010)     <ul><li>Correctin time to oversold days: although the indi...
HISTORIC PERFORMANCE: VIX030 hourly (as of February 9, 2010)     <ul><li>Still  BEARISH  after weaker indicators (line 2) ...
HISTORIC PERFORMANCE: TUPRS (Short Term View – BUY)   <ul><li>Indicator is at new low since december.09 but averages are n...
HISTORIC PERFORMANCE: TUPRS (Long  Term View - SELL)   <ul><li>We are “ BEARISH ” after excessive price movements </li></u...
HISTORIC PERFORMANCE: BIMAS (Short Term View – BUY)   <ul><li>We are less “BULLISH”: indicator and its moving averages are...
HISTORIC PERFORMANCE: BIMAS (Long  Term View - SELL)   <ul><li>We are “ BEARISH ” : we expect prices dropping to moving av...
HISTORIC PERFORMANCE: PETKM (Short Term View – BUY)   <ul><li>BULLISH: Oversold market with indicator averages above “0” <...
HISTORIC PERFORMANCE: PETKM (Long  Term View - BUY)   <ul><li>We are “ BULLISH ” : indicator’s moving averages still rise ...
HISTORIC PERFORMANCE: THYAO (Short Term View – BUY)   <ul><li>BULLISH: Indicator’s average (blue line) is very good sign o...
HISTORIC PERFORMANCE: THYAO (Long  Term View - BUY)   <ul><li>We are “ BULLISH ” : indicator’s moving average (line 1) is ...
BalticDRY vs ISE INDUSTRIALS (as of February 9, 2010)   <ul><li>We choose another indicator to analyze indexes ratio </li>...
RECOMMENDATIONS PERFORMANCE TABLE (quarterly) Sample selected from high volume equities -%9 TTKOM %423 KOZAA %285 ARCLK %5...
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...
CONTACT DETAILS Cem Şengezer Technical & Quantitative Analyst  System Developer GSM: 0532 382 85 92 E-mail: cem.sengezer@g...
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Market Outlook

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A quantitative view on financial markets

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Market Outlook

  1. 1. TURKISH EQUITY MARKETS “ BEARS ON PLAY” (February 9, 2010)
  2. 2. MARKET OUTLOOK (as of February 9, 2010) <ul><li>We are bullish with (+2)% rise @XU100 for short term. </li></ul><ul><li>More bearish than January in mid term. Our top mid term recommendations: THYAO, PETKM. </li></ul><ul><li>Short Term : </li></ul><ul><ul><li>XU100 : Narrow band movements with limited profits </li></ul></ul><ul><li>Medium Term: </li></ul><ul><ul><li>XU100 : We are bearish, with weak indicators </li></ul></ul><ul><ul><li>USDTL : Downtrend is ended with more positive momentum </li></ul></ul><ul><ul><li>XU100 / USD : Limited momentum, bearish market </li></ul></ul><ul><li>HIGHLIGHTS: </li></ul><ul><li>Short Term : (*) </li></ul><ul><ul><li>BUY TUPRS : Oversold market necessitates a correction </li></ul></ul><ul><ul><li>BUY BIMAS : Need of a correction with strong indicators </li></ul></ul><ul><li>Medium Term: (*) </li></ul><ul><li>BUY </li></ul><ul><ul><li>THYAO : A strong uptrend since 10 months. Stock currently draws a risk-free formation but daily corrections needed for an healthy uptrend </li></ul></ul><ul><ul><li>PETKM : Indicators tend to be near “1” level </li></ul></ul><ul><li>SELL </li></ul><ul><ul><li>BIMAS : An horizontal trend slightly negative </li></ul></ul><ul><ul><li>TUPRS : Oversold with mixed indicator signals </li></ul></ul><ul><li>ISE-30 Relative Medium Term : (*) </li></ul><ul><li>Outperform by %15 – %20 : </li></ul><ul><ul><li>TUPRS : A very promising formation is in the making over the last 3 months with our favoured indicators rising since June. </li></ul></ul><ul><li>Outperform by %20 – %25 : </li></ul><ul><ul><li>THYAO : Higher momentum in last 6 months and the stock makes a new high every month over the last 6 months </li></ul></ul><ul><li>Peer Trade in Medium Term: (*) </li></ul><ul><li>Outperform by %10 – %15 : </li></ul><ul><ul><li>SELL TUPRS / BUY PETKM : A new uptrend in PETKM is likely lead Tupras shares to perform better relative to TUPRS </li></ul></ul><ul><li>Outperform by %20 – %25 : </li></ul><ul><li>SELL ISCTR / BUY THYAO : Sacrifice a good stock for a better one. High possibilty for double digit gain for THYAO relative to ISCTR gain </li></ul><ul><li>(*) in the order of our conviction levels (higher to lower) </li></ul>
  3. 3. TR BOND (as of February 9, 2010) <ul><li>BOND. MONTHLY </li></ul><ul><li>Medium Term Expectations: </li></ul><ul><li>Excessive price movements that dont confirmed by indicator are trading opportunities </li></ul><ul><li>We expect a rise in interest raises and hold our “ SELL ” position. </li></ul>
  4. 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. 5. MARKET VIEW (as of February 9, 2010) <ul><li>XU100. DAILY </li></ul><ul><li>Short Term Expectations: </li></ul><ul><li>Oversold conditions ended: we are in a reaction days. </li></ul><ul><li>Our last call has been a “BUY” delivered @ 49.750 </li></ul><ul><li>What we expect for a “SELL” signal: </li></ul><ul><ul><ul><li>at least 3 days consolidation </li></ul></ul></ul><ul><ul><ul><li>smooth movements on pirce averages </li></ul></ul></ul>Our propre priority momentum indicator eases market trend analysis notably
  6. 6. MARKET VIEW (as of February 9, 2010) <ul><li>XU100. MONTHLY </li></ul><ul><li>Long Term Expectations: </li></ul><ul><li>We are “BEARISH” (line 1 is violated) </li></ul><ul><li>Last signal is a “SELL” dated on Jan.2010 (@ 55.000) </li></ul><ul><li>Bearish trend duration expected: 1-2 months </li></ul><ul><li>We expect to be “BULLISH” @45.000 </li></ul>1 2
  7. 7. MARKET VIEW (as of February 9, 2010) <ul><li>XU100/USD MONTHLY </li></ul><ul><li>Long Term Expectations: </li></ul><ul><li>Similar pattern as XU100/TL </li></ul><ul><li>Overbpught conditions: support expected @27.750 </li></ul><ul><li>Last signal as “SELL” in Jan.10 (@ 37.750) </li></ul><ul><li>Trend duration expected: 3-6 months </li></ul>
  8. 8. MARKET VIEW (as of February 9, 2010) <ul><li>USD/TL MONTHLY </li></ul><ul><li>We are more “BULLISH” as long as blue curve (1) stay above “0” level </li></ul><ul><li>Last signal as “BUY” in September.09 (@ 1.4650) </li></ul><ul><li>We expect to be more “BULLISH” after April.10 </li></ul>1
  9. 9. RECOMMENDATIONS PERFORMANCE SUMMARY (as of Feb. 9, 2010) <ul><li>Quarterly Performance </li></ul><ul><ul><li>Our model portfolio outperformed XU100 performance by 740% with high volume equities </li></ul></ul><ul><ul><li>We invested with equal capital to equities </li></ul></ul><ul><ul><li>Double digit gains relative to XU100 every quarter (47% on quarter average) (*) </li></ul></ul><ul><ul><li>Every quarter 4-5 equity is recommended to beat XU100 </li></ul></ul><ul><ul><li>8-10 transactions / quarter ( average period for every equity is one quarter) </li></ul></ul><ul><ul><li>Max drawdown (occured at Q1.08): -24% ( 7 out of 23 recoms with negative performance ) </li></ul></ul><ul><ul><li>portfolio performance average / portfolio standard deviation = 0,56 </li></ul></ul><ul><ul><li>market performance average / market standard deviation = 0.05 </li></ul></ul><ul><li>* See last pages for details </li></ul>
  10. 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. 11. HISTORIC PERFORMANCE: VIX030 daily (as of February 9, 2010) <ul><li>Correctin time to oversold days: although the indicator made new low of last days (leading to a bearish market) </li></ul><ul><li>We expect price approaching to its moving average. </li></ul><ul><li>Our favoured “C-system” methodology has given a last signal as a BUY on 63.300 and continues remain bearish </li></ul><ul><li>Exhibit: Daily Chart vs. Our Recommendations </li></ul>2 1
  12. 12. HISTORIC PERFORMANCE: VIX030 hourly (as of February 9, 2010) <ul><li>Still BEARISH after weaker indicators (line 2) </li></ul><ul><li>We expect more oversold market with falling price averages sharply (line 1) </li></ul><ul><li>Our favoured “C-system” methodology has given a last signal as a BUY on 63.000 and continues remain bearish </li></ul><ul><li>Exhibit: Hourly Chart vs. Our Recommendations </li></ul>2 1
  13. 13. HISTORIC PERFORMANCE: TUPRS (Short Term View – BUY) <ul><li>Indicator is at new low since december.09 but averages are near “0”: bullish after -10% deviation from moving averages. </li></ul><ul><li>Our favoured “C-system” methodology has given a BUY signal on TRL 27.25 and continues remain bullish </li></ul><ul><li>Exhibit: Daily Price Chart vs. Our Recommendatiostillns </li></ul>2 1
  14. 14. HISTORIC PERFORMANCE: TUPRS (Long Term View - SELL) <ul><li>We are “ BEARISH ” after excessive price movements </li></ul><ul><li>Our favoured “C-system” methodology has given a SELL signal on TRL 32.50 and continues remain bearish </li></ul><ul><li>Exhibit: Monthly Price Chart vs. Our Recommendations </li></ul>1
  15. 15. HISTORIC PERFORMANCE: BIMAS (Short Term View – BUY) <ul><li>We are less “BULLISH”: indicator and its moving averages are under “0” but stock is oversold. </li></ul><ul><li>Our favoured “C-system” methodology has given a BUY signal on TRL 65.50 and continues remain bullish </li></ul><ul><li>Exhibit: Daily Price Chart vs. Our Recommendatiostillns </li></ul>2 1
  16. 16. HISTORIC PERFORMANCE: BIMAS (Long Term View - SELL) <ul><li>We are “ BEARISH ” : we expect prices dropping to moving average (1) </li></ul><ul><li>Our favoured “C-system” methodology has given a SELL signal on TRL 73.50 and continues remain bearish </li></ul><ul><li>Exhibit: Monthly Price Chart vs. Our Recommendations </li></ul>1
  17. 17. HISTORIC PERFORMANCE: PETKM (Short Term View – BUY) <ul><li>BULLISH: Oversold market with indicator averages above “0” </li></ul><ul><li>Our favoured “C-system” methodology has given a BUY signal on TRL 8.20 and continues remain bullish </li></ul><ul><li>Exhibit: Daily Price Chart vs. Our Recommendatiostillns </li></ul>1
  18. 18. HISTORIC PERFORMANCE: PETKM (Long Term View - BUY) <ul><li>We are “ BULLISH ” : indicator’s moving averages still rise and stock price is not overbought </li></ul><ul><li>Our favoured “C-system” methodology has given a BUY signal on TRL6.40 and continues remain bullish </li></ul><ul><li>Exhibit: Monthly Price Chart vs. Our Recommendations </li></ul>1
  19. 19. HISTORIC PERFORMANCE: THYAO (Short Term View – BUY) <ul><li>BULLISH: Indicator’s average (blue line) is very good sign of market trend and it tries to move to “0” </li></ul><ul><li>Our favoured “C-system” methodology has given a BUY signal on TRL 4.90 and continues remain bullish </li></ul><ul><li>Exhibit: Daily Price Chart vs. Our Recommendatiostillns </li></ul>1
  20. 20. HISTORIC PERFORMANCE: THYAO (Long Term View - BUY) <ul><li>We are “ BULLISH ” : indicator’s moving average (line 1) is very strong –near “1” </li></ul><ul><li>Our favoured “C-system” methodology has given a BUY signal on TRL0.75 and continues remain bullish </li></ul><ul><li>Exhibit: Monthly Price Chart vs. Our Recommendations </li></ul>1
  21. 21. BalticDRY vs ISE INDUSTRIALS (as of February 9, 2010) <ul><li>We choose another indicator to analyze indexes ratio </li></ul><ul><li>The ratio has net signals: see the indicator above “0” : sign of weak uptrend. </li></ul><ul><li>Falling BDRY index limit ISE.IND positive momentum (they are highly correlated) </li></ul><ul><li>We think it will reach “0.10” level in 2010 </li></ul>Indexes are strongly correlated: R^2=0.82
  22. 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. 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. 24. CONTACT DETAILS Cem Şengezer Technical & Quantitative Analyst System Developer GSM: 0532 382 85 92 E-mail: cem.sengezer@gmail.com

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