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Asia Pacific Equity Research

04 January 2012

Macro Model for January 2012


The currently favoured factors and stocks for Asia
The Macro Factor Rotation (MFR) Model is again positioned to look for rally candidates: it is still interested in cheap, sold-off names, most from their highs, but now adding a little more risk again by looking for small caps. The MFR model was down about -2% last month, hurt by reversion, but winning back some performance using P/B. The top four factors for January 2012 suggested by the MFR Model: 1. Historical PB stocks that are cheap on P/B 2. % off 52 week high buy those most off their highs 3. Price Reversion 1mth buy what has been sold off 4. Small Caps favour small caps over large Just outside of these top 4 factors sit RSI 10-day and Price Acceleration factors also factors looking for sold-off/turnaround possibilities. The top 4 factors did not see much change in the vote casting from last month, with only a swapping out of RSI 10-day in favour of small caps.
Top voted for Factors for January 2012
Votes 14 10 9 9 8 5 4 4 4 3 Factor Historical P/Book Value Ratio Percent Off 52 Week High 1 Mth Price Momentum Size (Barra) RSI 10 day Price Accel 6M Historical BETA 1 year forward forecast PE Relativ To History e Global Exposure 12 Mth Price Momentum Weighting Vote Change Pos. 0 Neg. 0 Neg. 0 Neg. 0 Neg. -1 Pos. -1 Pos. 0 Pos. -1 Neg. 0 Neg. 0

Asia ex Japan Quantitative Robert Smith


AC

(852) 2800 8569 robert.z.smith@jpmorgan.com

Steve Malin
(852) 2800 8568 steven.j.malin@jpmorgan.com J.P. Morgan Securities (Asia Pacific) Limited

Result of combining a classic static quant model with the Macro Factor Rotation model:
Q-Score static model
1,200 1,000 800 600 400 200 0 Base Nov-02 Nov-03 Nov-04 Nov-05 Nov-06 Nov-07 Nov-08 Nov-09 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100%

Macro Factor Rotation (MFR) model


1,200 1,000 800 600 400 200 0 Base Nov-02 Nov-03 Nov-04 Nov-05 Nov-06 Nov-07 Nov-08 Nov-09 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100%

Source: Bloomberg, Thomson Reuters, MSCI, J.P. Morgan

Combined 50:50 model


1,200 1,000 800 600 400 200 0 Base Nov-02 Nov-03 Nov-04 Nov-05 Nov-06 Nov-07 Nov-08 Nov-09 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100%

Performance last month: The High Conviction MFR screen in last months report came in under water. It did poorly with the reversion, but well with the P/B bias the performance of the standalone MFR screen last month was a -2.0% L/S. In combination with our Q-Score (i.e. the 50:50 model) it returned -5.1% L/S for December 2011. Our recent reports on this topic: Measuring the Macro Impact on Factor Performance, Smith/Malin, December 2010: This report is a reference guide, or Rulebook, for which factors work better (or worse) during different macro states. Style Timing using Macro Indicators, Smith/Malin, December 2010: In this we tested an approach that uses such a Rulebook to switch between factors depending on the macro environment as determined by our rules of thumb for assessing environment states.

Source: Thomson Reuters, MSCI, J.P. Morgan

Note the improved performance through the macro years, namely post 2007. The Macro Factor Rotation model did much better as it was able to exploit risk factors (size, volatility, beta etc) in addition to alpha factors. It also uses more cyclical alpha factors not suitable for static quant models (such as dividend yield, Percent off High, PE relative to history etc).

See page 5 for analyst certification and important disclosures, including non-US analyst disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. www.morganmarkets.com

Robert Smith (852) 2800 8569 robert.z.smith@jpmorgan.com

Asia Pacific Equity Research 04 January 2012

Macro Model for January


Looking for potential rally candidates
Each month we highlight the factors that the MFR model is favouring (and to use the terminology of prior work we are using tradable states and our current 2010 Rulebook in this model). The Macro Factor Rotation (MFR) Model is again positioned to look for rally candidates: it is still interested in cheap, sold-off names, most from their highs, but now adding a little more risk again by looking for small caps. Environment states currently active There are 31 active environments for January according to our tradable heuristics.
Table 1: Tradable active states for January 2012
Environment Asian Dollar Index, Falling Asian Dollar Index, Low Asian Dollar Index, Post-Peak Copper Spot, Low Copper Spot, Post-Trough Dividend Yield, Falling Dividend Yield, High Dividend Yield, Post-Peak Fed Rate, Rising Fed Rate, Post-Trough MSCI AxJ Volume, Falling MSCI AxJ Volume, Low MSCI AxJ Volume, Post-Peak MSCI AxJ, Rising MSCI AxJ, Low MSCI AxJ, Post-Trough Oil Gold Ratio, Rising Oil Gold Ratio, Post-Trough PMI Manufacturing Index/Inventory, Rising PMI Manufacturing Index/Inventory, Post-Trough TED Spread, Rising TED Spread, High US Gov Bond 10yr Yield, Rising US Gov Bond 10yr Yield, Low US Gov Bond 10yr Yield, Post-Trough US GOV Bond 3/10YR Spread, Rising US GOV Bond 3/10YR Spread, Low US GOV Bond 3/10YR Spread, Post-Trough Value Spread, Rising VIX, Falling VIX, Post-Peak
Source: MSCI, Thomson Reuters, Bloomberg, J.P. Morgan

until the series has confirmed for 2 months in a row making it slow to change (and sometimes late). This is the trade-off between false positives and responsiveness. That said, historically the heuristic got each series right about 55-60% of the time, so across the range of 14 macro series we track we believe the final outcome of the votes each month to be relatively robust. The factor votes and biggest movers The factors ranked below are in order of the votes from the 2010 Rulebook using the current tradable states. Also shown are the vote changes from December 2011.
Table 2: The factor votes by the model for January 2012
Votes 14 10 9 9 8 5 4 4 4 3 3 3 3 3 3 3 3 3 2 2 2 2 2 1 1 1 1 1 1 1 Factor Historical P/Book Value Ratio Percent Off 52 Week High 1 Mth Price Momentum Size (Barra) RSI 10 day Price Accel 6M Historical BETA 1 year forward forecast PE Relative To History Global Exposure 12 Mth Price Momentum 1 year forward forecast PE Valuation Historical Earnings Yield Value (Barra) Historical Dividend Yield Historical BETA Net Revisions to FY2 [Up-Down]/[Up+Down] Forward Earnings Momentum (3Mth Change) Success (Barra) Price Qscore Quality Price Volatility (Barra) Historical Return On Equity 12 Mth Price Momentum Earnings Success (Barra) Global Exposure Historical Return On Equity Weighting Vote Change Pos. 0 Neg. 0 Neg. 0 Neg. 0 Neg. -1 Pos. -1 Pos. 0 Pos. -1 Neg. 0 Neg. 0 Pos. 0 Pos. 0 Pos. 1 Pos. 0 Pos. 0 Neg. -1 Pos. 0 Pos. -1 Neg. 0 Neg. 0 Pos. 0 Pos. -3 Pos. 0 Pos. -2 Neg. 0 Pos. -2 Pos. 0 Pos. -1 Pos. -3 Pos. 0

Source: MSCI, Thomson Reuters, Bloomberg, J.P. Morgan

Strategy for January 2012


The top four factors dictated by the tradable states and 2010 Rulebook are unchanged from last month: 1. 2. 3. 4. Historical PB stocks that are cheap on P/B % off 52 week high buy those most off their highs Price Reversion 1mth buy what has been sold off Small Caps favour small caps over large

Going into January, the macro environment is being represented by more bullish states such as the Oil to Gold ratio in rising and post-trough, VIX in falling and post-peak. Some of the states might not be spot on... The heuristic we use to call the tradable states is prone to false starts. To combat this, we do not change a state
2

Performance last month


The High Conviction MFR screen in last months report came in under water. It did poorly with the reversion, but well with the P/B bias the performance of the standalone MFR screen last month was a -2.0% L/S. In combination with our Q-Score (i.e. the 50:50 model) it returned -5.1% L/S for December 2011.

Robert Smith (852) 2800 8569 robert.z.smith@jpmorgan.com

Asia Pacific Equity Research 04 January 2012

High Conviction (top 5%) picks of the MFR Model


Below are the current (top 5%) long and short Asia ex Japan picks sorted by country, arrived at by equally weighting the four (4) MFR selected factors.
Figure 1: Current LONG picks for the composite MFR factors (scores range between -3 and +3)
Ticker (right click to
v iew in BB)

Company Name

MSCI Country

GICS Sector

Market Value USD 2,341 787 1,964 1,862 1,172 1,322 510 628 980 1,261 1,147 3,822 3,547 2,182 1,702 1,248 1,112 5,789 1,633 1,159 3,066 1,284 7,938 2,450 2,636 7,521 587 1,351 2,970 3,803 4,463

Avg Daily Val US$m 7.3 11.4 7.3 7.8 15.0 12.6 1.7 10.0 10.2 7.0 20.0 5.1 10.7 22.6 2.8 22.6 12.3 16.7 22.4 5.4 82.5 1.0 1.7 3.6 8.4 24.8 3.6 37.3 17.9 26.8 26.0

PB Hist

% of 52 week High -53.3% -62.5% -74.3% -58.0% -63.0% -61.0% -57.6% -68.4% -70.6% -62.6% -64.3% -56.0% -53.9% -51.0% -36.2% -55.0% -57.3% -45.3% -51.5% -47.6% -56.5% -27.9% -33.7% -16.7% -53.3% -42.5% -60.3% -46.9% -69.6% -57.2% -49.6%

1 Mth Ret

Size

PB Hist Zscore (inverted) 0.7 0.7 0.8 0.9 (0.0) 1.0 0.5 0.9 0.9 0.5 0.8 0.7 0.7 0.7 1.3 0.3 0.9 0.8 0.8 0.7 0.4 0.8 0.6 1.2 0.8 0.8 1.1 0.2 1.2 1.1 0.0

1387 HK 2009 HK 1101 HK 639 HK 1766 HK 390 HK 200012 CH SUEL IN UT IN UNSP IN RCAPT IN RPWR IN POWF IN JPA IN ANTM IJ 064420 KS 001230 KS 024110 KS 004800 KS 037620 KS 009830 KS BC MK MISC MK AGI PM KPLD SP CAPL SP 2371 TT 8069 TT 3481 TT 2409 TT IVL TB

Renhe Commercial Holdings Co. Ltd. China BBMG Corp. China China Rongsheng Heavy Industries Group China Holdings Ltd. Shougang Fushan Resources Group Ltd. China CSR Corp. Ltd. China China Railway Group Ltd. China CSG Holding Co Ltd B HKD China Suzlon Energy Ltd. India Unitech Ltd. India United Spirits Ltd. India Reliance Capital Ltd. India Reliance Power Ltd. India Power Finance Corp. Ltd. India Jaiprakash Associates Ltd. India Aneka Tambang Indonesia KP Chemical Corp. Korea Dongkuk Steel Mill Co. Ltd. Korea Industrial Bank of Korea Korea Hyosung Corp. Korea Mirae Asset Securities Co. Ltd. Korea Hanwha Chemical Corp. Korea Berjaya Corp. Bhd Malaysia MISC Bhd Malaysia Alliance Global Group Inc. Philippines Keppel Land Ltd. Singapore CapitaLand Ltd. Singapore Tatung Co Ltd Taiwan E Ink Holdings Inc. Taiwan Chimei Innolux Corp. Taiwan AU Optronics Corp. Taiwan Indorama Ventures PCL Thailand

Financials Materials Industrials Materials Industrials Industrials Materials Industrials Financials Consumer Staples Financials Utilities Financials Industrials Materials Materials Materials Financials Materials Financials Materials Industrials Industrials Industrials Financials Financials Consumer Discretionary Information Technology Information Technology Information Technology Materials

1.1x 1.0x 0.9x 0.8x 2.2x 0.6x 1.4x 0.5x 0.5x 1.6x 0.8x 1.2x 1.1x 1.1x 1.6x 1.4x 0.4x 0.7x 0.6x 0.7x 1.2x 0.7x 1.1x 1.7x 0.8x 0.7x 0.5x 1.7x 0.3x 0.4x 4.0x

-24.1% -16.2% -8.9% -15.4% -18.5% -10.2% -13.8% -22.5% -17.4% -21.5% -18.7% -21.0% -19.5% -19.5% -1.2% -18.4% -13.1% -23.9% -14.1% -13.7% -13.9% -6.1% -6.5% -0.2% -11.6% -14.1% -10.8% -28.4% -6.4% -11.2% -9.2%

2,341.3 787.3 1,964.4 1,862.2 1,172.5 1,321.6 510.5 627.9 980.1 1,261.0 1,146.8 3,821.7 3,546.9 2,181.8 1,702.0 1,247.6 1,112.1 5,788.6 1,632.7 1,159.5 3,065.9 1,284.0 7,938.2 2,449.8 2,636.2 7,520.9 587.0 1,350.9 2,969.5 3,802.9 4,463.3

% of 52 week 1 Mth Ret Size Avg MFR High Zscore Zscore Zscore Zscore (inverted) (inverted) (inverted) 1.0 2.7 0.4 1.2 1.6 1.7 0.7 1.2 2.3 0.7 0.5 1.1 1.3 1.6 0.5 1.1 1.6 2.0 0.6 1.1 1.5 0.9 0.6 1.0 1.3 1.3 0.8 1.0 2.1 1.8 0.8 1.4 2.2 1.1 0.8 1.3 1.7 1.7 0.8 1.2 1.8 1.3 0.8 1.2 1.4 1.6 0.5 1.0 1.3 1.4 0.5 1.0 1.1 1.4 0.7 1.0 1.3 0.5 1.0 1.0 1.5 2.1 0.9 1.2 1.7 1.3 0.9 1.2 0.9 2.9 0.0 1.2 1.3 1.5 0.8 1.1 1.1 1.4 0.9 1.0 1.6 1.5 0.6 1.0 1.3 1.8 1.0 1.2 1.9 1.9 (0.2) 1.0 1.1 0.9 0.9 1.0 1.6 1.8 0.8 1.2 1.0 2.3 0.2 1.0 1.8 1.5 0.8 1.3 0.9 3.0 0.6 1.2 2.4 0.8 0.2 1.2 1.6 1.5 (0.0) 1.1 2.3 1.8 0.7 1.2

Figure 2: Current SHORT picks for the composite MFR factors (scores range between -3 and +3)
Ticker (right click to
v iew in BB)

Company Name

MSCI Country

GICS Sector

Market Value USD

Avg Daily Val US$m 111.8 86.4 68.0 191.6 17.6 25.4 22.4 107.9 2.5 26.2 69.5 27.7 21.0 35.7 26.4 3.3 14.1 42.9 135.5 299.7 12.2 8.2 1.9 6.8 9.3 55.4 42.1 15.2 17.3 95.4 3.3

PB Hist

% of 52 week High -18.2% -4.9% -6.2% -6.7% -10.9% -8.5% -1.8% -31.2% -17.1% -22.7% -18.3% -7.7% -5.8% -5.8% -1.0% -0.5% -2.7% -15.7% -13.0% -2.7% -2.2% -4.1% -0.4% 0.0% -0.3% -7.6% -9.9% -13.1% -4.0% -3.2% -4.3%

1 Mth Ret

Size

PB Hist Zscore (inverted) 0.4 0.5 0.4 0.0 (3.0) (3.0) (3.0) (3.0) (2.4) (0.9) (0.8) (1.9) (3.0) (1.9) (0.6) (3.0) 0.0 (3.0) 0.1 0.1 (2.1) (3.0) (3.0) (1.5) (0.9) (0.0) (0.1) (3.0) (2.3) (1.1) (2.0)

857 HK 386 HK 762 HK 941 HK 151 HK 322 HK 1044 HK 700 HK DABUR IN COAL IN INFO IN ITC IN HUVR IN TCS IN ASII IJ UNVR IJ 005935 KS 035420 KS 005380 KS 005930 KS 001800 KS DIGI MK ROTH MK TEL PM JCNC SP ST SP 2412 TT 2912 TT 3045 TT 2330 TT BEC TB

PetroChina Co. Ltd. China China Petroleum & Chemical Corp. China China Unicom (Hong Kong) Ltd. China China Mobile Ltd. China Want Want China Holdings Ltd. China Tingyi (Cayman Islands) Holding Corp. China Hengan International Group Co. Ltd. China Tencent Holdings Ltd. China Dabur India Ltd. India Coal India Ltd. India Infosys Ltd. India ITC Ltd. India Hindustan Unilev Ltd. er India Tata Consultancy Serv ices Ltd. India Astra International Indonesia Unilever Indonesia Indonesia Samsung Electronics Co Prf Korea NHN Corp. Korea Hyundai Motor Co. Ltd. Korea Samsung Electronics Co. Ltd. Korea Orion Corp. Korea DiGi.com Bhd Malaysia British American Tobacco (Malaysia) Bhd Malaysia Philippine Long Distance Telephone Co. Philippines Jardine Cycle & Carriage Ltd. Singapore Singapore Telecommunications Ltd. Singapore Chunghwa Telecom Co. Ltd. Taiwan President Chain Store Corp. Taiwan Taiwan Mobile Co. Ltd. Taiwan Taiwan Semiconductor Manufacturing Co. Taiwan Ltd. BEC World PCL Thailand

Energy 27,432 Energy 18,621 Telecommunication Serv ices 50,903 Telecommunication Serv 199,210 ices Consumer Staples 13,189 Consumer Staples 17,235 Consumer Staples 11,953 Information Technology 37,658 Consumer Staples 3,301 Energy 38,790 Information Technology 30,909 Consumer Staples 29,297 Consumer Staples 16,551 Information Technology 44,014 Consumer Discretionary 33,238 Consumer Staples 15,452 Information Technology 13,592 Information Technology 9,180 Consumer Discretionary 42,400 Information Technology 141,443 Consumer Staples 3,468 Telecommunication Serv ices 9,407 Consumer Staples 4,483 Telecommunication Serv ices 12,641 Consumer Discretionary 13,541 Telecommunication Serv ices 39,016 Telecommunication Serv ices 25,610 Consumer Staples 5,800 Telecommunication Serv ices 10,672 Information Technology 64,762 Consumer Discretionary 2,853

1.6x 1.4x 1.6x 2.2x 12.3x 9.5x 8.8x 10.9x 10.8x 6.2x 6.0x 9.4x 32.8x 9.3x 6.2x 34.9x 7.2x 1.7x 1.7x 5.4x 22.0x 28.8x 5.2x 3.6x 2.1x 2.1x 8.7x 5.0x 3.4x 11.9x

2.4% 27,432.4 2.9% 18,620.6 0.0% 50,902.6 -0.3% 199,209.5 -6.0% 13,188.9 -6.3% 17,234.9 2.6% 11,952.9 4.5% 37,657.7 6.1% 3,300.8 -2.4% 38,789.6 5.8% 30,908.9 -3.3% 29,297.4 0.1% 16,551.1 -0.1% 44,014.0 8.7% 33,237.7 11.2% 15,452.1 4.5% 13,591.9 -4.1% 9,180.1 0.9% 42,399.5 2.9% 141,443.2 14.3% 3,467.7 1.6% 9,407.0 5.7% 4,482.9 8.4% 12,641.3 5.9% 13,541.0 3.2% 39,016.1 -1.0% 25,609.7 5.6% 5,800.3 -0.6% 10,672.1 -0.3% 64,761.8 15.6% 2,852.6

% of 52 week 1 Mth Ret Size Avg MFR High Zscore Zscore Zscore Zscore (inverted) (inverted) (inverted) (1.1) (0.9) (3.0) (1.2) (1.9) (0.9) (2.3) (1.2) (1.9) (0.5) (3.0) (1.3) (1.8) (0.5) (3.0) (1.3) (1.6) 0.3 (1.4) (1.4) (1.7) 0.3 (2.0) (1.6) (2.1) (0.9) (1.1) (1.8) (0.3) (1.2) (3.0) (1.9) (0.8) (1.9) 0.5 (1.1) (0.5) (0.8) (3.0) (1.3) (0.8) (1.9) (2.2) (1.4) (1.3) (0.7) (2.0) (1.5) (1.5) (1.2) (0.8) (1.6) (1.5) (1.1) (3.0) (1.9) (1.2) (0.8) (3.0) (1.4) (1.3) (1.2) (0.9) (1.6) (1.8) (1.2) (1.4) (1.1) (1.0) 0.0 (0.6) (1.1) (1.2) (0.7) (3.0) (1.2) (1.8) (1.0) (3.0) (1.4) (1.9) (2.7) 0.5 (1.5) (1.0) (0.0) (0.5) (1.2) (1.4) (1.0) 0.4 (1.2) (1.1) (0.4) (3.0) (1.5) (1.6) (1.6) (0.7) (1.2) (1.2) (1.0) (3.0) (1.3) (1.6) 0.0 (3.0) (1.2) (1.4) (0.9) (0.5) (1.5) (2.0) (0.0) (1.7) (1.5) (2.0) (0.1) (3.0) (1.6) (1.0) (2.9) 1.0 (1.2)

Source: Bloomberg, Reuters Thomson, MSCI, J.P. Morgan

Robert Smith (852) 2800 8569 robert.z.smith@jpmorgan.com

Asia Pacific Equity Research 04 January 2012

High Conviction (top 5%) picks of the 50:50 Model


Below are the current (top 5%) long and short picks sorted by country, arrived at by combining the 4-factor MFR model above with our static Q-Score model (weighted 50:50).
Figure 3: Current LONG picks for the 50:50 model (scores range between -3 and +3)
Ticker (right click to
v iew in BB)

Company Name

MSCI Country

GICS Sector

Market Value USD 1,455 510 1,478 2,341 6,231 2,328 1,661 3,336 816 995 1,429 1,995 787 7,738 3,869 1,473 3,547 5,183 5,789 4,166 3,052 2,009 3,363 2,450 13,541 2,811 1,351 1,101 1,856 1,160 3,543

Avg Daily Val US$m 12.4 1.7 5.4 7.3 35.2 16.3 7.0 88.6 8.1 6.9 7.5 8.7 11.4 55.0 10.2 4.7 10.7 34.2 16.7 45.9 27.2 1.1 4.7 3.6 9.3 14.0 37.3 4.5 63.4 3.5 111.0

PB Hist

% of 52 week High -42.0% -57.6% -51.1% -53.3% -51.0% -39.0% -55.4% -50.7% -50.5% -44.5% -35.4% -22.4% -62.5% -35.3% -11.6% -30.1% -53.9% -44.6% -45.3% -48.8% -22.4% -19.5% -12.7% -16.7% -0.3% -55.0% -46.9% -19.7% -40.6% -35.7% -47.7%

1 Mth Ret

Size

PB Hist Zscore (inverted) (0.7) 0.5 0.0 0.7 0.2 (0.1) 0.6 0.1 0.8 0.7 (2.0) (0.0) 0.7 (1.7) 0.3 0.5 0.7 0.7 0.8 0.4 (0.7) 0.4 1.4 1.2 (0.9) 0.2 0.2 0.8 (3.0) 0.9 (0.7)

189 HK 200012 CH 3389 HK 1387 HK 3333 HK 2899 HK 175 HK 3323 HK 2777 HK 751 HK 1818 HK 1828 HK 2009 HK 27 HK 142 HK SCS IN POWF IN 003600 KS 024110 KS 042660 KS 011210 KS MAHB MK MBT PM AGI PM JCNC SP YZJ SP 8069 TT 1504 TT 2049 TT 6008 TT 2474 TT

Dongyue Group Ltd. China CSG Holding Co Ltd B HKD China Hengdeli Holdings Ltd. China Renhe Commercial Holdings Co. Ltd. China Evergrande Real Estate Group Ltd. China Zijin Mining Group Co. Ltd. China Geely Automobile Holdings Ltd. China China National Building Material Co. Ltd. China Guangzhou R&F Properties Co. Ltd. China Skyworth Digital Holdings Ltd. China Zhaojin Mining Industry Co. Ltd. China Dah Chong Hong Holdings Ltd. China BBMG Corp. China Galaxy Entertainment Group Ltd. Hong Kong First Pacific Co. Ltd. Hong Kong Satyam Computer Services Ltd. India Power Finance Corp. Ltd. India SK Holdings Co. Ltd. Korea Industrial Bank of Korea Korea Daewoo Shipbuilding & Marine Engineering Co. Ltd. Korea Hyundai Wia Corp. Korea Malaysia Airports Holdings Bhd Malaysia Metropolitan Bank & Trust Co. Philippines Alliance Global Group Inc. Philippines Jardine Cycle & Carriage Ltd. Singapore Yangzijiang Shipbuilding Holdings Ltd. Singapore E Ink Holdings Inc. Taiwan TECO Electric & Machinery Co. Ltd. Taiwan HIWIN Technologies Corp. Taiwan KGI Securities Co. Ltd. Taiwan Catcher Technology Co. Ltd. Taiwan

Materials Materials Consumer Discretionary Financials Financials Materials Consumer Discretionary Materials Financials Consumer Discretionary Materials Consumer Discretionary Materials Consumer Discretionary Financials Information Technology Financials Industrials Financials Industrials Consumer Discretionary Industrials Financials Industrials Consumer Discretionary Industrials Information Technology Industrials Industrials Financials Information Technology

3.4x 1.4x 2.2x 1.1x 1.9x 2.4x 1.3x 2.1x 0.8x 1.1x 5.6x 2.3x 1.0x 6.2x 1.5x 1.7x 1.1x 0.7x 0.7x 1.2x 3.1x 1.9x 1.5x 1.7x 3.6x 1.8x 1.7x 0.9x 9.2x 0.7x 2.9x

-17.6% -13.8% -16.8% -24.1% -11.5% -16.1% -8.4% -14.3% -11.5% -1.0% -10.6% -17.0% -16.2% -7.4% -3.1% -5.9% -19.5% -13.2% -23.9% -16.7% -10.4% -6.8% 4.5% -0.2% 5.9% 3.3% -28.4% -1.1% -9.6% -8.4% -1.4%

1,455.0 510.5 1,477.8 2,341.3 6,231.1 2,328.0 1,660.8 3,335.7 815.5 994.9 1,429.5 1,995.0 787.3 7,737.8 3,868.8 1,472.8 3,546.9 5,182.8 5,788.6 4,166.3 3,052.1 2,008.6 3,362.6 2,449.8 13,541.0 2,811.4 1,350.9 1,101.0 1,855.6 1,160.4 3,542.7

% of 52 week 1 Mth Ret Size Avg MFR Q-Score High Zscore Zscore Zscore Zscore Zscore (inverted) (inverted) (inverted) 0.3 1.9 0.6 0.5 3.0 1.3 1.3 0.8 1.0 1.2 0.9 1.8 0.6 0.8 1.2 1.0 2.7 0.4 1.2 0.5 0.9 1.0 (0.2) 0.5 1.2 0.1 1.7 0.5 0.5 1.0 1.1 0.6 0.6 0.7 0.8 0.9 1.4 0.3 0.7 0.8 0.8 1.0 0.7 0.9 0.6 0.5 (0.4) 0.7 0.4 1.1 (0.1) 0.9 0.6 (0.2) 1.6 (0.9) 1.8 0.5 0.3 1.0 1.6 1.7 0.7 1.2 0.2 0.5 1.4 0.5 0.2 1.9 (1.3) 0.6 0.9 0.1 1.2 (0.1) (0.4) 0.7 0.2 2.0 1.3 1.4 0.5 1.0 0.5 0.9 1.4 0.2 0.8 1.6 0.9 2.9 0.0 1.2 0.5 1.1 1.9 0.4 1.0 0.5 (0.6) 0.9 0.6 0.1 1.3 0.5 2.0 0.9 0.9 0.5 0.6 0.2 0.5 0.7 1.4 1.1 0.9 0.9 1.0 0.7 (1.6) (1.6) (0.7) (1.2) 2.6 1.7 (1.0) 0.8 0.4 1.0 0.9 3.0 0.6 1.2 1.5 (0.9) 0.0 0.6 0.1 1.4 0.5 1.3 0.5 (0.2) 1.6 0.1 1.1 0.6 0.7 0.7 1.0 0.1 0.1 0.1 1.3

50:50

1.8 1.1 1.0 0.8 0.8 0.8 0.8 0.7 0.7 0.7 0.7 0.7 0.7 1.0 0.7 1.1 0.7 1.2 0.8 0.7 0.7 0.7 1.0 0.9 0.7 0.7 1.3 0.8 0.7 0.7 0.7

Figure 4: Current SHORT picks for the 50:50 model (scores range between -3 and +3)
Ticker (right click to
v iew in BB)

Company Name

MSCI Country

GICS Sector

Market Value USD

Avg Daily Val US$m 6.8 35.2 13.8 122.9 9.3 11.0 7.5 94.8 4.9 2.6 2.3 87.0 50.5 2.3 78.8 18.9 9.8 58.7 12.2 4.3 27.1 1.7 8.8 17.9 26.8 5.0 7.1 27.6 3.3 11.6 5.5

PB Hist

% of 52 week High -38.3% -62.2% -20.2% -41.0% -54.6% -58.0% -54.0% -18.1% -49.7% -30.2% -52.6% -39.8% -25.2% -25.9% -25.8% -12.6% -51.9% -7.8% -2.2% -39.1% -14.4% -2.1% -50.4% -69.6% -57.2% -54.9% -55.3% -14.9% -71.6% -64.9% -15.6%

1 Mth Ret

Size

PB Hist Zscore (inverted) (0.6) 0.1 (3.0) 0.0 1.0 0.9 1.0 0.1 0.7 (0.8) 0.7 0.6 0.4 0.4 0.6 0.7 0.6 (2.8) (2.1) 0.4 0.9 1.2 0.8 1.2 1.1 0.8 0.7 0.3 1.1 0.7 0.9

2020 HK 3800 HK 6808 HK 2628 HK 347 HK 1919 HK 2866 HK 1299 HK 316 HK SIEM IN GMRI IN 066570 KS 000830 KS 000100 KS 005490 KS 032640 KS 011070 KS 047810 KS 001800 KS 011200 KS 015760 KS AC PM NOL SP 3481 TT 2409 TT 2609 TT 6244 TT 2002 TT 3474 TT 5483 TT 4938 TT

Anta Sports Products Ltd. GCL-Poly Energy Holdings Ltd. Sun Art Retail Group Ltd. China Life Insurance Co. Ltd. (China) Angang Steel Co. Ltd. China COSCO Holdings Co. Ltd. China Shipping Container Lines Co. Ltd. AIA Group Ltd. Orient Overseas (International) Ltd. Siemens Ltd. GMR Infrastructure Ltd. LG Electronics Inc. Samsung C&T Corp. Yuhan Corp. POSCO LG Uplus Corp. LG Innotek Co. Ltd. Korea Aerospace Industries Ltd. Orion Corp. Hyundai Merchant Marine Co. Ltd. Korea Electric Power Corp. Ayala Corp. Neptune Orient Lines Ltd. Chimei Innolux Corp. AU Optronics Corp. Yang Ming Marine Transport Corp. Motech Industries Inc. China Steel Corp. Inotera Memories Inc. Sino-American Silicon Products Inc. Pegatron Corp.

China China China China China China China Hong Kong Hong Kong India India Korea Korea Korea Korea Korea Korea Korea Korea Korea Korea Philippines Singapore Taiwan Taiwan Taiwan Taiwan Taiwan Taiwan Taiwan Taiwan

Consumer Discretionary 2,954 Information Technology 4,381 Consumer Staples 12,170 Financials 19,120 Materials 794 Industrials 1,302 Industrials 888 Financials 38,141 Industrials 3,613 Industrials 4,258 Utilities 1,613 Consumer Discretionary 10,647 Industrials 9,503 Health Care 1,231 Materials 29,359 Telecommunication Serv ices 3,158 Information Technology 1,244 Industrials 3,329 Consumer Staples 3,468 Industrials 3,181 Utilities 14,309 Financials 4,234 Industrials 2,378 Information Technology 2,970 Information Technology 3,803 Industrials 1,172 Information Technology 767 Materials 14,405 Information Technology 798 Information Technology 688 Information Technology 2,481

3.3x 2.1x 15.0x 2.2x 0.6x 0.7x 0.6x 2.0x 0.6x 5.9x 1.1x 0.9x 1.2x 1.3x 0.9x 0.8x 1.0x 6.6x 5.4x 1.3x 0.4x 1.7x 0.7x 0.3x 0.4x 0.8x 1.0x 1.5x 0.5x 1.0x 0.8x

6.5% -6.9% -9.6% -7.0% 9.0% 10.8% 13.2% 2.7% 17.4% -8.2% 6.1% -2.2% -1.3% -1.5% -2.6% 1.2% -0.7% -1.3% 14.3% 1.2% 4.2% 13.2% 9.2% -6.4% -11.2% 8.5% 5.0% 0.2% 30.6% 14.7% 12.7%

2,953.8 4,381.5 12,170.0 19,119.9 793.9 1,302.2 888.5 38,140.7 3,613.1 4,258.2 1,612.9 10,647.2 9,502.7 1,230.8 29,359.0 3,158.3 1,243.8 3,328.9 3,467.7 3,181.1 14,309.3 4,234.0 2,377.6 2,969.5 3,802.9 1,172.5 766.8 14,404.9 798.4 687.6 2,480.5

% of 52 week 1 Mth Ret Size Avg MFR Q-Score High Zscore Zscore Zscore Zscore Zscore (inverted) (inverted) (inverted) 0.1 (1.4) 0.3 (0.4) (1.1) 1.6 0.4 0.1 0.5 (2.1) (1.0) 0.8 (1.2) (1.1) (0.7) 0.3 0.4 (2.3) (0.4) (1.5) 1.1 (1.8) 0.7 0.3 (2.9) 1.3 (2.0) 0.6 0.2 (3.0) 1.1 (2.3) 0.7 0.1 (3.0) (0.8) (0.5) (2.7) (1.0) (0.7) 1.6 (3.0) 0.9 0.0 (2.5) (0.1) (0.1) 0.5 (0.1) (1.5) 1.2 (1.9) 0.7 0.2 (2.9) 0.6 (0.2) (0.9) 0.0 (1.7) (0.4) (0.4) (0.7) (0.2) (1.4) (0.3) (0.3) 0.9 0.2 (2.0) (0.3) (0.2) (3.0) (0.7) (1.1) (1.2) (0.7) 0.5 (0.2) (1.8) 1.3 (0.5) 0.9 0.6 (2.6) (1.5) (0.4) 0.5 (1.1) (1.0) (1.9) (2.7) 0.5 (1.5) (0.6) 0.5 (0.7) 0.5 0.2 (2.7) (1.1) (1.2) (1.6) (0.7) (2.5) (0.9) (1.1) 0.2 (0.2) (1.9) 1.4 (2.2) 0.8 0.2 (3.0) 2.4 0.8 0.2 1.2 (2.7) 1.6 1.5 (0.0) 1.1 (2.6) 1.4 (1.4) 0.6 0.4 (2.1) 1.5 (0.9) 0.7 0.5 (2.2) (1.3) (0.1) (2.6) (0.9) (1.3) 2.6 (3.0) 0.7 0.4 (2.8) 2.1 (2.3) 0.7 0.3 (2.9) (1.2) (2.0) 0.3 (0.5) (2.1)

50:50

(0.8) (0.8) (0.9) (0.9) (1.3) (1.4) (1.5) (0.8) (1.2) (0.8) (1.4) (0.8) (0.8) (0.9) (0.9) (1.0) (1.0) (1.0) (1.1) (1.2) (1.6) (1.0) (1.4) (0.8) (0.8) (0.8) (0.9) (1.1) (1.2) (1.3) (1.3)

Source: Bloomberg, Reuters Thomson, MSCI, J.P. Morgan

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Robert Smith (852) 2800 8569 robert.z.smith@jpmorgan.com

Asia Pacific Equity Research 04 January 2012

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Asia Pacific Equity Research 04 January 2012

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6

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Asia Pacific Equity Research 04 January 2012

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