What Worked Australia - 21 Apr 2017 - Two shortened weeks, Value hurt in both

What Worked

At the end of two shortened weeks in the Aussie market, Value, and growth for that matter, have lost out two in a row. Cheap names on a forward PER basis have been sold off in droves over the last two weeks, while the more expensive end of the market has remained relatively flat to the benchmark. Metals and Mining names where made up a good portion of the value names sold off, among them Resolute Mining (RSG, -9.4%), Whitehaven Coal (WHC, -4.5%) and Saracen Mineral Holdings (SAR, -11.8%) where among the worst affected, and continue to look cheaper on a forward PER basis. These names are also among the biggest growth names in the market, but at the same time are seeing some of the biggest downgrades from the sell-side.

On a positive note, Dividend Yield is showing some promise. This week saw names with bottom of the market dividend yields dropping over -2% compared to the market by mid-Friday, although ended almost flat for the week. In the meantime, higher yielding names were flat up until the middle of today, and closed much higher as a group in the end. Names hurt in particular included Infigen Energy (IFN, -3.6%), Syrah Resources (SYR, -2.4%) and Oil Search Limited (OSH, -3.8%).

Who Moved

As might be expected, volumes are a little off given the much shorter weeks. Only one name managed to move on volume this week, namely TPG Telecom (TPM, -9.4%). On the other side, there were 30 names that made significant moves on very light volumes. GWA Group (GWA, +2.7%), SIMS Metal management (SGM, +2.5%) and Carsales (CAR, +2.1%) all ended up strong for the week on very weak volumes, while Woodside Petroleum (WPL, -3.2%), Sigma Pharmaceutical (SIP, -2.0%) and Westfield (WFD, -1.9%) all finished weaker on very poor volume.

Summary

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What Worked Japan - 21 Apr 2017 - Move into High Beta names and slight move away from Large cap

What Worked

With Earnings Season starting next week, there was not a lot that stood out. As with most pre-earning weeks, most of the factors were insignificant. However, there was a move into high Beta names and a slight move away from large-caps.

High Beta names that did well this week were Aiful Corp (8515) up 8%, NOK (7240) up 7% and DeNA (2432) up 7%. Large-cap names that were down this week were Idemitsu Kosan (5019) down 5%, Fujifilm (4901) down 4% and CyberAgent (4751) down 3%. 

Who Moved

Only 15 names moved on volume this week. On the positive side, Kyowa Hakko Kirin (4151) is up 13%, Aiful (8515) is up 8% and Toho (9602) is up 6%. On the other side, Maruha Nichiro (1333) is down 6%, AEON (8905) is down 3% and Japan Post Holdings (6178) is down 1%. 

Summary

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What Worked Asia - 07 Apr 2017 - Value worked in Singapore but was hurt in South Korea

What Worked

Nothing really stood out in China and there was just a slight move into low PBR names in Hong Kong. South China Holdings is up 11%. In Singapore, there was a move into Value names and names with positive EPS revisions. Value names that did well in Singapore were China Aviation Oil up 8% and Yanlord Land Group is up 6%. In South Korea there was selloff in Value and Large-cap names and a move into Growth. Growth names that outperformed were CJ CGV up 10% and Interflex up 9%.

In India, high ROE / ROIC names did not do well and there was a slight rotation into Beta. High ROE names that underperformed were SpiceJet down 7% and United Spirits down 7%. In the Philippines, large-cap names did well this week. Megaworld is up 17% and Metro pacific Investments is up 9%.

Who Moved

122 names moved on volume this week. On the positive side, BBMG Corp is up 42%, Indah Kiat Pulp & Paper is up 26% and Maoye International is up 23%. On the other side, AhnLab is down 11%, Ennoconn is down 9% and CT Environmental Group is down 9%.

Summary

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What Worked Japan - 07 Apr 2017 - Beta hurt hard again after being destroyed two weeks ago

What Worked

High Beta names took another huge hit this week, almost as bad as two weeks ago. However, this week Value was hurt more than it was two weeks ago. High Beta names that were hurt were Toshiba (6502) down 10%, Mitsui Mining and Smelting (5706) down 7% and Taiyo Yuden down 7%. Low PBR names that went down this week were Tokai Rika (6995) down 7%, Dai-Ichi Life (8750) down 7% and Resona Holdings (8308) down 6%.

On the other side, Growth names did well this week and have continued to do well since the beginning of February. However this is the best week for growth names since the rally started. Seven & I Holdings (3382) is up 6%, Shimamura (8227) is up 5% and Ezaki Gilco (2206) is up 6%.

Who Moved

80 names moved on volume this week. This is compared to an average 22 names moving on volume weekly in March.  Volume spikes look to be spread relatively evenly across sectors. On the positive side, Sohgo Securities Services (2331) is up 11%, Nitori Holdings (9843) is up 7% and Shimamura (8227) is up 5%. On the other side, Kewpie Corp (2809) is down 9%, Hitachi Metals (5486) is down 6% and NSK (6471) is down 6%.

Summary

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What Worked Australia - 04 Apr 2017 - Some short term reversal, and Low Div names rebound

What Worked

This week was all about a reversal in short term gains (and losses), as one week and one month momentum signals saw highly negative numbers. Names like Galaxy Resources (GXY, +4.4%), Bellamy’s Australia (BAL, +4.8%) and OZ Minerals (OZL, +7.8%) where among the lowest performing names last week that rebounded very strongly this week, while the other end of the market saw the better performing names from last week come off. This group saw Aconex (ACX, -1.5%), Mantra Group (MTR, -0.3%) and Seven West Media (SWM, -7.6%) all trim back gains made over the last week, and indeed the last month.

Dividend Yield as a signal was also hurt this week, but not due to a sell-off in the higher yielding names, but rather some buying into the lower yielding names. Among these were Orocobre (ORE, +4.7%), Infinigen Energy (IFN, +4.1%) and Nanosonics (NAN, +1.3%) all posting higher, and among the lowest yield names in the market.

Who Moved

Volumes backed off yet again this week, with only 5 names moving on higher than normal volumes. On the positive side, Whitehaven Coal (WHC, +11.0%), Spark New Zealand (SPK, +5.3%) and Fairfax Media (FXJ, +3.4%) all finishing up, while the only name down on volume was Fletcher Building Limited (FBU, -1.3%).

Summary

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What Worked Australia - 31 Mar 2017 - Value and Beta works, while Momentum down yet again

What Worked

Value, namely Trailing PER and Dividend Yield, swung back into positive territory this week, although not with quite the same ferocity of the back and forth swings of the last month. The move in value was in large part driven by the more expensive names in the market coming off, although the cheaper names also managed to just outperform the benchmark. Names with bottom of the market forward dividend yields that came off this week included Galaxy Resources (GXY, -10.0%), Bellamy’s Australia (BAL, -9.1%) and Resolute Mining (RSG, -3.7%). The other side of this trade, the names in the market with higher forecast Dividend Yields, saw names such as Genworth Mortgage Insurance (GMA, +7.1%), Alumina Limited (AWC, +1.4%) and Seven West Media (SWM, +9.7%) all seeing good returns for the week.

While 12-month momentum was off yet again, this was in large part driven by a sell-off in the better performing names over the last 12 months, while the underperformers got a bit of a reprieve and came through largely in line with the market. OZ Minerals (OZL, -5.0%), Australian Agricultural Company (AAC, -0.3%) and Viva Energy REIT (VVR, -1.2%) were among those best performers over the last 12 months most impacted.

Who Moved

Names moving on significantly higher than normal volumes dropped this week, with only 14 names from the benchmark generating higher than normal volumes. On the positive side, Myer Holdings (MYR, +14.8%), Brickworks (BKW, +3.8%) and Bank Of Queensland (BOQ, +5.7%) all outperformed this week back by volume, while G8 Education (GEM, -2.2%), Trade Me Group (TME, -1.3%) and Nufarm Limited (NUF, -0.7%) all; finished the week lower and well off the benchmark.

Summary

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What Worked Australia - 24 Mar 2017 - Beta and all momentum hurt

What Worked

This week saw a swing away from Beta and low Quality names, and a move away from Momentum, both price and earnings revisions. In terms of “What Worked”, well, nothing did. Not a single factor managed to post a Rank IC above our working threshold of 10%. While Value signals were also off, this was largely due to the reversal in momentum, with more expensive names becoming more expensive, while the cheaper end of the market remained relatively flat. While the higher beta names stayed in line with the benchmark, it was the low beta names that really rocketed this week. Among these were ResMed (RMD, +1.3%), Viva Energy REIT (VVR, +2.5%) and Growthpoint Properties (GOZ, +2.5%).

Lower Quality names, measured by higher Debt-To-Equity, came off this week. Names hurt included Navitas Limited (NVT, -0.7%), Telstra (TLS, -3.5%) and James Hardie Industries (JHX, -0.1%). In terms of Sectors, Finance names took a beating this week, with most of the banks down compared to last week.

Who Moved

22 names managed to move on volume this week, and the spikes were distributed across the sectors. On the negative side of things, Fletcher Building (FBN, -11.5%), Evolution Mining (EVN, -8.9%) and Harvey Norman (HVN, -7.9%) were amongst the hardest hit, while Spotless Group (SPO, +46.6%), Blackmores Limited (BKL, +19.4%) and SKY Network Television (SKT, +7.8%) rounded off this week's winners end up on significant volume.

Summary

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What Worked Asia - 17 Mar 2017 - Good move into high Beta and Large-cap names

What Worked

In China there was a move into high Beta names. Meitu, Inc was up 42% and Future Land Development Holdings was up 20%. In Hong Kong we also saw a move into high Beta names as well as high ROE names. Two high Beta names in Hong Kong that did well were China Overseas Grand Oceans Group is up 11% and IGG, Inc was up 19%.

In South Korea we saw a move into large-cap names and a move into high Beta names. Hyundai Mipo Dockyard was up 9% and S-Oil Corp was up 11%. Large-cap names also did well in Singapore this week. Jardine Cycle & Carriage was up 5% and City Developments was up 5%. Large cap names in Malaysia and Indonesia did well this week. Bursa Malaysia was up 5% and UMW Holdings were up 6%.

Who Moved

265 names moved on volume this week. A good portion of the volume spikes came in the Financial Sector. On the positive side, Hong Kong International Construction is up 17%, Meitu Inc is up 42% and O-Net Technologies is up 25%. On the other side, Group Lease Public is down 29%, Plaza Indonesia Realty is down 8% and Coal India is down 7%.

Summary

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What Worked Japan - 17 Mar 2017 - Low PBR and High Beta names were hurt this week

What Worked

Pretty good selloff in high Beta names and names with low PBR this week. Value, particularly PBR, has not done well since the second week of February. The same can be said for high Beta names. This week high Beta names that were hurt were Toshiba (6502) down 9%, Concordia Financial Group (7186) down 7% and T&D Holdings (8795) down 5%. Low PBR names that did not do well this week were Nisshin Steel (5413) down 9%, Hiroshima Bank (8379) down 5% and Fukuoka Financial (8354) down 5%.

On the other side, there was a rotation into high ROE  and OP Growth names. High ROE names that did well this week were Temp Holdings (2181) up 4%, Sohgo Security Services (2331) up 4% and Nichirei Corp (2871) up also up 4%. High ROE and growth names have down well over the last month

Who Moved

Only 14 names moved on volume this week. On the positive side, Mitsubishi Heavy Industries is up 9%, ITO EN (2593) is up 4% and Yamaha Corp (7951) is up 3%. On the other side, Kyushu Electric Power (9508) is down 6%, Nitto Denko (6988) is down 4% and Maruichi Steel Tube (5463) is down 4%.

Summary

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What Worked Australia - 17 Mar 2017 - 12M Momentum continues its see-saw

What Worked

12 Month momentum bounced back this week, continuing its near 2 month run of on-then-off again. The big difference this week – the better performing names managed to beat the benchmark, and value ran right along with it. Higher performing names that shone this week included Fortescue Metals (FMG, +11.8%), Resolute Mining (RSG, +17.1%) and Galaxy Resources (GXY, +10.0%). The other side of that trade however did not fare so well. Bellamy’s Australia (BAL, -3.5%), iSentia Group (ISD, -3.9%) and Estia Health (EHE, -3.5%) top out the list of the worst performers over the last 12 months, and this week just saw them digging that hole a little deeper.

Forward PER has over the last two weeks taken a battering, and on a quintile return basis the least expensive names had dropped -4.2% against the benchmark index. This week saw a big correction in this signal, with the cheapest names on a Forward PER coming back producing just over +3.1% of outperformance this week. This was largely the driver behind the terrible numbers in the short term momentum and technical signals, all showing a sharp reversal. Cheap names that bounced back this week included Seven West Media (SWM, +0.7%), St. Barbara (SBM, +15.4%) and Nine Entertainment (NEC, +3.3%).

Who Moved

Volumes continue to look better, with 27 names this week moving on higher than normal volumes. To the downside, Ramsay Health (RHC, -6.0%), Myer Holdings (MYR, -5.3%) and SKY Network Television (SKT, -5.0%) all off backed by significantly higher than normal volumes, while Evolution Mining (EVN, +12.6%), Mineral Resources (MIN, +5.6%) and Fairfax Media (FXJ, +5.2%) all finished the week higher on string volume.

Summary

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