What Worked Australia - 03 Feb 2017 - Short term reversal, Beta hit

What Worked – This week saw most of the values signals flat and without direction, bringing the average performance for value metrics over the first month of 2017 to slightly down, but not much off flat. While momentum has had a reasonable run for the start of the year, this week saw a reversal in the shorter-term momentum metrics, while long term (12 Month) momentum continued to run, producing a compound return spread over the last month of +4.6%, compared to the benchmark return of -1.9%. Names up strongly last week that reverted this week included Sandfire Resources (SFR, -2.5%), Orocobre Limited (ORE, -13.6%) and Altium (ALU, -2.0%). This was a little one sided though, with names down last week also not faring well this week. This contrasted with the long-term momentum names who continued their run this week. Amongst these were Resolute Mining (RSG, +8.4%), Fortescue Metals (FMG, +2.0%) and Downer EDI (DOW, +9.4%).

Size also performed well this week, although it was driven by an underperformance in the small cap space rather than larger end of the benchmark doing anything special. OFX Group (OFX, -23.3%), Virtus Health (VRT, -16.7%) and Aconex (ACX, -48.3%) all down heavily this week. Beta also saw a selloff this week, but not really being driven by the small cap space. Some big, high beta names also took a hit this week, amongst them were Santos Limited (STO, -2.9%), Whitehaven Coal (WHC, -2.4%) and Origin Energy (ORG, -2.5%). On the other side of that trade though, low beta names produced more positive returns than negative this week.

Who Moved – 14 names from the benchmark moved on volume this week, and only one of those managed to end the week higher. Woolworths Limited (WOW, +0.5%) was the only name that inched higher on significantly higher than normal volumes, while the other side of the market was somewhat more brutal. Aconex (ACX, -48.3%), Virtus Health (VRT, -16.7%), Orocobre Limited (ORE, -13.6%) and Ansell Limited (ANN, -9.9%) all lost big this week, and all backed by very high volumes.

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Summary

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What Worked Asia - 27 Jan 2017 - Large cap and high Beta the only factors to stand out this week

What Worked – With the Chinese New Year starting up, none of the Value or Growth factors worked in China / HK. However in both regions, there was a slight move into high Beta names. In Hong Kong, Ground International Development was up 18% and MMG was up 17%. In South Korea none of the Value or Quality factors stood out as well this week. Value, particularly PE, worked in Taiwan. Yageo Corp was up 15% and Elite Material was up 10%.

In Singapore, large-cap names did well this week. Large cap names that outperformed were Dairy Farm International up 11% and Japfa up 9%. High Beta name did very well in India this week. Adani Enterprises was up 17% and Bharat Financial Inclusion was up 12%. In Malaysia, Value and high Beta names did well at the expense of Growth names. UMW Holdings was up 13% and Eco World Development was up 10%.

Who Moved – 122 names moved on volume this week. The volume spikes look to be evenly distributed across Sectors and Regions. On the positive side, United Co RUSAL was up 31%, Trent Limited was up 18% and Aluminum Corporation of China Limited was up 18%. On the other side, Cosmo Lady (China) Holdings was down 16%, Dong-A-Socio Holdings was down 13% and TPI Polene Public was down  12%.

Summary

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What Worked Japan - 27 Jan 2017 - With the Start of Earnings, Value and Growth factors flat

What Worked – With the start of 3Q Earnings Season this week it was all about price momentum. Names up over the last month continued to go up. Hitachi Chemical (4217) was up 8%, Fujikura (5803) was up 7% and Showa Denko (4004) was up 7% this week. None of the Value or Growth factors stood out this week, which is not uncommon for Earning Season.

There was actually a slight move away from names with a high percent of retail investors and a move into names with a high percent of foreign investors. Name that benefited from the move were SMC Corp (6273) up 13%, DMG Mori (6141) up 8% and Alps Electric (6770) up 8%.

Who Moved – Only 12 names moved on volume this week. On the positive side, Fujikura (5803) was up 7%, Nippon Light Metal (5703) was up 7% and Tokuyama (4043) was up 6%. On the other side, Shochiku (9601) was down 5%, Sekisui House (1928) was down 3% and Otsuka Holdings (4578) was down 3%.

Summary

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What Worked Australia - 27 Jan 2017 - A good week for Value AND Momentum investors

What Worked – This was one of those rare weeks in which both Vale and Momentum metrics all worked. Forward-looking PER managed to post its largest week since October last year. The more expensive side of the market saw a relatively big selloff, returning all market relative gains made from the start of the year, while the cheaper names continued their outperformance that has been consistent since the beginning of December 2016. Expensive names that underperformed the index this week included Transurban Group (TCL, -1.5%), Domino’s Pizza (DMP, -6.4%) and Technology One (TNE, -1.3%), while the other end of the PER scale provided winners in the form of Genworth Mortgage (GMA, +1.6%), Fortescue Metals (FMG, +7.2%) and Sandfire Resources (SFR, +9.4%).

 Momentum in all its forms, both Price and Earnings Forecast, and over all time frames, produced strongly positive results for the week. The standout performer was 12 Month momentum, with names that have been battered over the last 12 months coming off further, including Bellamy’s Australia (BAL, -5.0%), Sirtex Medical (SRX, -6.2%) and Mantra Group (MTR, -2.4%). Names up over the last 12 months continued to provide positive returns this week, and it was largely the resources and related industries space that filled this group. Mineral Resources (MIN, +6.4%), South32 Limited (S32, +7.1%) and Bluescope Steel (BSL, +4.5%) all provided returns well above the index this week.

Who Moved – Not a particularly strong week for volumes, with only 4 names from the index posting significantly higher than average volumes, and worse still when considering that the bulk of the last 65 trading days were filled with the lead up to the holidays and the end of year holidays themselves, a traditionally very weak volume period. All 4 names posted negative returns this week - Brambles Limited (BXB, -13.5%), Mantra Group (MTR, -2.4%) and Western Areas Limited (WSA, -1.2%) and CSL Limited (CSL, -2.0%).

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Summary

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What Worked Australia - 23 Dec 2016 - Size the flavour for the end of the year

What Worked – Size came in with a strong IC this week, largely driven by a sell-off in the smaller end of the market rather than a buy into the larger cap names. OFX Group (OFX, -5.7%), Virtus Health (VRT, -1.5%) and Japara Health (JHC, -4.8%) all taking a hit this week, while their larger brethren largely stayed inline with the market.

The end of year momentum sell-off slowed this week, with the mid-term momentum signals still felling the sting, but the longer term stabilizing. In the 3-month momentum quintiles, there was a sell-off in the worst performing names, but the IC was largely driven by a reversal in the best performers over the last 3 months. Among the best performers over the last 3 months that took a hit this week were Galaxy Resources (GXY, -3.9%), SIMS Metal Management (SGM, -3.3%) and Origin Energy (ORG, -1.5%).

Who Moved – 12 names managed to move on very strong volumes this week. Finishing the week in the black included Mayne Pharma (MYX, +6.2%), Independence Group (IGO, +3.5%) and Iron Mountain (INM, +3.4%), while Sydney Airport (SYD, -6.4%), Flexigroup Limited (FXL, -5.6%) and Seven West Media (SWM, -1.8%) all finished up lower.

Summary

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What Worked Japan - 22 Dec 2016 - Value and Beta were hurt again this week as Quality names benefited

What Worked – Value, particularly PBR, did not do well for the second week in a row. Low PBR names that were hurt were Tokyo Electric Power (9501) down 7%, Kobe Steel (5406) down 6% and Isetan Mitsukoshi Holdings (3099) down 6%. On the positive side, last week’s rotation into growth and quality names continued this week.

Low Debt to Equity names that did well were KONAMI (9766) up 9%, Capcom (9697) up 7% and NEXON (3659) up 6%. Growth names that did well were Kakaku.com (2371) up 4% and Shionogi (4507) up 4%. As with Value, high Beta names did not do well for the second week in a row. Nintendo (7974) was down 11%, Olympus (7733) was down 10% and TADANO (6395) was down 6%. There was also a slight selloff in names with a high percent in Institutional Investors.

Who Moved – 51 names moved on volume this week.  The moves were spread pretty much evenly across the different sectors. On the positive side, Dentsu was up 14%, Taiyo Yuden was up 14% and Kagome (2811) was up 11%, all on strong volume. On the other side, SMC (6273) was down 10%, ACOM (8572) was down 9% and Komatsu (6301) was down 5%.

Summary

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What Worked Asia - 16 Dec 2016 - Size and Beta were hurt across the region

What Worked – China saw a good sell off in Size and high Beta names and a slight move into Quality. China Modern Dairy and China Vanke are both down 10% this week. In Hong Kong there was also a slight selloff in high Beta names. China Innovative Finance is down 14% and Geely Automobile Holdings is down 12%. India also saw a slight selloff in Size and Beta names. Edelweiss Financial Services is down 12% and Indiabulls Housing Finance is down 9%.

As with Japan, South Korea had a good selloff in Value and Large-cap names. Low PBR names that were hurt this week in South Korea were POSCO down 5% and Young Poong Corp down 4%. In Taiwan, low PBR names did well and large-cap names were hurt. Waisin Lihwa Corp was down 4% and Evergreen Marine was down 3%. Value did very well this week in Indonesia, particularly low PE names. Bank Tabungan Pensiunan Nasional is up 6% and Indo Tambangraya Megah is up 6%.

Who Moved 128 names moved on volume this week. A good number of the names were in Taiwan, Hong Kong and China. At the sector level, volume dominated in the Financial Sector. On the positive side, CIMB Thai Bank was up 64%, Great New Wave Coming was up 44% and Da Ming International Holdings was up 26%. All on strong volume. On the other side, Golden Energy & Resources was down 36%, Kong Sun Holdings was down 21% and Sheng Siong Group was down 8%.

Summary

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What Worked Japan - 16 Dec 2016 - Beta and Value took a hit after almost 3 months of strong performance

What Worked – As you know all good things come to an end and after a strong 3-month run, Value stopped working this week. Value, particularly low PBR names did not do well this week. The last time PBR did not work was in the last week of September. Low PBR names that underperformed were Sumitomo Metal Mining (5713) down 6% and Nippon Yusen Kabushiki Kaisha (9101) down 4%. However, high Beta names did a lot worse than Value this week.

High Beta names have not done this poorly since the beginning of September.  High Beta names that underperformed were Nintendo (7974) down 10%, Aiful (8515) down 6% and IHI Corp (7013) down 6%. Names up over the last month were also hurt this week. 1-month momentum names that were down were Itochu Corp (8001) down 4% and DIC (4631) down 4%. Quality was the only factor to stand out this week. High ROIC name did the best. Dentsu (4324) was up 14% and Taiyo Yuden (6976) was up also up 14%.

Who Moved – 51 names moved on volume this week.  The moves were spread pretty much evenly across the different sectors. On the positive side, Dentsu was up 14%, Taiyo Yuden was up 14% and Kagome (2811) was up 11%, all on strong volume. On the other side, SMC (6273) was down 10%, ACOM (8572) was down 9% and Komatsu (6301) was down 5%.

Summary

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What Worked Australia - 16 Dec 2016 - Profit taking into the end of the year

What Worked – Certainly not momentum this week. While last week saw a string selloff in momentum, in particular 12 month momentum, as profit taking into the end of the calendar year continues. While there was a slight uptick in the laggard names for the year, the real movements were in names that were up for the year. The metals and mining sector took a lot of the punches this week, with names like Resolute Mining (RSG, -13.3%), South32 Ltd (S32, +6.5%) and Orocobre (ORE, -9.8%) amongst the worst affected. It was not limited to that sector, and a2 Milk (A2M, -14.1%), Infinigen Energy (IFN, -3.5%) and Seven Group Holdings (SVW, -4.9%) also down this week.

Dividend Yield posted good results this week, largely on the back of the momentum sell-off.  Cromwell Property Group (CMW, +2.1%), Seven West Media (SWM, +6.1%) and Growthpoint Properties (GOZ, +3.2%) all posting positive returns for the week yet remaining amongst the highest yielding names in the index.

Who Moved – 24 names managed to move on higher than normal volumes this week, finishing up the year on a positive note volume wise. Seven West Media (SWM, +6.1%), Asaleo Care Limited (AHY, +4.5%) and AusNet Services (AST, +3.8%) all finishing the week higher on strong volume, while SKY Network Television (SKT, -15.3%), Santos Limited (STO, -8.4%) and Iron Mountain (INM, -7.9%) all finished the week lower

Summary

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What Worked Asia - 02 Dec 2016 - Slight Selloff in momentum names in HK / China

What Worked –Names up over the last year in Hong Kong and China were down this week. In China, Sunny Optical Technology was down 8% and Yanzhou Coal Mining was down 8%. In Hong Kong, Crown International was down 11% and China High Speed Transmission Equipment Group was down 12%. In Taiwan low PBR names and to a lesser degree low PE names did well with week. Low PBR names that outperformed were China Petrochemical Development up 9% and China Motor up 7%.

In Singapore there was a slight move into Size and high Beta names. Large-cap names that did well were Keppel Corp up 10% and Fortune Real Estate up 6%. In India, names down over the last month are up this week. JM Financial is up 10% and Eicher Motors is up 14%. In Malaysia names with positive EPS momentum did well this week and in the Philippines low PBR names and high Sales Growth names did well this week. In South Korea there was a slight move into value and positive revision names.

Who Moved – 212 names moved on volume this week. A good portion of the volume spikes came in the Finance Sector. At the country level, more than half of the spikes came in Hong Kong, China and Taiwan. On the positive side, Huarong International Financial Holdings is up 42%, Balkrishna Industries is up 35% and Adani Power Limited is up 20%. On the other side, Glorious Property Holding is down 33%, CT Environmental Group is down 23% and China Innovative Finance is down 23%.

Summary

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