What Worked Japan - 21 Oct 2016 - Value and High Beta names down over the last year bounced this week

What Worked – Huge reversal in names that were down over the last 12 months. Mitsui Fudosan (8801) is up 12%, Sumitomo Real Estate (8830) is up 10% and Tokyo Tatemono (8804) is up 10%. The reversal was mainly driven by Value and Beta. Since the beginning of July, the quintile with the lowest PBR names is up approx. 13%. Low PBR names up this week were Japan Display (6740) up 20%, Mitsubishi Motors (7211) up 16% and Nomura Real Estate (3231) up 11%.

This week there was a slight selloff in large-cap names and names with a high % of Retail investors. Large-cap names have not done well since the beginning of August. Shochiku (9601) is down 6%, Toda Corp (1860) is down 4% and Rakuten (4755) is down 4% this week. After outperforming on average since September, Growth names did not do well this week. High OP growth names down were M3 (2413) down 6% and ONO Pharma (4528) down 4%.

Who Moved – Only 7 names moved on volume this week. On the positive side, TADANO (6395) is up 12%, Japan Petroleum (1662) is up 4% and JGC (1963) is up 1%. On the other side, Kamigumi (9364) is down 5%, Seven & I Holdings (3382) is down 3% and Nippon Yusen Kabushiki Kaisha is down 1%.

Summary

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What Worked Australia - 21 Oct 2016 - Book rules as profitability sold

What Worked – PBR continued to produce solid numbers this week, but once again driven by a sell-off in the more expensive names by these measures in the market. That being said, the cheaper names on a PBR basis have produced excess returns consistently since June. Periods of value working like this have been historically followed by a large sell-off soon after. Expensive names on a PBR basis that were hurt this week included Amcor Limited (AMC, -4.9%), Dominos Pizza (DMP, -2.8%) and Iron Mountain Inc (INM, -4.0%) while some of the cheaper names saw positive returns like Origin Energy (ORG, +2.2%), Genworth Mortgage (GMA, +3.3%) and Santos Limited (STO, +3.0%).

Dividend Yield suffered this week also, with higher yielding names seeing a continued sell-off including Nine Entertainment Holdings (NEC, -4.8%), Seven West Media (SWM, -3.3%) and Cromwell Property Group (CMW, -2.7%). On the other side, lower yielding names bounced including Infigen Energy (IFN, +22.9%), NextDC (NXT, +9.6%) and Galaxy Resources (GXY, +4.5%) leading the charge.

Who Moved – 9 names from the 200 strong index managed to move this week on significantly higher than normal volumes. Finishing the week down included Crown Resorts (CWN, -17.0%), Start Entertainment (SGR, -9.4%) and Fisher & Paykel Healthcare (FPH, -4.2%), while Tatts Group (TTS, +14.6%), Credit Corp Group (CCP, +5.5%) and Tabcorp Holdings (TAH, +2.0%) all finished the week well above the index.

Summary

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What Worked Asia - 14 Oct 2016 - Sell off in Beta in HK/China with move into Value in Singapore/South Korea

What Worked – Good sell off in high Beta names and names that were up over the last 3 months in China. Leyou Technologies Holdings is down 5% and China Jicheng Holdings is down 8%. Hong Kong also saw the same sell off in 3-month momentum but low PE names were also hurt this week in Hong Kong. Lee & Man Paper were down 9% and Skyworth Digital Holdings were down 8%.

In South Korea, value, particularly PBR,  did well this week. Hanwha Chemical is up 10% and E-Mart is up 8%. In Singapore, there was a selloff in high Beta names and a move into high Dividend Yield names. Noble Group is down 4% and Silverlake Axis is down 4%. Beta and low PBR names were hurt India. Bank of Baroda was down 6% and DLF Limited was down 4%. Size and Value outperformed in Taiwan this week. USI Corp was up 5% and China Motors was up 1%. Value, particularly high Div Yield names, did well in the Philippines this week. Premium Leisure was up 2% and Globe Telecom was up 1%.

Who Moved – 115 names moved on volume this week in Asia and almost a third of those names came in Thailand. No one specific Sector stood out. On the positive side, Chaoyue Group is up 28%, Nan Hai Corp is up 27% and Huchems Fine Chemical is up 20%. On the other side, Jammu & Kashmir is down 20%, Intermedia Capital is down 17% and Regina Miracle international is down 11%.

Summary

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What Worked Japan - 14 Oct 2016 - After last week's strong moves, Value and Beta did not do well

What Worked – After the strong positive moves in high Beta and low Value names last week, high Beta names were hurt this week. Value names were also hurt but not as much as high Beta names. High Beta names that did not do well this week were Kobe Steel (5406) down 8%, JFE Holdings (5411) down 7% and Dowa Holdings (5714) down 7%.

Looking at Retail Investors, after an unusual week of underperformance, names with a high percent of Retail Investors bounced back. Names that did well were TADANO (6395) up 12% and Toshiba (6502) up 7%. There was also a slight move into growth and high ROE names. High ROE names that did well were Zenkoku Hosho (7164) up 7%, Lion (4912) up 6% and FAST RETAILING (9983) up 4%. High OP growth names that were also did well were COSMOS Pharma up 6% and M3 Inc (2413) up 4%.

Who Moved – Only 7 names moved on volume this week. On the positive side, TADANO (6395) is up 12%, Japan Petroleum (1662) is up 4% and JGC (1963) is up 1%. On the other side, Kamigumi (9364) is down 5%, Seven & I Holdings (3382) is down 3% and Nippon Yusen Kabushiki Kaisha is down 1%.

Summary

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What Worked Australia - 14 Oct 2016 - Big move out of expensive names and Growth names down

What Worked – For the first time this year Value signals have produced an IC of greater than 25%, a big number in terms of weekly results. This was not however the market buying cheap names, but rather a large sell-off in the more expensive names. Value itself has been working as an overall signal for the last few weeks, but while the cheaper names have continued upwards rather steadily, the more expensive names have been hurt. Since the beginning of August, more expensive names on an FY1 PER basis have underperformed the market by almost -2.5%, and off -3.8% from the mid-August peak. Names that are expensive on a forward PER basis that did poorly this week included Aconex (ACX, -4.6%), Nextdx Limited (-7.6%) and Technology One Limited (TNE, -5.4%). Technology Services as a sector saw no names posting a positive result this week.

Growth was negatively impacted this week also, although a more even distribution – the low growth names did well, while the high growth names were sold off. Syrah Resources (SYR, +5.4%), Goodman Group (GMG, +1.1%) and Westfield Corp (WFD, +1.6%) amongst the low growth names that outperformed the index this week, while Galaxy Resources (GXY, -9.0%), Orocobre Limited (ORE, -3.3%) and Bellamy’s Australia (BAL, -4.6%) where all sold off while being amongst the highest growth names in the index.

Who Moved – Not a big week for volume this week, with 7 names from the 200 moving on higher than normal volumes. Those that underperformed this week included OFX Group (OFX, -10.7%), Bank of Queensland (BOQ, -0.8%) and Tabcorp Holdings (TAH, -0.8%), while BT Investment Management (BTT, +10.6%), Sigma Pharma (SIP, +1.0%) and Telstra (TLS, +1.0%) all finished the week higher.

Summary

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Names where Consensus is moving away from Guidance

With 1H Earnings Season right around the corner, we screened for names where consensus moved away from Company guidance in the last 2 months. We screened for names where consensus EPS is down more than 10% in the last 2 months, however guidance is 10% above consensus. For example, Nintendo’s (7974) guidance is 31% above consensus. However, consensus has fallen 17% in the last two months. Other names where consensus is going down and increasing the gap between guidance are FamilyMart (8028), Toppan Printing (7911) and Idemitsu Kosan (5019). The gap between guidance and consensus for FamilyMart is huge Consensus EPS is negative ¥6.3, however guidance is still at ¥232.

On the other side, names where consensus going up and increases the gap between guidance and consensus are Mitsubishi Corp (8058), Toshiba (6502) and Toho Gas (9533). Consensus EPS for Toshiba is up 33% in the last 2 months and now guidance is 29% below consensus. For McDonalds Holding (2702) consensus EPS is ¥18 and up 15% over the last 2 months. However, company guidance is still sitting at ¥8.

Here are the results of the two screens.

EPS Consensus moving up and away from Guidance

EPS Consensus moving down and away from Guidance

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What Worked Japan - 07 Oct 2016 - Value and Beta bounced up hard at the expense of Growth names

What Worked – Beta and Value bounced up hard this week and names with a high percent of Retail Investors and Growth names were hurt. Beta broke a 1-month losing streak and came in strong with a 45% IC. High Beta names that did well were SUMCO (3436) up 14%, Hitachi (6501) up 12% and Sompo Holdings (8630) up 12%. Value, particularly PBR did well this week. Low PBR names that bounced were Idemitsu Kosan (5019) up 10%, H2O Retailing (8242) up 9% and Japan Petroleum Exploration (1662) up 9%.

Growth names were hurt hard this week. In fact, high Sales growth names have not done this poorly in the last two years. Names that were down were Miura (6005) down 9%, AEON Mall (8905) down 8% and Sundrug (9989) down 5%. Looking at names with a high percent of Retail Investors, this group has only done worse once in the last 2 years. High Retail names that did poorly were ABC-Mart (2670) down 9%, DeNA (2432) down 5% and Kawasaki Heavy Industries (7012) down 5%.

Who Moved – While the market was up 2%, only 17 names moved on volume this week. On the positive side, Furukawa Electric (5801) is up 8%, J Front Retailing (3086) is up 6% and Ebara (6361) is up 6%. On the other side, ABC-Mart (2670) is down 9%, Kewpie Corp (2809) is down 6% and Nomura Real Estate Holdings (3231) is down 5%.

Summary

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What Worked Australia - 07 Oct 2016 - Beta and Short term momentum rockets

What Worked – This week saw Beta moving strongly, along with names that have done well over the last month. Metals and miners took off this week, and not a small cap driven move either. Santos (STO, +10.8%), South32 Limited (S32, +5.4%) and Beach Energy (BPT, +8.4%) just some of the high beta names that well outperformed the index this week. While the names that have performed well over the last month have done well this week, the biggest movers were in the names that have underperformed. TPG Telecom (TPM, -4.8%), Vocus Communications (VOC, -6.4%) and Bluescope Steel (BSL, -4.1%) were sold off further this week.

Names with strong EPS Revisions over the last 3 months also saw a selloff this week. Amongst them, Saracen Mineral Holdings (SAR, -15.6%), Independence Group (IGO, -5.7%) and Newcrest Mining (NCM, -5.6%) all hit this week, and all having very strong earnings revisions.

Who Moved – Not a big week for names moving on volume being a shorter trading week. Only 4 names out of the 200 managed to move on significantly higher than normal volumes. For those coming off this week there was Syrah Resources (SYR, -16.4%) and TPG Telecom (TPM, -4.8%), and those finishing the week higher were Henderson Group (HGG, +13.4%) and Southern Cross Media (SXL, +5.1%).

Summary

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What Worked Australia - 30 Sep 2016 - Div Yield hurt once again

What Worked – The sell-off in high yield names continued from last week into this week with some of the highest yielding names names taking a hit. Genworth Mortgage (GMA, -0.7%), Cromwell Property Group (CMW, -2.1%) and Suncorp Group (SUN, -4.0%) among the worst affected, while the lower yielding small cap names bounced against the general market. Bradken Limited (BKN, +4.3%), Karoon Gas (KAR, +4.9%) and Sundance Energy (SEA, +8.1%) all posting strong returns for the week.

ROE also continued its decline in performance, ranking it amongst the worst performing factors over the last 6 months. Platinum Asset Management (PTM, -1.6%) Magellan Financial (MFG, -3.5%) and Sydney Airport (SYD, -0.3%) all taking a hit this week.

Who Moved – Only 9 names managed to move this week on higher than normal volumes. Finishing the week lower and backed by volume was Southern Cross Media (SXL, -8.5%) and Premier Investments (PMV, -5.3%), while SAI Global (SAI, +29.7%), AGL Eneregy (AGL, +9.0%) and Nufarm (NUF, +4.2%) all finished higher.

Summary

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What Worked Japan - 30 Sep 2016 - Value was hit hard but concentrated in the Banks and Insurance Sectors

What Worked – While TOPIX was only down approx. 2% this week, low Value and high Beta names were hit hard. A lot of this poor performance came in the Banks sector. Banks as a Sector is down on average 7% over the previous week. Low PE names that did not do well were Ashikaga Holdings (7167) and Concordia Financial Group (7186) down 12% and Musashino Bank (8336) down 11%.

High Dividend Yield names also did not do well this week. However this also looks to be a function of poor performance in the Banks and Insurance Sectors. T&D Holdings (8795) is down 9%, MS&AD Insurance is down 8% and Dai-Ichi Life Insurance Group is down 8%. On the other side, high OP Growth and names with low Debt to Equity did well this week. High OP growth names that are up are Coca-Cola East Japan (2580) up 10%, Coca-Cola West (2579) up 9% and Ezaki Glico (2206) up 7%. Low Debt to Equity name that did well where Rohm (6963) up 5%, Hitachi High-Technologies (8036) up 7% and CyberAgent (4751) up 5%.

Who Moved – 33 names moved on volume this week. Despite the poor performance in Banks, only 3 Bank names moved on volume this week. On the positive side, Coca-Cola East and West were up more than 9% on volume. Toshiba (2579) is up 5% and Iwatani (8088) is up 5%. On the other side, Ashikaga Holdings (7167) is down 12%, Concordia Financial Group is also down 12% and Fukuoka Financial (8354) is down 9% this week.

Summary

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