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%.


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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%).


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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.


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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.


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What Worked Asia - 02 Sep 2016 - Nothing really stood out in HK/China, but good selloff in Size in Taiwan

What Worked – Nothing really stood out in Hong Kong / China this week. There was a slight move into momentum names in China and a slight move into high Beta names in Hong Kong. High Beta names in Hong Kong that did well were Luen Wong Group up 30% and Melco International Development up 15%. Singapore saw a move into high growth names this week, with a slight sell off in high Beta names. Singapore Post is up 3% and Mapletree Commercial is up 3%. There was a good move in Value and large cap names in South Korea this week. Samsung Card is up 17% and Pan Ocean is up 11%.

In Taiwan there was a big selloff in large cap names. Evergreen Marine is up 16% and Epistar Corp is up 12%. Beta and low PBR names did not do well in Indonesia this week. Low PBR names that did not do well were Bank CIMB Niaga is down 22% and Holcim Indonesia is down 9%. India saw a slight move into high Beta and momentum names. Momentum names that were up this week were Dr. LaiPathLabs up 26% and Aegis Logistics up 20%. Positive EPS revisions names did well in the Philippines this week. San Miguel Pure Foods was up 4% and LT Group was up 3%.

Who Moved – 182 names moved on volume this week in Asia. At the sector level, a good amount of the spikes came in the Financial and Health Technology sectors. At the regional level, HK/China made up almost half of the volume spikes, despite no factor really standing out in HK/China. On the positive side, Plaza Indonesia Realty is up 21%, China Aircraft Leasing Group is up 17% and Korean Air Lines is up 20%. On the other side, Hon Hai Precision Industry is down 13%, China Goldjoy Group is down 13% and Creative China Holdings is down 10%.


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What Worked Australia - 02 Sep 2016 - Dividends and short term momentum

What Worked – With the market down this week, there was a small push into Value names, in particular Dividend Yield. Meanwhile 12-month momentum creeped up along with Beta, albeit in a much smaller fashion than is usual for these higher volatility signals. 12-month momentum was largely driven by selloff in the 12-month losers rather than buying into the winners, with names like Mesoblast (MSB, -6.2%), Spotless Group (SPO, -6.1%) and Village Roadshow (WRL, -8.0%) all extending their losses from the last year.

Names with good forward EPS revisions saw a slight selloff also, with MMA Offshore (MRM, -12.7%), BHP Billiton (BHP, -4.7%) and Newcrest Mining (NCM, -4.1%) all showing very strong forward EPS revisions over the last month, yet all underperformed the index. Short term signals (Stochastic Oscillator & 1 Week momentum) saw a big pick up for the week coming into the close today.

Who Moved – Few more names than usual moving on substantially higher volumes this week. Steadfast Group (SDF, -2.2%), Star Entertainment (SGR, +3.0%) and Vocus Communications (VOC, -5.2%) all finished lower, while Ramsay Health Care (RHC, +7.1%) Super Retail (SUL, +3.5%) and Retail Food Group (RFG, +3.3%) all finished higher for the week on very strong volume.


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What Worked Japan - 02 Sep 2016 - Value and Beta very strong after a good month in August

What Worked – Value did very well this week. PBR names came in with an over 50% IC this week. PBR has not been consistently strong since February 2015, however recently PBR has worked 6 out of the last 8 weeks. Low PBR names that did well were Iyo Bank (8385) up 17%, Tokyo Electric Power Company (9501) up 19% and Juroku Bank (8356) up 16%. Low PE names also continued to do well this week. Low PE names have outperformed since the beginning of August. Joyo Bank (8333) is up 15%, Unipres Corp (5949) is up 13% and Chiba Bank is up 13%.

As with Value, high Beta names did very well in August and this last week. Beta has not consistently done this well in the last 2 years. High Beta names that did well were Minebea (6479) up 14%, Hyakugo Bank (8368) was up 14% and Dai-Ichi Life Insurance was up 13%. Names down over the last year bounced nicely this week, particularly in the Banks sector. Gunma Bank (8334) is up 14% and Bank of Kyoto (8369) is up 13%. There has been a clear shift away from Growth and into Value/Beta since the beginning of August. COSMOS Pharma (3349) was down 7% and Square Enix was down 5%

Who Moved – Only 21 names moved on volume this week. Banks and Retail names made up almost half of the volume spikes. Iyo Bank (8385) is up 17%, Tokyo Electric Power Company (9501) is up 19% and Juroku Bank (8356) is up 16%. On the other side, AEON Financial Service (8570) is down 9%, CALBEE is down 9% and Lawson (2651) was down 8%.


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Frightened Children - Analysts clinging onto the Mother of Guidance

“A mother understands what a child does not say” – Jewish proverb

 We looked at the growing consensus hugging nature of analysts in Japan who increasingly base their forecasts on a +/-5% range within company guidance.

Fig.1 below shows how the trend has climbed in the past 3 years. Whether one blames compliance or a lack of capability, consensus hugging now pervades over 50% of analysts from around 35% prior to 2013.

Fig.1 : % of Companies with Consensus Estimates less than +/-5% from company Guidance

The study gets worse when we look at it by sector. Since Lehman Shock, 75% of financial analysts in aggregate are within 5% of company guidance from 35% in late 2008. Unsurprisingly after the immediate crash, most analysts were way out of line with company guidance. 

When we broadened the study to +/-10% of guidance, nearly 70% of analysts are holding within that range. Has the hollowing out on the sell-side of more experienced analysts caused the trend? Naturally, the compression of commissions has forced many firms to cut overhead and the trend toward less experienced analysts has grown.

Fig. 11 % of All stocks estimates +/10% of company guidance

Link here

What Worked Australia - 26 Aug 2016 - Reversal in Beta and move to yield

What Worked – This week saw a very strong move into high yield names, and a move into size and more profitable companies.  Spotless Group (SPO, +3.5%), G8 Education (GEM, +4.0%) and Southern Cross Media (SXL, +13.3%) all amongst the highest yielding names in the market and all producing good returns for the week. On the other end of the yield scale Mesoblast (MSB, -7.3%), Worleyparsons (WOR, -13.8%) and Western Areas (WSA, -19.7%) were all sold off quite strongly.

Beta was hurt badly, returning -3.8% on a quintile spread basis for the week. High beta names that were hurt included Whitehaven Coal (WHC, -3.7%), Santos Limited (STO, -7.2%) and Beach Energy (BPT, -9.1%).

Who Moved – Not a big week for volume this week with most names in the index sitting around average volume. 16 names managed to move on higher than normal volumes. In the winner’s circle, GWA Group (GWA, +24.7%), Ardent Leisure (AAD, +7.8%) and Slater & Gordon (SGH, +6.0%) all up versus the index, while Monadelphous Group (MND, -17.4%), McMillan Shakespeare (MMS, -14.5%) and Japara Healthcare (JHC, -10.3%) were all sold off heavily.


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What Worked Japan - 26 Aug 2016 - High Beta and Low PBR names were hurt as Retail names benefited

What Worked – Pretty good sell off in names that were up over the last month and high Beta names. This is the first week high Beta names have not done well since the middle of July. Names that did well over the last month that were hurt this week were Sumco (3436) down 7%, Sony Financial (8729) down 7% and Tokyo Ohka Kogyo (4186) down 7%. High Beta names that did not do well this week were Unipres Corp (5949) down 10%, Alps Electric (6770) down 9% and Sumitomo Heavy Industries (6302) down 7%.

Looking at Value, PE was pretty much insignificant but we did see a selloff in low PBR names. Japan Petroleum Exploration (1662) was down 9%, Inpex (1605) was down 8% and J.Front Retailing (3086) was down 7%. On the other side, names with a high % of Retail Investors did well this week after poor performance since the beginning of July. Capcom (9697) was up 8%, Kyowa Exeo (1951) was up 6% and Iida Group (3291) was up 6%.

Who Moved – Not a strong week for volume this week. Only 12 names moved on volume. On the positive side, UNY Group was up 10%, Familymart (8028) was up 9% and Shochiku (9601) was up 3%. On the other side, Cosmo Energy (5021) was down 11%, Sumco (3436) was down 7% and SHIMAMURA (8227) was down 6%.


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