What Worked Australia - 25 Mar 2016 - Value comes off hard, move into Profitable Growth names

What Worked – Values run has finally come to an end, and in a big way. While PBR has been one of the strongest performing signal over the last 2 months, if came off particularly hard this week, generating an IC just shy of -40%. These kind of numbers are usually restricted to the more volatile signals like Beta and 1 week/month reversal signals. Low PBR names erasing gains this week included Origin Energy (ORD, -5.8%), Seven Group Holdings (SVW, -7.8%) and Fortescue Metals (FMG, -6.5%). PBR was largely a one-sided affair however, with the gains on the high PBR names not as spectacular of the losses from the low PBR names.

Sales Growth and ROE fared better this week, with high growth, high ROE names like Cochlear (COH, +2.1%), Aristocrat (ALL, +3.8%) and TPG Telecom (TPM, +9.3%) finishing the short week well up over the index.

Who Moved – For a short week there was some good volume around. 27 Names from the index posted higher than normal volumes for the week. Of those finishing up on volume for the week, Ardent Leisure (AAD, +15.7%), Premier Investment (PMV, +15.2%) and Paladin Energy (PDN, +13.6%) all finished up very strongly, while Evolution Mining (EVN, -12.8%), Independence Group (IGO, -12.1%) and Karoon Gas (KAR, -11.8%) rounded out the losers for the week.

Summary

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What Worked Asia - 18 Mar 2016 - Generally Value worked across the Region except for HK where pretty much nothing really stood out

What Worked – In China Value and Size were the strongest factors this week, while Quality names were hurt. Logan Property was up 15% and FIH Mobile was up 13%. In Hong Kong, pretty much nothing stood out and there was only a slight move into large-cap names. China Goldjoy was up 35% and Xinyi Glass was up 14%. Singapore was all about Beta and Momentum. High Beta names that were up were Yoma Strategic Holdings up 18% and Sinarmas Land 12%. India saw a clear move into Value and Beta and away from Quality. ICICI Bank was up 7% and NMDC Limited was up 5%.

South Korea also saw a move into Value and away from Quality. Daewoo International was up 13% and Samsung Card was up 10%. Dividend Yield and large cap dominated in Taiwan this week. Taiwan Paiho was up 8% and CTCI Corp was up 9%. In Thailand OP growth and EPS revision drove the market while large-cap names suffered. Thai Airways was up 16% and Vibhavadi Medical was up 9%. In Malaysia there was a clear move away from Quality and into Value names. Eco World Development was up 12% and Mah Sing Group was up 7%.

Who Moved – 198 names moved on volume this week. A good number of the volumes spikes came in Taiwan and Thailand. At the Sector Level, the Process Industries and Finance Sectors came in with a good number of volume spikes. On the positive side, Mason Financial Holdings was up 26% and Globe Telecom was up 24% and Sunny Optical was up 19%  this week. On the other side, G-Resources Group was down 23%, Pfizer India was down 15% and Kong Sun Holdings was down 11%.

Summary

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What Worked Japan - 18 Mar 2016 - Slight move into Quality and away from Value / Beta

What Worked While really nothing stood out last week, as for direction this week was only slightly better. There was a slight selloff in Value names and a move into Quality this week. Low FY1 PE names that did poorly were Kaken Pharma down 14%, Nippon Kayaku down 11% and DMG Mori down 10%. High ROE names that outperformed were COLORPL up 15%, Kakaku.com up 11% and Matsumotokiyoshi up 8%. Negative momentum looks to be one of the  strongest factor currently driving the market.

Names that went down over the last year continued to go down this week. Sharp was down 12% after being down 41% over the last year, Nippon Kayaku was down 11% and Sumco was down 9%. We also saw a move into Retail names and a slight move away from high Beta and large-cap names. High Retail names that did well were Kokuyo up 10%, OKI Electric Industries up 8% and Tsuruha up 8%. High Beta names that were hurt were Seiko Epson down 9% and Unipres Corp down 8%.

Who Moved Only 15 names moved on volume this week and the majority of the names were down. Only three of the fifteen names move up on volume this week. Morinaga Milk was up 10%, Sangetsu was up 4% and Sumitomo Forestry was flat on the positive side. On the other side, Kaken Pharma was down 14%, Nippon Kayaku was down 11% and NOF Corp was down 5% all on strong volume.

Summary

Factor Performance Japan

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What Worked Australia - 18 Mar 2016 - Long term momentum coming off, Value still strong

What Worked – Long term momentum came in week once again as the laggards for the last 12 months continued to climb, while the winners were off a little, albeit largely in the small cap space. Origin Energy (ORG, +6.6%), Mesoblast (MSB, +15.6%) and News Corp (NWS, +8.4%) among those 12 month underperformers that came back strong this week, while Regis Resources (RRL, -6.1%), Sirtex Medical (SRX, -7.7%) and Aristocrat (ALL, -5.5%) all off this week after a strong run over the last year.

Value continued its run, extending its winning performance out to 6 weeks. Genworth Mortgage (GMA, +5.6%), Myer Holdings (MYR, +7.7%) and Fairfax Media (FXJ, +8.9%) all up on the back of looking cheap on PBR.

Who Moved – Volumes came off this week with only 10 names producing higher than normal volumes. Independence Group (IGO, +8.8%), Sigma Pharma (SIP, +8.8%) and SKY Network (SKT, +8.3%) producing positive returns on significant volumes, while Resmed (RMD, -6.4%), Northern Star Resources (NST, -5.3%) and Monadelphous Group (MND, -4.3%) all coming off.

Summary

Australia Factor Performance

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What Worked Asia - 11 Mar 2016 - Div Yield worked in China/HK and PBR was strong in Indonesia and Thailand

What WorkedHong Kong was all about Dividend Yield as the other Value factors cooled off after a strong performance last week. Texhong Textile Group was up 17% and COCSO Pacific was up 7%. Singapore on the other hand saw a huge selloff in high Dividend names and a move into low PBR and positive EPS revision names. Indo Food Agri Resource was up 12% and Accordia Golf was up 5%.

In China we saw a good selloff in short-term momentum names and a move into high Dividend yield names. BBMG Corp was down 7% an Hua Hong Semiconductor was down 6%. High Dividend names that did well were Lonking Holdings up 10% and Xinyi Solar Holdings up 10%. South Korea saw a move into PBR names and a move away from Quality and long-term momentum. Doosan heavy Industries was up 10% and Hankook Tire Worldwide was up 10%. There was also a good selloff in Value in Taiwan, particularly Dividend Yield. Chlitina Holdings was down 10% and Yungtay Engineering was down 7%. The Philippines was all about Beta this week. First Gen was up 10% and Megaworld was up 8%.

Who Moved Good volume week with 217 names moving on volume. A good number of the volume spikes came in Taiwan and South Korea. At the Sector level, Process Industries and Producer Manufacturing saw good volume. On the positive side, Honbridge Holdings was up 26%, HTC Corp was up 27% and Doosan Infracore was up 23%. On the other side, Bumi Armada was down 22%, Mindtree was down 15% and Boer Power Holdings was down 14%.

Summary

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What Worked Japan - 11 Mar 2016 - Really nothing compared to last week although slight selloff in Beta

What Worked After last week’s huge Value bounce it looks almost like the market just took a break this week. None of the Value or Quality signals stood out and only a couple of factors exceeded our self-imposed 10% threshold as significant. Stochastic Oscillator had a negative 12% IC. So there was a slight sell off in names up over the last month.

Minebea was down 7% and ASATSU-DK was down 4%. There was also a slight selloff in high Beta names. However this is after a huge positive move for Beta last week. High Beta names that went down this week were Asics down 11%, NSK down 9% and Taiyo Yuden down 8%.

Who Moved – Despite nothing really standing out, 20 names moved on volume this week. On the positive side, Suzuki Motors was up 2%, Sangetsu was up 2% and Komatsu was also up 2%. On the other side, Kansai Electric Power was down 24%, Tokyo Gas was down 6% and Coco-cola East was down 6%.

Summary

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What Worked Australia - 11 Mar 2016 - Value the only real story

What Worked – Value continued its strong run this week, and not much else saw any movement. While Div Yield managed to make it positive this week, PBR was the strongest signal by far this week generating an IC of +26%, and a quintile spread of +7.3%. Low PBR names have done particularly well over the last month, driven in large part by resources names, while the higher valued names have only come off slightly. PBR has produced positive returns for 7 of the last 8 weeks.

In the sub 1.0x Book value space this week, Bluescope Steel (BSL, +2.1%), Fortescue Metals (FMG, +6.2%) and Primary Health Care (PRY, +6.6%) where among the best performers. ROE did see a slight sell-off, in what was an almost mirror image of PBR in terms of performance. OP Growth also managed to produce a positive return for the week, with names like Alumina Limited (AWC, +6.9%) and Qantas (QAN, +6.6%) returning some strong results this week.

Who Moved – Volumes are still looking reasonable, with 29 names producing higher than normal volumes for the week. The smaller names this week produced the bulk of names trading on significantly higher volume this week. In the winner’s circle saw Mount Gibson Iron (MGX, +7.9%), Retail Food Group (RFG, +7.7%) and Premier Investments (PMV, +7.5%) all up, while Worelyparsons (WOR, -12.3%), Sandfire Resources (SFR, -7.3%) and OZ Minerals (OZL, -4.6%) all finished lower on high volume.

Summary

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What Worked Asia - 04 Mar 2016 - Most of the Region bounced on Value and Beta

What WorkedValue bounced in pretty much every region in Asia this week. In China, Beta and Value did well at the expense of Quality. Hydoo International was up 23% and Jiangnan was up 19%. In Hong Kong it was pretty much the same with PBR the strongest factor and Quality hurting. High ROE names that did not do well this week were KuangChi Science down 9% and Pacific Textiles down 6%. Beta was the strongest factor in Singapore, followed by PE. Super Group was up 18% and Sembcorp Industries was up 17%. In South Korea, Quality was hurt badly and as with the other regions Beta did well. Ottogi was down 10% and Hansae Yes24 was down 9%.

Malaysia was more about PE than Beta this week. AirAsia was up 22% and SapuraKencana was up 6%. India was the same as other regions with Beta and Value outperforming. Inox Wind was up 34% and DLF Limited was up 23%. Thailand was really the only region were Value and Beta were not a factor and Size dominated. Total Access Communication was up 17% and Bank of Ayudhya was up 10%.

Who Moved 208 names moved on volume this week. A good number of the names came in the Financial and Consumer Non-Durable Sectors. At the Country level, Thailand, Indonesia and India pick up a good portion of the volume spikes. On the positive side, AirAsia was up 22%, China Resource Beer was up 22% and DoubleDragon Properties was up 21%. On the negative side, Sihuan Pharma was down 54%, Philippine Long Distance was down 19% and Global Brands Group was down 11%.

Summary

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What Worked Japan - 04 Mar 2016 - Crazy reversal in Momentum and Beta but the move was not supported by Volume

What Worked Beta and Value bounced up harder this week than they did two weeks ago. Beta has really only worked 4 times since the middle of last October. However, this week Beta came in with a crazy high 46% IC. High Beta names that did well were Sumco up 17%, Alps Electric up 17% and Minebea up 18%. FY1 PE almost did as well as Beta. The last time PE did this well was back in October 2015. Low PE names that were up were IHI up 17%, TDK up 17% and Shinsei was up 14%.

PBR also outperformed this week. Low PBR names that did well were Mitsui OSK up 18%, Inpex up 17% and DMG MORI up 14%. There was a good move into names with a high percent of Foreign Investors. Toshiba was up 20% and Inpex was up 17%. Price reversal was even stronger than Beta this week with a really rarely seen 60% negative IC. Dowa was up 14% and Monotaro was up 14%.

Who Moved – Unfortunately not a lot of names bounced on strong volume. Only 16 names moved on volume this week. On the positive side, Nissan Motors bounced up 13%, Hitachi Capital was up 10% and Zeon was up 10%. On the negative side, overall there were only 74 names with negative returns this week in TPX500.  The ones that were down on volume were NEC down 8%, SCSK Corp down 5% and Odakyu Electric down 4%.

Summary

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What Worked Australia - 04 Mar 2016 - A good week to be a value investor in Australia

What Worked – While Div Yield did quite poorly this week, other value metrics produced some outstanding results. While the quintile spread came through with lack-luster numbers, PER came through for the fourth week in a row. Driven largely by a strong pickup in the cheaper names, the more expensive end of the market was also up,. Value, for the first time in almost two years, is net positive for the last 3 months. PBR was however the standout this week, generating a 40% IC, and is proving to be a stronger value indicator than PER at the moment in the Australian market. Origin Energy (ORG, +20%), Glenworth Mortgage (GMA, +8.7%) and Santos Limited (STO, +21.4%) all low PBR names that produced strong returns for the week.

On the other side of the coin, 12 Month momentum produced some disastrous results for the week. While the 12 month winners were off slightly, it was a pickup in the laggards that generated these numbers for the week, and largely in energy related names. Independence Group (IGO, +23.5%), BHP Billiton (BHP, +13.8%) and Worleyparsons (WOR, +54.4%) all generating strong returns after a very poor run over the last year

Who Moved – Volume continues to be strong, with 35 names trading on substantially higher than normal volumes for the week. The winners circle saw Mesoblast (MSB, +43.4%), Sims Metal (SGM, +23.0%) and UGL Limited (UGL, +15.2%) all up on strong volume, while Slater & Gordon(SGH, -55.4%) led the losers down on the back of some poor news around a pending deadline from their creditors. 

Summary

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