What Worked Asia - 26 Feb 2016 - Value / Beta were hurt in most regions after last week's bounce

What WorkedIn Hong Kong there was a selloff in high Beta names.  Alibaba Health Information was down 15% and KWG Property Holdings was down 12%. In China there was a slight move away from Large-cap names. Zhejiang Expressway was down 10% and Tingyi Holdings was down 10%. Value and large-cap names were hurt in Singapore, Keppel Corp was down 3% and Ezion Holdings was down 4%. Taiwan saw a move into Value and away from Growth names. Some strong sales growth names that were hurt were Motech down 9% and Giga Solar Materials down 9%.  India also saw a good selloff in Value this week with a slight move into Quality. AIA Engineering was up 3% and also EIH Limited was up 5%. Malaysia was one of only place that value worked this week. Dividend Yield was very strong. Press Metal was up 3% and Pavilion Real Estate Investment was also up 4%. Nothing really stood out in South Korea.

Who Moved 151 names moved on Volume this week. The volume spikes were well distributed across the region with a slight focus in the Financial Sector. On the positive side, XinRen Aluminum was up 79%, Freeman Financial Corp was up 37% and Bank Tabungan Pensiunan was up 37%. On the other side, OBI Pharma was down 32%, KEPCO was down 24% and KWG Property was down 11%.

Summary

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What Worked Japan - 26 Feb 2016 - Selloff in Value after the strong bounce last week

What WorkedAfter last week’s strong bounce in Beta and Value, this week we saw a moderate selloff in Value and a slight move back into Retail names. Since the middle of October last year we see that PE has one strong week followed by a month or so of underperformance. If that holds true this time we have two more weeks of Value hurting. The last time that PE consistently did well was back in April/May of 2015. Low PE names that did not do well this week were Nippon Shokubai down 11%, Shinsei Bank down 9% and Mitsubishi Gas Chemical down 8%.  Retail names that bounced back were Aiful up 10%, Softbank up 10% and Fujikura also up 10%.

Who MovedCompared to last week, volume really dried up. Only 26 names moved on strong volume, which is about normal for Japan. On the positive side, Central Glass was up 21%, Unipres was up 16% and Trend Micro was up 16%. On the other side, ABC-Mart was down 5%, Temp Holdings was down 4% and Inpex was down 4%.

 

Summary

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What Worked Australia - 26 Feb 2016 - Value 2 for 2, slow down in momentum sell-off

What Worked – Value made it 2 for 2 this week, the main difference being that Dividend Yield also came along for the ride, the notable exception here is the high yielding financials that took a hit. Nine Entertainment (NEC, +4.8%), CSR Limited (CSR, +0.9%) and Spotless Group (SPO, +11.5%) among the highest yielding non-financials that posted positive returns for the week. Momentum all managed to be in the red this week, although the numbers are getting smaller each week, almost looking about time for the reversion to cease. While Size produced good results for the week, this was largely on the back of a sell-off in the large cap space rather than a swing into the smaller names. Commonwealth Bank (CBA, -3.8%), Westpac (WBC, -4.2%) and BHP Billiton (BHP, -6.2%) all dropping significantly. Of thew top 10 biggest names in the ASX 200 only one managed to finish the week higher this week.

Who Moved –  Volume continues to be reasonably heavy during these wild swings, and this week was no different. 33 names moved on significantly higher than normal volumes this week. In the winner’s circle, Altas Iron (AGO, +40.0%), UGL Limited (UGL, +20.4%) and Whitehaven Coal (WHC, +18.3%) all up very strongly, while Cover-More Group (CVO, -12.4%), Automotive Holdings (AHG, -7.1%) and Independence Group (IGO, -6.7%) finished the week lower on high volumes. 

Summary

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What Worked Asia - 19 Feb 2016 - Value and Beta drove most Markets in Asia this week

What WorkedBeta and Value bounced in Hong Kong this week. Beta has not done this well in Hong Kong since last September. Obviously there was a huge reversal in price momentum. Names that did well were Alibaba Health up 37% and Season Pacific Holding up 23%. In China it was all about Beta and to a lesser degree Value. Huaneng Renewables was up 35% and Huadian Fuxin Energy was up 30%. In South Korea, it was the opposite. Value was the strongest and Beta trailed behind. Value names that did the best were OCI was up 26% and Ssangyong Cement was up 12%. Singapore was all about Beta and Large cap. The one-week price reversal was through the roof high. Names that were up were Sembcorp Marine was up 20% and Noble Group was up 18%. Interestingly in India, Value barely worked and Beta did nothing this week. Indonesia was also all about Value and Beta did nothing this week. Names that were up were Eagle High Plantation up 27% and Media Nusantara was up 10%. Value and Beta did well in Malaysia. SapuraKencana Petroleum was up 9% and Press Metal was up 5%.

Who Moved218 names moved on volume this week. A good number of volume spikes came in India and South Korea. Relative to other regions, there were not a lot of spikes in China and Hong Kong. At the Sector Level, the Finance Sector dominated the spikes. On the positive side, Thai Airways International was up 37%, Huaneng Renewables was up 34% and Just Dial was up 26%. On the other side, COSMAX was down 21%, Enseval Putera Megatrading was down 18% and Korea Kolmar was down 17%.

Summary

Factor Performance Asia ex-Japan

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What Worked Japan - 19 Feb 2016 - Value / Beta bounced hard on very strong volume

What WorkedHuge bounce in Value and high Beta names. With TOPIX bouncing 8% this week, Value (particularly PE), Beta and names with a high percent of Foreign investors really did well this week. High Beta and names with a high % of Foreign Investor have not done this well in the last 2 years. The last time PE did this well was last October. Value names that did well this week were Tokyo Tatemono up 26%, Nabtesco Corp was up 21% and Capcom was up 22%. High Beta names  that did well were Sumitomo Rubber Industries up 29%, Sumco up 27% and IHI Corp up 24%. Names with a high percent of Foreign Investors that outperformed were Softbank was up 22%, Capcom was up 22% and ASATSU-DK was up 22%. There was a slight sell off in Retail names as they have done well pretty much every week since the beginning of the year.

Who MovedA very good sign was that this week’s move was on very strong volume. 210 names moved on volume this week. 189 names moved up on strong volume and only 21 names moved down on volume this week. Looking at the names that moved down, Yamazaki Bread was down 12%, Trend Micro was down 9% and Hokuetsu Kishu was down 7%. On the positive side, aside from ASATSU-DK all the above names moved on volume. Other names that moved up on strong volume were DMG MORI was up 19%, Itochu was up 17% and Pola Orbis up 18%.

Summary

Japan Factor Performance

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What Worked Australia - 19 Feb 2016 - Value strong, but smaller names the winners

What Worked – For the first time this year value has managed to come in with an IC above our “threshold” of 10%. All value metrics (ex dividend yield) posted very strong numbers this week, the strongest in fact since the week before Christmas. Seven West Media (SWM, +12.7%), Seven Group Holdings (SVW, +5.6%) and Spotless Group (SPO, +16.9%) all amongst the sub 10x PER names that posted better than the index returns for the week. Momentum on the other hand reversed as the names that had run (and become more expensive) flat-lined for the week against the index, and the cheaper names took the lead. Momentum was negative across the board, driven not by profit taking, but a run into index laggards.

Size came into play this week also, having it worst performing week in almost a year. While the large cap names remained in-line with the index, the smaller names saw a dramatic pickup. Mount Gibson Iron (MGX, +5.7%), Cardno Ltd (CDD, +12.5%) and AWE Ltd (AWE, +17.7%) amongst the smallest names in the index that all saw significant returns for the week. All in all, only 8 names in the sub- 1bn AUD market cap range posted a loss for the week.

Who Moved – Strong week for volume as 39 names from the 200 in the index posted significantly stronger than usual volumes. On the winning end were a lot of the smaller names, including Beadall Resources (BDR, +33.3%), Whitehaven Coal (SHC, +26.7%) and GWA Group (GWA, +22.8%), while the other end of the list saw Arrium (ARI, -74.1%), Cover-More Group (CVO, -14.3%) and Atlas Iron (AGO, -9.1%) all come off on the back of very strong volumes.

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What Worked Asia - 12 Feb 2016 - When markets were open this week Value and Beta were hurt (except in Korea)

What Worked As it was Chinese New Year this week, the numbers are really pretty much all over the place. Hong Kong only had 2 trading days and that was dominated by a sell-off in Value and High Beta names. Evergrande Health Industry was down 23% and EO Technics was down 20%. Large-cap names did slightly outperform in Hong Kong. India was open for most of the week, but the results were the same. Clear rotation away from Value / Beta and into Quality. Procter & Gamble Hygiene was up 6% and Apollo Tyrese was up 9%. South Korea only had 2 trading days this week. But high dividend yield and large-cap names dominated. High Div yield names that did well were Daewoo International was up 10% and KIA Motors was up 4%. Singapore was open for 3 days but really nothing stood out other than a selloff in high Beta names. Golden Agri-Resource was down 7% and Noble Group was also down 9%.

Who Moved73 names spiked on volume this week with the majority of volume spikes coming in India. This is no surprise as most of the other regions did not have a full week due to the New Year. On the positive side, Philex Mining was up 26%, Petron Corp was up 14% and Big C Supercenter was up 9%. On the negative side, Punjab National Bank was down 21%, Indo Count Industries was down 23% and Tata Motors was down 13%.

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What Worked Japan - 12 Feb 2016 - Retail names did well as Value / ROE factors continue to be beaten up

What Worked With TOPIX down 11% this week, FY1 PE was beaten up the most in the Value category. FY1 PE came in with a negative 39% IC. FY1 PE has only worked once in 2016. Low PE names that were hurt were Dowa Holdings down 28%, Taihieiyo Cement down 28% and NEXON down 24%.  Surprisingly low PBR names did not do that poorly given the huge drop in TOPIX. However PBR has not worked at all this year. Kaneka Corp was down 25%, Mitsubishi Materials was down 22% and Tokai Tokyo Financial was down 22%. Beta continued to be get destroyed this week. Beta has continued to do very poorly since the middle of October last year. Sysmex was down 26%, Aiful was down 22% and Toyo Tires was down 23%. Low ROE names also took a big hit this week. As with the other factors, ROE has really only done well once since the beginning of December last year. Names with a high percent of Retail Investors did do well this week and continue to be the only factor really working. Lion was up 2% and Oriental Land was up 2%.

Who Moved50 names moved on volume this week. There were only 9 names with positive returns in TOPIX 500 and none of them moved on strong volume. So on the negative side, Asahi Glass was down 26%, Yamaha Motors was down 23% and Nomura Holdings was down 22% all on strong volume.

 

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What Worked Australia - 12 Feb 2016 - Momentum back in Favour

What Worked – In what has been a pretty terrible week for equity markets around the globe, Australia has not been spared by any means. Momentum fared well for the week, driven equally by a sell-off in the laggards, and a good helping of outperformance in the winners. All guises of momentum saw good headline numbers this week, although it was the shorter term (1 Month Price Momentum and 1 Month Earnings Revision Momentum) that took the show. With a slew of negative interest rate talk around, the finance sector took the worst of it this week, although likely more of a contagion affect from their European and US cousins than any real threat of it happening in Australia. Already the focus of a good sell-off, Magellan Financial (MFG, -9.1%), Macquarie Group (MQG, -8.3%) and Henderson Group (HGG, -12.5%) where amongst the worst affected, while the miners rebounded – Northern Star Resources (NST, +16.7%), Evolution Mining (EVN, +22.4) and Independence Group (IGO, +17.7%) were are the top of the list.

 

Who Moved – 27 names posted substantially higher than normal volumes this week, and for the most part ended the week lower than they started. OzForex (OFX, -39.2%), Bank of Queensland (BOQ, -16.9%) and Computershare (CPU, -13.9%) faring the worst, while Evolution Mining (EVN, +22.4%), Ansell Limited (ANN, +13.4%) and Cochlear (COH, +11.7%) all came out on top.

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