What Worked Asia - 10 Mar 2017 - Mixed bag with no style really standing out this week

What Worked

High ROE and Sales growth names did well this week in China. Sunac China Holdings is up 13% and China Maple Leaf Educational System is up 13%. In Hong Kong it was more about Value with high dividend yield names doing the best. Shimao Property Holdings is up 15% and Country Garden Holding is up 15%. In India, high ROE names did well and low PBR names were hurt this week. High ROE names that did well were Astral Poly Technik up 10% and Delta Corp up 13%.In Singapore there was slight selloff in high dividend names and a move into low Debt to Equity names. Far East Orchard is up 7% and TalkMed Group is up 7%.  In South Korea, quality names were the strongest this week. Youngone Corp is up 9% and Korea Kolmar is up 6%. In the Philippines there was a slight selloff in large-cap names and a move into high Beta names.

In Singapore there was slight selloff in high dividend names and a move into low Debt to Equity names. Far East Orchard is up 7% and TalkMed Group is up 7%.  In South Korea, quality names were the strongest this week. Youngone Corp is up 9% and Korea Kolmar is up 6%. In the Philippines there was a slight selloff in large-cap names and a move into high Beta names.

Who Moved

216 names moved on volume this week. At the Country level, the spikes look to be well distributed. However, close to a quarter of the spikes were in the Financial Sector. On the positive side, China Overseas Grand Oceans Group is up 28%, Agile Group Holdings is up 19% and China Regenerative Medicine International is up 19%. On the other side, Group Lease Public is down 52%, Macronix International is down 12% and Alibaba Health Information Technology is down 14%.

Summary

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What Worked Japan - 10 Mar 2017 - Only Quality factors slighty stood out this week

What Worked

Low Debt to Equity and high ROIC were the only factors that did well this week. Low Debt to Equity names that outperformed were Cyber Agent (4751) up 9%, COLORP (3668) up 8% and HIROSE ELECTRIC (6806) up 7%. High ROIC names that also did well were Idemitsu Kosan (5019) up 6%, Kissei Pharma (4547) up 6% and Coca-cola East Japan (2580) up 6%. All the other factors were basically significant this week.

Who Moved

Only 15 names moved on volume this week. On the positive side, Temp Holdings (2181) is up 5%, Nipro Corp (8086) is up 5% and Pigeon Corp (7956) is up 4%. On the other side, NEXON (3659) is down 7%, Isetan Mitsukoshi Holdings (3099) is down 6% and Nippon Light Metal Holdings (5703) is down 5%.

Summary

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What Worked Australia - 10 Mar 2017 - Both Value and Growth off, ROE Positive

What Worked

In an odd week both Value and Growth metrics came off this week. Value, except for Dividend yield, has seen a lot of low PE names hit hard over the last couple of weeks, all in stark contrast to the excellent run over the previous 3 months. Cheap names on a forward PER basis that came off this week were also the ones that were hurt last week, and as with last week the more expensive names tended to remain in line with the market, while the cheaper ones came off sharply again. The Resources names were among the most impacted this week, and continue to get cheaper on a forward PER basis, namely Whitehaven Coal (WHC, -7.3%), Saracen Mineral Holdings (SAR, -10.8%) and Northern Star Resources (NST, -5.2%).

Names ranking highly in terms of forward OP growth were also hit this week, and once again the focus was on Resources. Iluka Resources (ILU, -3.6%), Whitehaven Coal (WHC, -7.3%) and BHP Billiton (BHP, -5.4%) are all among the names with the highest forecast OP growth, and all among the hardest hit this week. On the positive side of things, ROE did see positive numbers in terms of Rank IC, yet this was in large part driven by the middle ground rather than the top and tail of the market. Both the top and bottom quintile of ROE names were off against the benchmark this week.

Who Moved

Only 14 names managed to move on significant volume this week, a small downtick from the previous weeks that have seen a lot of names moving around backed by volume. On the losing side of the market Resolute Mining (RSG, -9.2%), OZ Minerals (OZL, -7.6%) and Evolution Mining (EVN, -6.1%) filled the bottom three positions, while Qube Holdings (QUB, +6.9%), Costa Group Holdings (CGC, +4.4%) and Breville Group (BRG, +2.3%) all finished the week in the black and above the benchmark.

Summary

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What Worked Asia - 03 Mar 2017 - Large cap names were hurt in China / India, Value did well in South Korea

What Worked

Pretty good selloff in large-cap names in China this week. China Hongqiao Group is down 11% and China Eastern Airlines is down 7%. In Hong Kong while none of the other factors stood out, high ROIC names did well this week. Luen Wong Group is up 34% and Wang On Properties is up 19%. Value and high Beta names did well in South Korea. Low PBR names that did well this week were Hyundai Mipo Dockyard up 11% and Hyundai Heavy Industries up 8%.

In Singapore there was a slight selloff in high Beta names and a move into high ROE names. Yangzijiang Shipbuilding is up 18% and Jardine Cycle & Carriage is up 9%. High Dividend names did well in the Philippines this week. Belle Corp is up 4% and Semirara Mining % Power is up 4%. Nothing really stood out in India. In Malaysia there was a slight move into large-cap and growth names. My E.G. Services is up 8% and Press Metal is up 9%.

Who Moved

188 names moved on volume this week. A good portion of the volume spikes came in the Process Industries and Financial Sector. At the country level, half of the volume spikes came in China/HK and India. On the positive side, Gallant Venture is up 41%, Sri Rejeki Isman is up 33% and China Zhengtong Auto Service is up 30%. On the other side, Season Pacific Holdings is down 19%, Bharat Petroleum Corp is down 13% and Hindustan Petroleum is down 10%. All moved on volume.

Summary

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What Worked Japan - 03 Mar 2017 - Value did not work for the first time since last December

What Worked

Value, particularly PBR, was hurt this week. This is really the first week since last December that low PBR names have not done well. Low PBR names that were down included Ogaki Kyoritsu Bank (8361) down 10%, Showa Denko (4004) down 8% and Inpex (1605) down 5%.

High Beta names were also down this week. As with Value, this is the first week this year that high Beta names were hurt. Toshiba (6502) is down 5%, Taiyo Yuden (6976) is down 5% and Ibiden (4062) is also down 5%. With Value and Beta down, there was a slight move into high ROIC names. Morinaga (2201) is up 7%, Unipres Corp (5949) is up 6% and Nippon Paint Holdings (4612) is up 6%.

Who Moved

Only 25 names moved on volume this week. On the positive side, Mitsui Mining and Smelting (5706) is up 11%, Morinaga (2201) is up 7% and Morinaga Milk Industry is up 6%. On the other side, Ogaki Kyoritsu Bank (8361) is down 10%, Pola Orbis Holdings (4927) is down 7% and Park24 (4666) is down 6%.

Summary

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What Worked Australia - 03 Mar 2017 - PE comes off, and drags low beta names along with it

What Worked

PER finally took a week off, and came in quite negative this week with a very large down-swing in the cheapest names in the market. The lowest PER names (i.e. highest earnings yield) dropped almost -4% against the benchmark, while the more expensive names remained relatively flat. Some of the worst hit included Resolute Mining (RSG, -15.9%), Spotless Group Holdings (SPO, -14.4%) and Retail Food Group Limited (RFG, -10.6%). While 12 month momentum appeared to show positive results this week, the top and tail of 12 month momentum names both lost out to the benchmark, and the IC was in large part driven by middle three quintiles. 12 month momentum, either if you are for or against it, is not playing nicely for anyone focusing on this signal, and has not been a team player for close to three months.

Beta was a good mover this week, however like 12 month momentum, the IC was largely driven by the middle ground. That being said, low Beta names took a big hit this week, with the sharp drop in the last quintile (lowest beta) names looking about a sharp as drop in low PE names. Newcrest Mining (NCM, -7.6%), St. Barbara Limited (SBM, -7.4%) and Macquarie Atlas Roads (MQA, -1.8%) are among the lowest Beta names in the Australian market, and all off this week. On the other side, high beta names as a group also dropped against the benchmark, albeit not as heavily.

Who Moved

Volumes are still looking strong with 42 names from the benchmark moving this week on higher than normal volumes. Among the winners, Worelyparsons (WOR, +29.7%), Breville Group (BRG, +11.7%) and South32 Limited (S32, +10.6%) all finished the week higher with higher than normal volumes. On the other side, Orocobre (ORE, -17.6%), Healthscope Limited (HSO, -3.9%), Harvey Norman Holdings (HVN, -3.8%) and Cromwell Property Group (CMW, -3.5%) all ended weaker.

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Summary

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What Worked Asia - 24 Feb 2017 - Low PBR and short-term momentum names did well this week in Asia

What Worked

Value and high Beta names dominated in China this week. Both PBR and Beta were the strongest factors in China over the last month. Low PBR names that did well were Greenland Hong Kong up 12% and Sunac China Holdings up 9%. As with China, low PBR names continue to do well in Hong Kong. In Hong Kong, PBR is the strongest factor over the last 3 months. HNA Holdings Group is up 22% and Esprit Holding is up 19%.

High dividend yield names did well in Singapore this week. Sembcorp Marine is up 12%. In South Korea, Value and high Beta names were hurt this week. ViroMed is down 8% and LG International is down 6%. Large-cap names dominated in Indonesia. Bank Rakya Indonesia Agroniaga is up 18% and Indo Tambangraya Megah is up 13%. In the Philippines, positive momentum names did very well this week. Premium Leisure is up 11% and Belle Corp is up 5%.

Who Moved

291 names moved on volume this week. A good number of the names came in the Financial and Electronic Technology sector.  At the country level, HK/China made up one third of the volume spikes. On the positive side, Jindal Steel and Power is up 26%, HNA Holding Group is up 22% and AEON (Malaysia) is up 24%. On the other side, Sun Art Retail is down 19%, GeniuS Electronic Optical is down 13% and Season Pacific Holdings is down 13%.

Summary

Asia ex Japan Factor Performance

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What Worked Japan - 24 Feb 2017 - Most factors insignificant, short-term momentum names hurt

What Worked

Interesting week. With TOPIX basically flat, none of the Value or Growth factors stood out this week. There was a slight selloff in high ROIC names. Nissan Chemical Industries (4021) was down 7%, Tokuyama Corp (4043) was down 6% and Taiheiyo Cement Corp (5233) was down 6%.

Momentum, particularly short-term momentum, names also did not do well this week. Daifuku (6383) was down 4%, Mitsui Mining and Smelting (5706) was down 5% and Daido Steel (5471) was down 4%. All other factors were insignificant this week.

Who Moved

42 names moved on volume this week. The volume spikes look to be spread across all sectors. On the positive side, Toyo Tire & Rubber is up 25%, Mitsui Mining and Smelting is up 19% and MinebeaMitsumi is up 19%. On the other side, Iida Group (3291)is down 11%, Nikon is down 10% and Asics Corp (7936) is down 9%.

Summary

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What Worked Australia - 24 Feb 2017 - Dividends strong with ROIC, 12M Momentum still off

What Worked

While Trailing PER managed to stay in the positive this week, Forward PER just ticked over into the positive, but still provided +2.5% on a long/short basis, compared to the market being down -1.2%. Looking at the individual quintiles for forward PER, the top and bottom went in the direction a value investor would hope they would – cheaper names going up, more expensive names down. The lack of IC strength this week was primarily driven by the middle ground of PER, throwing off the correlations. At midday today, there was not a lot of factor driven direction in the market, however a pick up into the end of the day saw the emergence of some clarity.

Forward Dividend Yield and ROIC (Trailing PER just made it…) were the only signal this week to push into our “worth looking at” territory of ±10.0%. It was a pretty even-sided bet this week in the Dividend yield space, with lower yielding names under-performing almost as much as the higher yielding names out-performed. Higher yielding names doing well this week included Nine Entertainment (NEC, +6.2%), Crown Resorts (CWN, +6.7%) and Asaleo Care (AHY, +10.4%). Lower yielding names were punished, among them Aconex (ACX, -10.8%), Australian Agricultural Company (AAC, -3.3%) and Galaxy Resources (GXY, -3.7%). The numbers for ROIC were being largely driven by the middle ground, although the top and tail did show an uptick in the higher return names, it was the low ROIC names that really drove the numbers.

Who Moved

Volumes still getting stronger around reporting in the Aussie market, with 36 names from the benchmark moving on significantly higher than normal volumes. Those closing the week lower included iSentia Group (ISD, -39.9%), Ardent Leisure Group (AAD, -22.8%) and WorleyParsons (WOR, -18.7%). On the other side, Seven Group Holdings (SVW, +10.4%), Monadelphous Group (MND, +10.0%) and Tassal Group (TGR, +9.5%) all finished the week in the positive and well outperforming the index.

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Summary

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What Worked Asia - 17 Feb 2017 - More than 400 names moved on Volume in Asia this week

What Worked Large-cap names and Value did well in China this week as low Debt to Equity names were hurt. Hisense Kelon Electrical Holdings is up 17% and Beijing Enterprises Clean Energy is up 15%. Nothing stood out in Hong Kong.  Names down over the last month bounced up in South Korea. EO Technics is up 12% and Hankook Tire is up 8%. In Taiwan there was a slight selloff in Size and Quality names. Win Semiconductors is up 24% and General Interface Solution is up 13%.

In India there was a slight move into Size and away from high Beta names. Tata Motors is down 11% and Advanced Enzyme Technologies is down 12%. Growth names were hurt in Singapore this week. Hutchison Port Holdings is down 13% and Japfa is down 4% this week. Low PBR and Momentum names did well in the Philippines this week.

Who Moved – A very high 404 names moved on volume this week. All the volume spikes were spread across the region. However a quarter of the volume spikes came in the Financial Sector. On the positive side, PT Medco Energi Internassional is up 64%, Goldin Financial Holdings is up 50% and Formosa Sumco Technology is up 40%. On the other side, Luen Wong Group is down 28%, PChome Online is down 15% and Season Pacific Holding is down 18%.

Summary

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