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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