What Worked Japan - 15 Apr 2016 - Value bounced hard this week but was not supported by strong Volume

What Worked – After approx. 5 weeks of underperformance, low PBR and FY1 PE names bounced hard this week. The last time Value names did this well was in October 2015. After the October bounce, Value outperformed for the next month or so. However, after the most recent Value Bounce, Value immediately went back to underperforming. So not sure if this is signal in change or just a 1-week anomaly. Low PBR names that moved the most were Kobe Steel up 16%, Mitsui OSK up 16% and NTN Corp up 15%.

As with Value, Beta dominated this week as well. This was the best week for Beta in the last 2 years. High Beta names that did well were Hitachi Metals up 15%, Nippon Steel & Sumitomo Metal up 15% and Fukuoka Financial up 15%. 12-Month momentum came in with an incredible negative 57% Information Coefficient.  Names that were down over the last year that bounced up the most were Kobe Steel up 16%, Minebea up 16% and JFE Holdings up 14%. Growth suffered at the hands of Value. Growth names that were hurt this week were Tsuruha Holdings down 1% and Temp Holdings down 2%.

Who Moved – Unfortunately as with most of the recent bounces, this week’s bounce was not based on volume. Only 16 names bounced on Volume this week. On the positive side, DMG Mori was up 16%, Komeri was up 14% and Kawasaki Heavy Industries was up 12%. On the other side, Izumi was down 5%, Shimachu was down 4% and ITO EN was down 3%.


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