What Worked Australia - 03 Feb 2017 - Short term reversal, Beta hit

What Worked – This week saw most of the values signals flat and without direction, bringing the average performance for value metrics over the first month of 2017 to slightly down, but not much off flat. While momentum has had a reasonable run for the start of the year, this week saw a reversal in the shorter-term momentum metrics, while long term (12 Month) momentum continued to run, producing a compound return spread over the last month of +4.6%, compared to the benchmark return of -1.9%. Names up strongly last week that reverted this week included Sandfire Resources (SFR, -2.5%), Orocobre Limited (ORE, -13.6%) and Altium (ALU, -2.0%). This was a little one sided though, with names down last week also not faring well this week. This contrasted with the long-term momentum names who continued their run this week. Amongst these were Resolute Mining (RSG, +8.4%), Fortescue Metals (FMG, +2.0%) and Downer EDI (DOW, +9.4%).

Size also performed well this week, although it was driven by an underperformance in the small cap space rather than larger end of the benchmark doing anything special. OFX Group (OFX, -23.3%), Virtus Health (VRT, -16.7%) and Aconex (ACX, -48.3%) all down heavily this week. Beta also saw a selloff this week, but not really being driven by the small cap space. Some big, high beta names also took a hit this week, amongst them were Santos Limited (STO, -2.9%), Whitehaven Coal (WHC, -2.4%) and Origin Energy (ORG, -2.5%). On the other side of that trade though, low beta names produced more positive returns than negative this week.

Who Moved – 14 names from the benchmark moved on volume this week, and only one of those managed to end the week higher. Woolworths Limited (WOW, +0.5%) was the only name that inched higher on significantly higher than normal volumes, while the other side of the market was somewhat more brutal. Aconex (ACX, -48.3%), Virtus Health (VRT, -16.7%), Orocobre Limited (ORE, -13.6%) and Ansell Limited (ANN, -9.9%) all lost big this week, and all backed by very high volumes.

Please take a look and let me know if we can do anything else.


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