What Worked Australia - 24 Mar 2017 - Beta and all momentum hurt

What Worked

This week saw a swing away from Beta and low Quality names, and a move away from Momentum, both price and earnings revisions. In terms of “What Worked”, well, nothing did. Not a single factor managed to post a Rank IC above our working threshold of 10%. While Value signals were also off, this was largely due to the reversal in momentum, with more expensive names becoming more expensive, while the cheaper end of the market remained relatively flat. While the higher beta names stayed in line with the benchmark, it was the low beta names that really rocketed this week. Among these were ResMed (RMD, +1.3%), Viva Energy REIT (VVR, +2.5%) and Growthpoint Properties (GOZ, +2.5%).

Lower Quality names, measured by higher Debt-To-Equity, came off this week. Names hurt included Navitas Limited (NVT, -0.7%), Telstra (TLS, -3.5%) and James Hardie Industries (JHX, -0.1%). In terms of Sectors, Finance names took a beating this week, with most of the banks down compared to last week.

Who Moved

22 names managed to move on volume this week, and the spikes were distributed across the sectors. On the negative side of things, Fletcher Building (FBN, -11.5%), Evolution Mining (EVN, -8.9%) and Harvey Norman (HVN, -7.9%) were amongst the hardest hit, while Spotless Group (SPO, +46.6%), Blackmores Limited (BKL, +19.4%) and SKY Network Television (SKT, +7.8%) rounded off this week's winners end up on significant volume.


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