What Worked – Despite TOPIX down just 1%, Value was destroyed. FY1 PE came in with a negative 35% IC. While PE really has not worked since the end of February it has only done this poorly once in the last 2 years. Nachi-Fujikoshi was down 12%, Daicel Corp was down 10% and Fuji Heavy Industries was down 9%. High Beta also names took a good hit this week. Along with the Value factors, Beta has not really done well since February and those were just sporadic bounces. Beta has not consistently done well since last October. This week NTN Corp was down 9%, Mazda was down 8% and Toyota Boshoku was down 9%.
Momentum continued to work, but this is negative momentum. Names down over the last year continued to go down. Mitsui Engineering & Shipbuilding was down 8% and IHI Corp was down 8%. Names with a high % of Retail Investors and OP growth names seem to be the only names that did well this week. Retail names have pretty much consistently worked since the end of last year. Cosmo Energy was up 11%, Sumitomo Dainippon Pharma was up 9% and Maruha Nichiro was up 13%.
Who Moved – Not a lot of names moved on volume this week. Only 13 names had volume more than 1 standard deviation above the mean this week. On the positive side, Kewpie Corp was up 16%, Toyobo was up 13% and Azbil Corp was up 5%. On the other side, Nachi-Fujikoshi was down 12%, Toyota Boshoku was down 9% and Hokuhoku Financial was down 4%..
PDF Report available here: Download