What Worked Japan - 05 Aug 2016 - Crazy volume this week as factors move at the extremes

What Worked – Usually during Earning season factors stop working and it is pretty boring. However that is not the case this season and the movements are happening at the extremes and on volume. If you look at the Quintile spreads (top 20% - bottom 20%) you can really see the movements this week. There was a good selloff in names that were up over the last 12 months. The quintile spread is negative 4%. Miura (6005) was down 16%, Morinaga Milk (2264) was down 9% and MEGMILK SNOW BRAND (2270) was down 11%.

High Beta names did well this week with a quintile spread of 3%. Mitsubishi Corp (8058) was up 11%, Mitsubishi UFJ Lease (8593) was up 7% and Rohm (6963) was up 7% this week. Value, particularly high dividend yield and low PBR, also did well this week.  Chiba Bank (8331) was up 6%, Mitsubishi Gas Chemical (4182) was up 5% and Jafco (8595) was up 3%. However, high ROE names saw a pretty good sell off this week. TOTO (5332) was down 16% and Meiji Holdings (2269) was down 13%.

Who Moved – Crazy volume this week. 108 names moved on volume. That is good number of volume spikes for any week and an insane number for Earnings season. 20% of TOPIX 500 moved on volume this week and a third of those were in the Banks. On the positive side, Glory (6457) was up 16%, Familymart (8028) was up 15% and UNY Group0 (8270) was up 15% on strong volume. On the negative side, Nihon Kohden (6849) was down 18%, Ushio (6925) was down 16% and San-in Godo Bank (8381) was down 15%.


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