'Quantamental' Japan Specialist, LightStream Research

Campbell Gunn

'Quantamental' Japan Specialist

ja research

ja research is an independent research platform focused exclusively on Japanese equities. Leveraging data and graphic analysis provided by Japan Analytics, we provide insights on small and medium-sized companies that have been ignored by the sell-side as well as challenging conventional wisdom on larger companies. We also offer analyst and corporate access, the latter with translation if required. 

Quantitative Analysis

• RELATIVE PRICE SCORE •<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/178/original/2019-09-06_09-42-35.png?1567730614" class="editor-image img-responsive" data-smartkarma-image-id="98178"></figure><div class="content-caption">Source: Japan Analytics</div>INTRODUCTION - The Relative Price Score (RPS) is a measure of stock price performance relative to TOPIX calculated by comparing the current deviation with the mean absolute deviation of monthly and daily relative share prices. As all companies are thus on a comparable scale, 'Overbought' and 'Oversold' outliers and changes in scoring can reveal short-term and longer-term trading opportunities. Company outlier thresholds are set at +4 &amp; -2 and equate to the top and bottom first-to-second percentiles of historical observations from which mean reversion takes a matter of months. RPS outliers with a Score of greater than 10.0 are rare outside of the 2000 tech 'bubble'. <a href="https://www.smartkarma.com/entities/lasertec-corp" target="_blank" data-smartkarma-citation="entities:4126:1" rel="noopener">Lasertec (6920 JP)</a> has just joined <a href="https://www.smartkarma.com/entities/goldwin-inc" target="_blank" data-smartkarma-citation="entities:410:1" rel="noopener">Goldwin (8111 JP)</a> in being only the second large-cap RPS 'ten-baggers' in the last twenty years. <div class="content-highlight">This insight updates our list of Overbought and Oversold companies, reviews the best and worst-performing companies in terms of RPS over the last three months and adds some specific comments on stocks on each category.</div><div></div><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/046/original/2019-09-05_12-46-46.png?1567655232" class="editor-image img-responsive" data-smartkarma-image-id="98046"></figure><div class="content-caption">Source: Japan Analytics</div>STATISTICS - Currently, of the 3,706 listed companies for which monthly RPS data is available, 81 companies are 'Overbought', and 133 are 'Oversold' - 2.45% and 3.8%, respectively of the total. For the 737 companies with a market capitalisation of over ¥100b, there are 44 'Overbought' and 37 'Oversold' companies, 6% and 5%, respectively.<hr>• RELATIVE PRICE SCORE 'TOPS' •<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/055/original/2019-09-05_13-06-30.png?1567656423" class="editor-image img-responsive" data-smartkarma-image-id="98055"></figure><div class="content-caption">Source: Japan Analytics</div>RPS 'TOPS' - In the last two years, 388 companies have achieved an RPS of '4' or more and the average Overbought 'persistence' is 42 days. 1.26% of the total of 1.94 million traded stock days were by companies with an RPS of over 4. For companies with a market capitalisation higher than ¥100b, the numbers are 95 companies and 74 days - demonstrating the superior persistence of large capitalisation companies in this regard. The chart above highlights the track record of all 95 large caps which are some point were Overbought in the last twenty-four months and illustrates the extreme outlier status of Goldwin and Lasertec.RPS NEGATIVE MEAN REVERSION - Some examples of RPS mean reversion in the last three months have been <a href="https://www.smartkarma.com/entities/suzuken-co-ltd" target="_blank" data-smartkarma-citation="entities:14996:1" rel="noopener">Suzuken (9987 JP)</a>, <a href="https://www.smartkarma.com/entities/infomart-corp" target="_blank" data-smartkarma-citation="entities:1301:1" rel="noopener">Infomart (2492 JP)</a>, <a href="https://www.smartkarma.com/entities/nichirei-corp" target="_blank" data-smartkarma-citation="entities:7168:1" rel="noopener">Nichirei (2871 JP)</a>, and <a href="https://www.smartkarma.com/entities/fancl-corp" target="_blank" data-smartkarma-citation="entities:15862:1" rel="noopener">Fancl (4921 JP)</a>. <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/096/original/2019-09-05_16-25-39.png?1567668352" class="editor-image img-responsive" data-smartkarma-image-id="98096"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/097/original/2019-09-05_16-27-09.png?1567668441" class="editor-image img-responsive" data-smartkarma-image-id="98097"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/098/original/2019-09-05_16-28-42.png?1567668548" class="editor-image img-responsive" data-smartkarma-image-id="98098"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/099/original/2019-09-05_16-30-29.png?1567668640" class="editor-image img-responsive" data-smartkarma-image-id="98099"></figure><div class="content-caption">Source: Japan Analytics</div><hr>• RELATIVE PRICE SCORE 'BOTTOMS' •<div>
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/056/original/2019-09-05_13-12-52.png?1567656806" class="editor-image img-responsive" data-smartkarma-image-id="98056"></figure><div class="content-caption">Source: Japan Analytics</div>
</div>RPS 'BOTTOMS' - 259 companies have seen their RPS fall to '-2' or below in the last two years, and the average Oversold 'persistence' is 83 days. 1.46% of the total of 1.94 million traded stock days were by companies with an RPS of less than -2.  For larger capitalisation companies, the numbers are 79 companies and 94 days. The chart above highlights the track record of the 79 large caps which are some point were Oversold in the last twenty-four months and illustrates the strong recovery in the REITs Sector and the continuing demise of Regional Banks.RPS POSITIVE MEAN REVERSION - Some recent examples of positive RPS mean reversions are <a href="https://www.smartkarma.com/entities/otsuka-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:12292:1" rel="noopener">Otsuka Holdings (4578 JP) </a>and <a href="https://www.smartkarma.com/entities/line-corp" target="_blank" data-smartkarma-citation="entities:22772:1" rel="noopener">LINE (3938 JP)</a>.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/100/original/2019-09-05_16-35-47.png?1567668972" class="editor-image img-responsive" data-smartkarma-image-id="98100"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/098/102/original/2019-09-05_16-36-50.png?1567669047" class="editor-image img-responsive" data-smartkarma-image-id="98102"></figure><div class="content-caption">Source: Japan Analytics</div>As we noted in our June <a href="https://www.smartkarma.com/insights/japan-relative-price-scores-overbought-oversold-companies-june-2019" target="_blank" data-smartkarma-citation="insights:30393" rel="noopener">Insight: -</a><blockquote><a href="https://www.smartkarma.com/entities/line-corp" target="_blank" data-smartkarma-citation="entities:22772:1" rel="noopener">LINE (3938 JP)</a>- Line has performed poorly since being featured in last year's Sohn Conference and has had negative and worsening Operating Income for each of the previous five quarters. Although there is a possibility of a double-bottom RPS 'bounce' and the company is now the most-Oversold non-financial large-cap over one year, there are no fundamental reasons to own the shares.   </blockquote>In the DETAIL section below, we list the current Very Overbought (RPS&gt;5), Too-Late-To-Buy (RPS &gt;4&lt;5) and Oversold (RPS &lt;-2) stocks as well as the most substantial three-month positive and negative changes in RPS.

• RELATIVE PRICE SCORE •Source: Japan AnalyticsINTRODUCTION - The Relative Price Score (RPS) is a measure of stock price performance relative to TOPIX calculated by comparing the current deviation with the mean absolute deviation of monthly and daily relative share prices. As all companies are thus on a comparable scale, 'Overbought' and 'Oversold' outliers and changes in scoring can reveal short-term and longer-term trading opportunities. Company outlier thresholds are set at +4 &amp; -2 and equate to the top and bottom first-to-second percentiles of historical observations from which mean reversion takes a matter of months. RPS outliers with a Score of greater than 10.0 are rare outside of the 2000 tech 'bubble'. Lasertec (6920 JP) has just joined Goldwin (8111 JP) in being only the second large-cap RPS 'ten-baggers' in the last twenty years. This insight updates our list of Overbought and Oversold companies, reviews the best and worst-performing companies in terms of RPS over the last three months and adds some specific comments on stocks on each category.Source: Japan AnalyticsSTATISTICS - Currently, of the 3,706 listed companies for which monthly RPS data is available, 81 companies are 'Overbought', and 133 are 'Oversold' - 2.45% and 3.8%, respectively of the total. For the 737 companies with a market capitalisation of over ¥100b, there are 44 'Overbought' and 37 'Oversold' companies, 6% and 5%, respectively.• RELATIVE PRICE SCORE 'TOPS' •Source: Japan AnalyticsRPS 'TOPS' - In the last two years, 388 companies have achieved an RPS of '4' or more and the average Overbought 'persistence' is 42 days. 1.26% of the total of 1.94 million traded stock days were by companies with an RPS of over 4. For companies with a market capitalisation higher than ¥100b, the numbers are 95 companies and 74 days - demonstrating the superior persistence of large capitalisation companies in this regard. The chart above highlights the track record of all 95 large caps which are some point were Overbought in the last twenty-four months and illustrates the extreme outlier status of Goldwin and Lasertec.RPS NEGATIVE MEAN REVERSION - Some examples of RPS mean reversion in the last three months have been Suzuken (9987 JP), Infomart (2492 JP), Nichirei (2871 JP), and Fancl (4921 JP). Source: Japan Analytics• RELATIVE PRICE SCORE 'BOTTOMS' •
Source: Japan Analytics
RPS 'BOTTOMS' - 259 companies have seen their RPS fall to '-2' or below in the last two years, and the average Oversold 'persistence' is 83 days. 1.46% of the total of 1.94 million traded stock days were by companies with an RPS of less than -2.  For larger capitalisation companies, the numbers are 79 companies and 94 days. The chart above highlights the track record of the 79 large caps which are some point were Oversold in the last twenty-four months and illustrates the strong recovery in the REITs Sector and the continuing demise of Regional Banks.RPS POSITIVE MEAN REVERSION - Some recent examples of positive RPS mean reversions are Otsuka Holdings (4578 JP) and LINE (3938 JP).Source: Japan AnalyticsAs we noted in our June Insight: -LINE (3938 JP)- Line has performed poorly since being featured in last year's Sohn Conference and has had negative and worsening Operating Income for each of the previous five quarters. Although there is a possibility of a double-bottom RPS 'bounce' and the company is now the most-Oversold non-financial large-cap over one year, there are no fundamental reasons to own the shares.   In the DETAIL section below, we list the current Very Overbought (RPS&gt;5), Too-Late-To-Buy (RPS &gt;4&lt;5) and Oversold (RPS &lt;-2) stocks as well as the most substantial three-month positive and negative changes in RPS.

🇯🇵 Japan • September Relative Price Scores - Life at the Poles Part 2: Companies

Thematic (Sector/Industry)

RELATIVE PRICE SCORE - The Relative Price Score (RPS) measures stock price performance relative to TOPIX and is calculated by comparing the current deviation with the mean absolute deviation of monthly and daily relative share prices. As all companies are, as a result, on a comparable scale, 'overbought' and 'oversold' outliers and changes in scoring can reveal short-term and longer-term trading opportunities. In addition, company data is cap-weight aggregated into Peer Group and Sector Relative Price Scores which can be used for allocation and timing. This insight will cover Sectors and Peer Groups; a forthcoming insight will update the list of overbought and oversold companies.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/063/735/original/2018-09-11SML2.png?1536816473" class="editor-image img-responsive" data-smartkarma-image-id="63735"></figure><div class="content-caption">Source: Japan Analytics</div>OVERBOUGHT &amp; OVERSOLD SECTORS - Currently, three Sectors (Commercial Services, Consumer Services and Healthcare) are overbought, and two (Banks and Utilities) are oversold in terms of Relative Price Score.<div class="content-highlight">SECTOR RECOMMENDATIONS - Our most-preferred sectors remain Energy, Healthcare, Telecommunications, Other Commercial Products and Information Technology. Least-preferred sectors are Metals, Chemicals, Machinery, Autos, Construction, Real Estate, Building Materials, Food, Beverages &amp; Tobacco and Utilities. Our sector recommendations have an implicit 4 'unit' market short by being overweight five sectors and underweight nine and have 'outperformed' (gross of implementation costs) by 11.3% over the last three months and by 3.5% over the last month.</div><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/063/737/original/2018-09-13_14-33-09.png?1536816871" class="editor-image img-responsive" data-smartkarma-image-id="63737"></figure><div class="content-caption">Source: Japan Analytics</div>OVERBOUGHT PEER GROUPS - Currently, seventeen Peer Groups are 'overbought'.  Nine Peer Groups that were overbought at the end of May are no longer so - Beers, Wines &amp; Spirits, Paints, Safety Equipment, Wholesale-Household Equipment, Wholesale-Transport Equipment, Real Estate-Other Services, Software-Accounting &amp; Finance, Accounting Services and Investment Banking Services. Four Peer Groups have become overbought in the last three months - Telecom Engineering, IT Systems-Financial, Software-Development Services and Employment &amp; Staffing Services.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/063/738/original/2018-09-13_14-36-04.png?1536816987" class="editor-image img-responsive" data-smartkarma-image-id="63738"></figure><div class="content-caption">Source: Japan Analytics</div>OVERSOLD PEER GROUPS - Currently ten Peer Groups are 'oversold'. The Kanto Regional Banks and Industrial REITs Peer Groups have become oversold in this period while the Kyushu Regional Banks, Retail REITs and Marine Transportation Peer Groups are no longer oversold. <div class="content-highlight">PEER GROUP RECOMMENDATIONS - Long and short recommendations for both overbought and oversold Peer Groups as well as lists of most and least preferred Peer Groups and suggested longs and shorts for some of each of those are detailed below. </div>

RELATIVE PRICE SCORE - The Relative Price Score (RPS) measures stock price performance relative to TOPIX and is calculated by comparing the current deviation with the mean absolute deviation of monthly and daily relative share prices. As all companies are, as a result, on a comparable scale, 'overbought' and 'oversold' outliers and changes in scoring can reveal short-term and longer-term trading opportunities. In addition, company data is cap-weight aggregated into Peer Group and Sector Relative Price Scores which can be used for allocation and timing. This insight will cover Sectors and Peer Groups; a forthcoming insight will update the list of overbought and oversold companies.Source: Japan AnalyticsOVERBOUGHT &amp; OVERSOLD SECTORS - Currently, three Sectors (Commercial Services, Consumer Services and Healthcare) are overbought, and two (Banks and Utilities) are oversold in terms of Relative Price Score.SECTOR RECOMMENDATIONS - Our most-preferred sectors remain Energy, Healthcare, Telecommunications, Other Commercial Products and Information Technology. Least-preferred sectors are Metals, Chemicals, Machinery, Autos, Construction, Real Estate, Building Materials, Food, Beverages &amp; Tobacco and Utilities. Our sector recommendations have an implicit 4 'unit' market short by being overweight five sectors and underweight nine and have 'outperformed' (gross of implementation costs) by 11.3% over the last three months and by 3.5% over the last month.Source: Japan AnalyticsOVERBOUGHT PEER GROUPS - Currently, seventeen Peer Groups are 'overbought'.  Nine Peer Groups that were overbought at the end of May are no longer so - Beers, Wines &amp; Spirits, Paints, Safety Equipment, Wholesale-Household Equipment, Wholesale-Transport Equipment, Real Estate-Other Services, Software-Accounting &amp; Finance, Accounting Services and Investment Banking Services. Four Peer Groups have become overbought in the last three months - Telecom Engineering, IT Systems-Financial, Software-Development Services and Employment &amp; Staffing Services.Source: Japan AnalyticsOVERSOLD PEER GROUPS - Currently ten Peer Groups are 'oversold'. The Kanto Regional Banks and Industrial REITs Peer Groups have become oversold in this period while the Kyushu Regional Banks, Retail REITs and Marine Transportation Peer Groups are no longer oversold. PEER GROUP RECOMMENDATIONS - Long and short recommendations for both overbought and oversold Peer Groups as well as lists of most and least preferred Peer Groups and suggested longs and shorts for some of each of those are detailed below. 

Japan: Most Overbought and Oversold - Relative Price Score Update - Sectors & Peer Groups

Director, Pearl Hill Advisors

Nicholas Tanner

Director

Pearl Hill Advisors

Equity Bottom-Up

Watches made Y14.4bn out of last year’s total Y21.5bn operating profit. Margins came in at 8.9%. This was a poor year, Y20.5bn (out of a total of Y28.5bn) was initially expected. However after 1Q this has been revised down to Y15bn. The problem first and foremost is with the movement business. This is about 20% of watch sales with OPM of over 20% (level undisclosed). They had expected shipments to be flat after a flat year to 3/16 movement sales fell 15%. High level of inventory in the system…

Watches made Y14.4bn out of last year’s total Y21.5bn operating profit. Margins came in at 8.9%. This was a poor year, Y20.5bn (out of a total of Y28.5bn) was initially expected. However after 1Q this has been revised down to Y15bn. The problem first and foremost is with the movement business. This is about 20% of watch sales with OPM of over 20% (level undisclosed). They had expected shipments to be flat after a flat year to 3/16 movement sales fell 15%. High level of inventory in the system…

Citizen (7762) - At Best a Hold, Little to Attract

Making sense of the Global Market, Euromonitor International Ltd.

Yu Mitsuhashi

Making sense of the Global Market

Euromonitor International Ltd.

We are a global market research company focused on industries, countries, economies and consumers worldwide. Our cross-country comparable research helps your organisation identify opportunities and develop growth strategies in countries and regions across the globe. With offices around the world, 1,200 analysts in 100 countries and market research on every key trend and driver, we give you powerful access to the real story behind consumer change.

In this second of a series of articles examining the FashionTech scene in Japan, Euromonitor International looks at Japanese FashionTech companies operating in BtoC areas, particularly via sharing economy and personalisation. For the first article, please click <a href="https://www.smartkarma.com/insights/can-tech-save-the-declining-japanese-apparel-industry-fashiontech-series-1-3" target="_blank">here</a>.

In this second of a series of articles examining the FashionTech scene in Japan, Euromonitor International looks at Japanese FashionTech companies operating in BtoC areas, particularly via sharing economy and personalisation. For the first article, please click here.

Can Tech Save The Declining Japanese Apparel Industry? Fashion-Tech Series (2/3)

Japan

Citizen Watch Co., Ltd. operates watch production businesses. The Company produces electronic watches and other products. Citizen Watch conducts businesses in Japan.

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Citizen Watch (7762 JP)

🇯🇵 Japan • September Relative Price Scores - Life at the Poles Part 2: Companies

• RELATIVE PRICE SCORE •INTRODUCTION - The Relative Price Score (RPS) is a measure of stock price performance relative to TOPIX calculated by...

Campbell Gunn

Japan: Most Overbought and Oversold - Relative Price Score Update - Sectors & Peer Groups

RELATIVE PRICE SCORE - The Relative Price Score (RPS) measures stock price performance relative to TOPIX and is calculated by comparing the current...

Campbell Gunn

Citizen (7762) - At Best a Hold, Little to Attract

Watches made Y14.4bn out of last year’s total Y21.5bn operating profit. Margins came in at 8.9%. This was a poor year, Y20.5bn (out of a total of...

Pearl Hill Advisors

Can Tech Save The Declining Japanese Apparel Industry? Fashion-Tech Series (2/3)

In this second of a series of articles examining the FashionTech scene in Japan, Euromonitor International looks at Japanese FashionTech companies...

Euromonitor International Ltd.

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