'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. 

Thematic (Sector/Industry)

RELATIVE PRICE SCORE - The Japan Analytics' Relative Price Score (RPS) is a measure of stock price performance relative to the index (TOPIX) and is calculated monthly since listing and daily for the last 260 trading days. The score is based on the mean absolute deviation of the relative stock price and is calculated by comparing each monthly or daily deviation with the mean. Scores can be either negative or positive, however, as all companies are now on a comparable scale, outliers and changes can reveal short-term and long-term trading opportunities. In addition, company data is aggregated into Peer Group and Sectors Relative Price Scores which can be useful for sector allocation and timing. 
MARKET POLARISATION -  The percentage of the market that is either a positive or negative outlier also tends to be indicative of significant market moves. Currently, the percentage of companies that are Relative Price Score positive outliers it is a 27-year high at 4.4% while the percentage of negative outliers is at a 15-year high at 2.1%. The last period when the combined percentage of outliers exceeded the current level of 6% was during the TMT 'bubble' of 2000-1. In the past, such periods of extreme market concentration, especially in the positive outliers, have rarely persisted for more than one quarter and have usually coincided with market peaks. It remains to be seen if this time is different. 
THE "J NIFTY-FIFTY" - The momentum-driven concentration in the 50 most over-priced Japanese growth stocks has produced an average one-year ‘Nifty-Fifty’ performance of 60%. For portfolio managers willing to go along for this ride, the result has been a career-defining period of relative glory while value-orientated peers have suffered another year in the performance 'doghouse'.  The last chapter of this tale requires no spoiler alert. Currently, twenty-eight of our fifty have negative of flat earnings momentum, and eighteen have seen a decline in Relative Price Score in the last month. We look for further downside ahead in earnings and price momentum and will use the RPS as a guide to which Sectors, Peer Groups and companies are most at risk of price correction and suggest some oversold opportunities as replacements.
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 SECTOR RECOMMENDATIONS 
LONG
Healthcare • Energy • Other Commercial Products • Utilities • Information Technology
SHORT
Multi-Industry • Metals • Chemicals • Autos • Machinery • Banks • Consumer Services
<hr>
PEER GROUP RECOMMENDATIONS
LONG
Commercial Printing Services • Electric Power Utilities
SHORT
Musical Instruments • Personal Products • Management Consulting Services 
Amusement Parks &amp; Arcades 
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COMPANY RECOMMENDATIONS
LONG
<a href="https://www.smartkarma.com/entities/19388" target="_blank" data-smartkarma-citation="entities:19388:1">Dai Nippon Printing (7912 JP)</a> • <a href="https://www.smartkarma.com/entities/14574" target="_blank" data-smartkarma-citation="entities:14574:1">Chubu Electric Power (9502 JP)</a>
SHORT
<a href="https://www.smartkarma.com/entities/5718" target="_blank" data-smartkarma-citation="entities:5718:1">Shiseido (4911 JP)</a> • <a href="https://www.smartkarma.com/entities/4126" target="_blank" data-smartkarma-citation="entities:4126:1">Lasertec (6920 JP)</a> • <a href="https://www.smartkarma.com/entities/4622" target="_blank" data-smartkarma-citation="entities:4622:1">Funai Soken (9757 JP)</a> 
 <a href="https://www.smartkarma.com/entities/10524" target="_blank" data-smartkarma-citation="entities:10524:1">Yume No Machi Souzou Iinkai (2484 JP)</a> • <a href="https://www.smartkarma.com/entities/17841" target="_blank" data-smartkarma-citation="entities:17841:1">Yamaha (7951 JP)</a>
<hr>
RELATIVE PRICE SCORE PORTFOLIOS
Two following insights in the coming week will focus on constructing long and short portfolios based on Relative Price Score outliers.

RELATIVE PRICE SCORE - The Japan Analytics' Relative Price Score (RPS) is a measure of stock price performance relative to the index (TOPIX) and is calculated monthly since listing and daily for the last 260 trading days. The score is based on the mean absolute deviation of the relative stock price and is calculated by comparing each monthly or daily deviation with the mean. Scores can be either negative or positive, however, as all companies are now on a comparable scale, outliers and changes can reveal short-term and long-term trading opportunities. In addition, company data is aggregated into Peer Group and Sectors Relative Price Scores which can be useful for sector allocation and timing. 
MARKET POLARISATION -  The percentage of the market that is either a positive or negative outlier also tends to be indicative of significant market moves. Currently, the percentage of companies that are Relative Price Score positive outliers it is a 27-year high at 4.4% while the percentage of negative outliers is at a 15-year high at 2.1%. The last period when the combined percentage of outliers exceeded the current level of 6% was during the TMT 'bubble' of 2000-1. In the past, such periods of extreme market concentration, especially in the positive outliers, have rarely persisted for more than one quarter and have usually coincided with market peaks. It remains to be seen if this time is different. 
THE "J NIFTY-FIFTY" - The momentum-driven concentration in the 50 most over-priced Japanese growth stocks has produced an average one-year ‘Nifty-Fifty’ performance of 60%. For portfolio managers willing to go along for this ride, the result has been a career-defining period of relative glory while value-orientated peers have suffered another year in the performance 'doghouse'.  The last chapter of this tale requires no spoiler alert. Currently, twenty-eight of our fifty have negative of flat earnings momentum, and eighteen have seen a decline in Relative Price Score in the last month. We look for further downside ahead in earnings and price momentum and will use the RPS as a guide to which Sectors, Peer Groups and companies are most at risk of price correction and suggest some oversold opportunities as replacements.

 SECTOR RECOMMENDATIONS 
LONG
Healthcare • Energy • Other Commercial Products • Utilities • Information Technology
SHORT
Multi-Industry • Metals • Chemicals • Autos • Machinery • Banks • Consumer Services

PEER GROUP RECOMMENDATIONS
LONG
Commercial Printing Services • Electric Power Utilities
SHORT
Musical Instruments • Personal Products • Management Consulting Services 
Amusement Parks &amp; Arcades 

COMPANY RECOMMENDATIONS
LONG
Dai Nippon Printing (7912 JP) • Chubu Electric Power (9502 JP)
SHORT
Shiseido (4911 JP) • Lasertec (6920 JP) • Funai Soken (9757 JP) 
 Yume No Machi Souzou Iinkai (2484 JP) • Yamaha (7951 JP)

RELATIVE PRICE SCORE PORTFOLIOS
Two following insights in the coming week will focus on constructing long and short portfolios based on Relative Price Score outliers.

Japan: Most Overbought & Most Oversold - The Relative Price Score

Doing bespoke work since 2002....., Custom Products Group

Patrick Hansen

Doing bespoke work since 2002.....

Custom Products Group

Custom Products was started 14 years ago at Lehman Brothers by current co-founder Patrick Hansen, CFA. After 3 years at Lehman, Patrick moved the team to Macquarie Securities where Simon Rigney (co-founder) joined. 3 years ago we took Custom Products independent. 

Our core strength can be summed up three words. 1- Customization - we have very little off the shelf products and most work is done on a one on one bespoke basis. 2- Speed - We pride ourselves in our ability to get requests back to the client very quickly. 3- Confidentiality - We do not redistribute. There is no grace period where we wait a week and then mass blast. Any request stops with that client.

I know we usually focus on Value in Japan, but sometimes it is worth looking for Growth names. We first limited the universe to names with mkt-cap below ¥200bn. We then screened for names that had positive YoY quarterly growth every quarter for the last 3 years. 98 names made that list.We cut the list down to 24 names by limiting it to names that have also had positive quarterly OP  growth 12 out of the last 13 quarters.<h2>Screen Results </h2><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/029/859/original/2.png?1500323285" class="editor-image img-responsive" data-smartkarma-image-id="29859"></figure><div class="content-caption">Source: Custom Products</div>As you can see from the table above…

I know we usually focus on Value in Japan, but sometimes it is worth looking for Growth names. We first limited the universe to names with mkt-cap below ¥200bn. We then screened for names that had positive YoY quarterly growth every quarter for the last 3 years. 98 names made that list.We cut the list down to 24 names by limiting it to names that have also had positive quarterly OP  growth 12 out of the last 13 quarters.Screen Results Source: Custom ProductsAs you can see from the table above…

Japan

Funai Soken Holdings Inc. provides management and financial consulting services.  The Company, through its subsidiaries, also operates logistics information, publishing, and real estate businesses.

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Funai Soken Holdings (9757 JP)

Japan: Most Overbought & Most Oversold - The Relative Price Score

RELATIVE PRICE SCORE - The Japan Analytics' Relative Price Score (RPS) is a measure of stock price performance relative to the index (TOPIX) and is...

Campbell Gunn

Small-Cap Growth Names in Japan....

I know we usually focus on Value in Japan, but sometimes it is worth looking for Growth names. We first limited the universe to names with mkt-cap...

Custom Products Group

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