'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 - 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. This insight updates our list of overbought and oversold companies reviews the best and worst performing companies by RPS over the last two months and adds some specific comments on stocks on each category.RPS STATISTICS - The Company 'outlier' thresholds are set to "+4" for overbought and "-2" for oversold.  Currently, of the 3,805 listed companies for which monthly data is available, 03 companies are 'Overbought', and 109 are 'Oversold' - 2.7% and 2.9%. Overbought and oversold 'states' account for 0.7% and 1.2%, respectively of the 837,586 months of data covered since October 1990. RPS 'TOPS' - In the last twelve months, 392 companies have achieved an RPS of '4' or greater and have remained at or above that score for an average of 39 trading days or two months. 74% of those companies have seen their RPS fall to below '4'. For companies with a market capitalisation higher than ¥100b, the numbers are 97 companies and 55%, demonstrating the superior persistence of large caps in this regard. Some of the more spectacular examples of RPS mean reversion in recent months have been <a href="https://www.smartkarma.com/entities/18379" target="_blank" data-smartkarma-citation="entities:18379:1">ZOZO (3092 JP)</a>, <a href="https://www.smartkarma.com/entities/7431" target="_blank" data-smartkarma-citation="entities:7431:1">Outsourcing (2427 JP)</a>, <a href="https://www.smartkarma.com/entities/15778" target="_blank" data-smartkarma-citation="entities:15778:1">Pasona (2168 JP)</a>, and just this week and, as flagged <a href="https://www.smartkarma.com/insights/japan-fortnightly-update-lower-low-as-earnings-slow" target="_blank" data-smartkarma-citation="insights:25612">here</a>, <a href="https://www.smartkarma.com/entities/20823" target="_blank" data-smartkarma-citation="entities:20823:1">Nakanishi (7716 JP)</a>.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/577/original/2018-11-13_08-08-33.png?1542064129" class="editor-image img-responsive" data-smartkarma-image-id="69577"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/579/original/2018-11-13_08-09-27.png?1542064233" class="editor-image img-responsive" data-smartkarma-image-id="69579"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/580/original/2018-11-13_08-11-32.png?1542064314" class="editor-image img-responsive" data-smartkarma-image-id="69580"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/582/original/2018-11-13_08-14-23.png?1542064496" class="editor-image img-responsive" data-smartkarma-image-id="69582"></figure><div class="content-caption">Source: Japan Analytics</div>RPS 'BOTTOMS' - 392 companies have seen their RPS fall to '-2' or below and have an average persistence of 44 trading days. 60% of those companies have seen their RPS recover to above '-2'. For larger capitalisation companies, the numbers are 74 companies and 62%. Some of the more spectacular examples of positive RPS mean reversion in recent months have been <a href="https://www.smartkarma.com/entities/840" target="_blank" data-smartkarma-citation="entities:840:1">Japan Post Insurance (7181 JP)</a>, <a href="https://www.smartkarma.com/entities/18871" target="_blank" data-smartkarma-citation="entities:18871:1">Isetan Mitsukoshi (3099 JP)</a>, <a href="https://www.smartkarma.com/entities/564" target="_blank" data-smartkarma-citation="entities:564:1">Sony Financial (8729 JP)</a> and <a href="https://www.smartkarma.com/entities/557" target="_blank" data-smartkarma-citation="entities:557:1">Nippon Paper (3863 JP)</a>.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/597/original/2018-11-13_11-03-27.png?1542074944" class="editor-image img-responsive" data-smartkarma-image-id="69597"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/613/original/2018-11-13_11-33-56.png?1542076457" class="editor-image img-responsive" data-smartkarma-image-id="69613"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/614/original/2018-11-13_11-31-57.png?1542076489" class="editor-image img-responsive" data-smartkarma-image-id="69614"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/616/original/2018-11-13_11-37-26.png?1542076686" class="editor-image img-responsive" data-smartkarma-image-id="69616"></figure><div class="content-caption">Source: Japan Analytics</div>OVERBOUGHT TIMELINE - Our timeline of larger capitalisation companies that have been consistently overbought during the last twelve months showed a market shift - from Technology Hardware <a href="https://www.smartkarma.com/entities/4126" target="_blank" data-smartkarma-citation="entities:4126:1">Lasertec Corp (6920 JP)</a> and Machinery<a href="https://www.smartkarma.com/entities/2458" target="_blank" data-smartkarma-citation="entities:2458:1">Yaskawa Electric (6506 JP)</a> / <a href="https://www.smartkarma.com/entities/10238" target="_blank" data-smartkarma-citation="entities:10238:1">Harmonic Drive Systems (6324 JP)</a> to Personal Products<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/18009" target="_blank" data-smartkarma-citation="entities:18009:1">Kose (4922 JP)</a> / <a href="https://www.smartkarma.com/entities/15862" target="_blank" data-smartkarma-citation="entities:15862:1">Fancl (4921 JP)</a>, Chemicals<a href="https://www.smartkarma.com/entities/4102" target="_blank" data-smartkarma-citation="entities:4102:1">Nissan Chemical (4021 JP)</a> / <a href="https://www.smartkarma.com/entities/635" target="_blank" data-smartkarma-citation="entities:635:1">NOF (4403 JP)</a>, Engineering  <a href="https://www.smartkarma.com/entities/5414" target="_blank" data-smartkarma-citation="entities:5414:1">Kyudenko (1959 JP)</a> / <a href="https://www.smartkarma.com/entities/11556" target="_blank" data-smartkarma-citation="entities:11556:1">Kyowa Exeo (1951 JP)</a>,  Food<a href="https://www.smartkarma.com/entities/11720" target="_blank" data-smartkarma-citation="entities:11720:1">Kikkoman (2801 JP)</a> / <a href="https://www.smartkarma.com/entities/7168" target="_blank" data-smartkarma-citation="entities:7168:1">Nichirei (2871 JP)</a> and Healthcare<a href="https://www.smartkarma.com/entities/24540" target="_blank" data-smartkarma-citation="entities:24540:1">SanBio (4592 JP)</a> / <a href="https://www.smartkarma.com/entities/6634" target="_blank" data-smartkarma-citation="entities:6634:1">Nippon Shinyaku (4516 JP)</a> . We expect at least two-thirds of these companies to have reverted to scores of below '4' in the next six months.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/622/original/2018-11-13_11-56-55.png?1542077868" class="editor-image img-responsive" data-smartkarma-image-id="69622"></figure><div class="content-caption">Source: Japan Analytics</div>OVERSOLD TIMELINE - The evolution of the most oversold has seen the fall and rise of REITs Activa (3279 JP) / <a href="https://www.smartkarma.com/entities/11009" target="_blank" data-smartkarma-citation="entities:11009:1">GLP J-REIT (3281 JP)</a>, Electric Power Utilities Kansai/Chubu/Shikoku/Chugoku/Tokyo to now a more eclectic list including <a href="https://www.smartkarma.com/entities/454" target="_blank" data-smartkarma-citation="entities:454:1">Lixil (5938 JP)</a>, <a href="https://www.smartkarma.com/entities/22846" target="_blank" data-smartkarma-citation="entities:22846:1">LINE (3938 JP)</a> , <a href="https://www.smartkarma.com/entities/637" target="_blank" data-smartkarma-citation="entities:637:1">Toshiba (6502 JP)</a>, <a href="https://www.smartkarma.com/entities/20244" target="_blank" data-smartkarma-citation="entities:20244:1">Hachijuni Bank (8359 JP)</a> , <a href="https://www.smartkarma.com/entities/12285" target="_blank" data-smartkarma-citation="entities:12285:1">Nippon Yusen (9101 JP)</a> and <a href="https://www.smartkarma.com/entities/20528" target="_blank" data-smartkarma-citation="entities:20528:1">Mazda (7261 JP)</a>. As can be seen, oversold mean reversion can take a considerable time. However, <a href="https://www.smartkarma.com/entities/637" target="_blank" data-smartkarma-citation="entities:637:1">Toshiba (6502 JP)</a> and <a href="https://www.smartkarma.com/entities/20244" target="_blank" data-smartkarma-citation="entities:20244:1">Hachijuni Bank (8359 JP)</a> are now both well past their low points.    <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/069/623/original/2018-11-13_11-57-14.png?1542077914" class="editor-image img-responsive" data-smartkarma-image-id="69623"></figure><div class="content-caption">Source: Japan Analytics</div><div class="content-highlight">
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 two-month positive and negative changes in RPS with some brief comments on companies of note.
NB - All data is as of November 12th close.
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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. This insight updates our list of overbought and oversold companies reviews the best and worst performing companies by RPS over the last two months and adds some specific comments on stocks on each category.RPS STATISTICS - The Company 'outlier' thresholds are set to "+4" for overbought and "-2" for oversold.  Currently, of the 3,805 listed companies for which monthly data is available, 03 companies are 'Overbought', and 109 are 'Oversold' - 2.7% and 2.9%. Overbought and oversold 'states' account for 0.7% and 1.2%, respectively of the 837,586 months of data covered since October 1990. RPS 'TOPS' - In the last twelve months, 392 companies have achieved an RPS of '4' or greater and have remained at or above that score for an average of 39 trading days or two months. 74% of those companies have seen their RPS fall to below '4'. For companies with a market capitalisation higher than ¥100b, the numbers are 97 companies and 55%, demonstrating the superior persistence of large caps in this regard. Some of the more spectacular examples of RPS mean reversion in recent months have been ZOZO (3092 JP), Outsourcing (2427 JP), Pasona (2168 JP), and just this week and, as flagged here, Nakanishi (7716 JP).Source: Japan AnalyticsRPS 'BOTTOMS' - 392 companies have seen their RPS fall to '-2' or below and have an average persistence of 44 trading days. 60% of those companies have seen their RPS recover to above '-2'. For larger capitalisation companies, the numbers are 74 companies and 62%. Some of the more spectacular examples of positive RPS mean reversion in recent months have been Japan Post Insurance (7181 JP), Isetan Mitsukoshi (3099 JP), Sony Financial (8729 JP) and Nippon Paper (3863 JP).Source: Japan AnalyticsOVERBOUGHT TIMELINE - Our timeline of larger capitalisation companies that have been consistently overbought during the last twelve months showed a market shift - from Technology Hardware Lasertec Corp (6920 JP) and MachineryYaskawa Electric (6506 JP) / Harmonic Drive Systems (6324 JP) to Personal ProductsShiseido  (4911 JP) / Kose (4922 JP) / Fancl (4921 JP), ChemicalsNissan Chemical (4021 JP) / NOF (4403 JP), Engineering  Kyudenko (1959 JP) / Kyowa Exeo (1951 JP),  FoodKikkoman (2801 JP) / Nichirei (2871 JP) and HealthcareSanBio (4592 JP) / Nippon Shinyaku (4516 JP) . We expect at least two-thirds of these companies to have reverted to scores of below '4' in the next six months.Source: Japan AnalyticsOVERSOLD TIMELINE - The evolution of the most oversold has seen the fall and rise of REITs Activa (3279 JP) / GLP J-REIT (3281 JP), Electric Power Utilities Kansai/Chubu/Shikoku/Chugoku/Tokyo to now a more eclectic list including Lixil (5938 JP), LINE (3938 JP) , Toshiba (6502 JP), Hachijuni Bank (8359 JP) , Nippon Yusen (9101 JP) and Mazda (7261 JP). As can be seen, oversold mean reversion can take a considerable time. However, Toshiba (6502 JP) and Hachijuni Bank (8359 JP) are now both well past their low points.    Source: Japan Analytics
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 two-month positive and negative changes in RPS with some brief comments on companies of note.
NB - All data is as of November 12th close.


Japan: Relative Price Score Update - Overbought and Oversold 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. This insight updates our list of overbought and oversold companies reviews the best and worst performing companies by RPS over the last month and makes some specific long and short stock recommendations.COMPANY RPS STATISTICS - The Company 'outlier' thresholds are set to "+4" for overbought and "-2" for oversold. We have excluded the first twelve months of trading for newly-listed companies to remove the distortion created by the initial over-pricing of most public offerings in Japan of which <a href="https://www.smartkarma.com/entities/27149" target="_blank" data-smartkarma-citation="entities:27149:1">Mercari (4385 JP)</a> is the latest example. Currently, 123 companies are 'overbought', and 116 are 'oversold' - 3.3% and 3.2% of the 3,672 listed companies for which monthly data is available.  The current numbers and percentages are the largest in many years. Overbought and oversold states account for 0.7% and 1.2%, respectively of the 837,586 months of data covered since October 1990. The average 'overbought persistence' is four months with <a href="https://www.smartkarma.com/entities/16576" target="_blank" data-smartkarma-citation="entities:16576:1">Lion (4912 JP)</a> holding the record for the longest period at 24 months from September 2016 to date. The average 'oversold persistence' is 7.5 months with <a href="https://www.smartkarma.com/entities/9013" target="_blank" data-smartkarma-citation="entities:9013:1">Nippon Sheet Glass (5202 JP)</a> holding the record having been in that state for the 45 months since January 2015. <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/063/937/original/2018-09-15_16-41-44.png?1536997320" class="editor-image img-responsive" data-smartkarma-image-id="63937"></figure><div class="content-caption">Source: Japan Analytics</div>OUTLIER EXTREMES - Currently, the percentage of companies that are positive outliers (&gt;4) it is a 26-year high, while the percentage of negative outliers (&lt;-2) is at a 17-year high. In the past and unsurprisingly, increases in the ratio of positive and negative outliers have been bullish and bearish, respectively. It is highly unusual for both positive and negative outliers to be rising sharply at the same time. The only similar period in the last thirty years was during the 'tech bubble'. In February 2000 the overbought and oversold percentages peaked at 2.4% and 20.5%, respectively. <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/064/123/original/2018-09-18_11-05-49.png?1537236390" class="editor-image img-responsive" data-smartkarma-image-id="64123"></figure><div class="content-caption">Source: Japan Analytics</div>MARKET TIMING TEMPTATION - It is always appealing to attempt to derive trading strategies from such data - a temptation we shall resist except for the observations that the oversold ratio rises into market peaks but that a decline in the overbought ratio of at least one percentage point is required to confirm a peak. At present, only the former condition is fulfilled.  COMPANY RECOMMENDATIONS - Recommendations and comments are provided below on <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/10020" target="_blank" data-smartkarma-citation="entities:10020:1">Sakai Moving Service (9039 JP)</a>, <a href="https://www.smartkarma.com/entities/8029" target="_blank" data-smartkarma-citation="entities:8029:1">Milbon (4919 JP)</a> and <a href="https://www.smartkarma.com/entities/8467" target="_blank" data-smartkarma-citation="entities:8467:1">Workman (7564 JP)</a> as well as new entrants and potential additions to the long and short Relative Price Score Portfolios.

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. This insight updates our list of overbought and oversold companies reviews the best and worst performing companies by RPS over the last month and makes some specific long and short stock recommendations.COMPANY RPS STATISTICS - The Company 'outlier' thresholds are set to "+4" for overbought and "-2" for oversold. We have excluded the first twelve months of trading for newly-listed companies to remove the distortion created by the initial over-pricing of most public offerings in Japan of which Mercari (4385 JP) is the latest example. Currently, 123 companies are 'overbought', and 116 are 'oversold' - 3.3% and 3.2% of the 3,672 listed companies for which monthly data is available.  The current numbers and percentages are the largest in many years. Overbought and oversold states account for 0.7% and 1.2%, respectively of the 837,586 months of data covered since October 1990. The average 'overbought persistence' is four months with Lion (4912 JP) holding the record for the longest period at 24 months from September 2016 to date. The average 'oversold persistence' is 7.5 months with Nippon Sheet Glass (5202 JP) holding the record having been in that state for the 45 months since January 2015. Source: Japan AnalyticsOUTLIER EXTREMES - Currently, the percentage of companies that are positive outliers (&gt;4) it is a 26-year high, while the percentage of negative outliers (&lt;-2) is at a 17-year high. In the past and unsurprisingly, increases in the ratio of positive and negative outliers have been bullish and bearish, respectively. It is highly unusual for both positive and negative outliers to be rising sharply at the same time. The only similar period in the last thirty years was during the 'tech bubble'. In February 2000 the overbought and oversold percentages peaked at 2.4% and 20.5%, respectively. Source: Japan AnalyticsMARKET TIMING TEMPTATION - It is always appealing to attempt to derive trading strategies from such data - a temptation we shall resist except for the observations that the oversold ratio rises into market peaks but that a decline in the overbought ratio of at least one percentage point is required to confirm a peak. At present, only the former condition is fulfilled.  COMPANY RECOMMENDATIONS - Recommendations and comments are provided below on Shiseido (4911 JP), Lasertec (6920 JP), Sakai Moving Service (9039 JP), Milbon (4919 JP) and Workman (7564 JP) as well as new entrants and potential additions to the long and short Relative Price Score Portfolios.

Japan: Most Overbought and Oversold - Relative Price Score Update - Companies

Japan

KYOWA EXEO CORPORATION designs, constructs, maintains communication, electrical, and environmental facilities.  The Company also develops software for information systems.  Kyowa Exeo, through its subsidiaries, operates distribution, security, and consulting businesses.

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Kyowa Exeo Corp (1951 JP)

Japan: Relative Price Score Update - Overbought and Oversold Companies

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

Campbell Gunn

Japan: Most Overbought and Oversold - Relative Price Score Update - Companies

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

Campbell Gunn

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