'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 - 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. 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.STATISTICS - Currently, of the 3,804 listed companies for which daily RPS data is available, 79 companies are 'Overbought', and 117 are 'Oversold' - 2.1% and 3.1%, respectively of the total. For the 779 companies with a market capitalisation of over ¥100b, there are 42 'Overbought' and 28 'Oversold' companies, 5.4% and 3.6%, respectively illustrating the relative strength of larger capitalisation stocks at this stage of the cycle. <hr>RPS 'TOPS' - In the last two years, 438 companies have achieved an RPS of '4' or more and the average Overbought 'persistence' is 45 days.  For companies with a market capitalisation higher than ¥100b, the numbers are 92 companies and 83 days - demonstrating the superior persistence of large capitalisation companies in this regard. Some examples of RPS mean reversion in the last three months have been <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/7168" target="_blank" data-smartkarma-citation="entities:7168:1">Nichirei (2871 JP)</a>. <a href="https://www.smartkarma.com/entities/15862" target="_blank" data-smartkarma-citation="entities:15862:1">Fancl (4921 JP)</a>, <a href="https://www.smartkarma.com/entities/320" target="_blank" data-smartkarma-citation="entities:320:1">FamilyMart Uny (8028 JP)</a>, <a href="https://www.smartkarma.com/entities/8412" target="_blank" data-smartkarma-citation="entities:8412:1">Infocom Corp (4348 JP)</a>, and <a href="https://www.smartkarma.com/entities/24540" target="_blank" data-smartkarma-citation="entities:24540:1">SanBio (4592 JP)</a>. <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/571/original/2019-04-10_11-06-11.png?1554863890" class="editor-image img-responsive" data-smartkarma-image-id="84571"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/572/original/2019-04-10_11-29-31.png?1554863914" class="editor-image img-responsive" data-smartkarma-image-id="84572"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/573/original/2019-04-10_11-30-53.png?1554863948" class="editor-image img-responsive" data-smartkarma-image-id="84573"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/574/original/2019-04-10_11-32-00.png?1554864056" class="editor-image img-responsive" data-smartkarma-image-id="84574"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/575/original/2019-04-10_11-34-40.png?1554864089" class="editor-image img-responsive" data-smartkarma-image-id="84575"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/576/original/2019-04-10_11-35-29.png?1554864110" class="editor-image img-responsive" data-smartkarma-image-id="84576"></figure><div class="content-caption">Source: Japan Analytics</div><div class="content-caption"><hr></div>RPS 'BOTTOMS' - 360 companies have seen their RPS fall to '-2' or below in the last two years, and the average Oversold 'persistence' is 59 days. For larger capitalisation companies, the numbers are 82 companies and 84 days. Some recent examples of positive RPS mean reversion in the last two months have been <a href="https://www.smartkarma.com/entities/27149" target="_blank" data-smartkarma-citation="entities:27149:1">Mercari (4385 JP)</a>, <a href="https://www.smartkarma.com/entities/2167" target="_blank" data-smartkarma-citation="entities:2167:1">AGC (5201 JP)</a>, and <a href="https://www.smartkarma.com/entities/26181" target="_blank" data-smartkarma-citation="entities:26181:1">Pksha Technology (3993 JP)</a>.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/581/original/2019-04-10_11-46-40.png?1554864563" class="editor-image img-responsive" data-smartkarma-image-id="84581"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/582/original/2019-04-10_11-47-16.png?1554864581" class="editor-image img-responsive" data-smartkarma-image-id="84582"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/084/583/original/2019-04-10_11-48-48.png?1554864598" class="editor-image img-responsive" data-smartkarma-image-id="84583"></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 three-month positive and negative changes in RPS.</div>

- RELATIVE PRICE SCORE - 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. 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.STATISTICS - Currently, of the 3,804 listed companies for which daily RPS data is available, 79 companies are 'Overbought', and 117 are 'Oversold' - 2.1% and 3.1%, respectively of the total. For the 779 companies with a market capitalisation of over ¥100b, there are 42 'Overbought' and 28 'Oversold' companies, 5.4% and 3.6%, respectively illustrating the relative strength of larger capitalisation stocks at this stage of the cycle. RPS 'TOPS' - In the last two years, 438 companies have achieved an RPS of '4' or more and the average Overbought 'persistence' is 45 days.  For companies with a market capitalisation higher than ¥100b, the numbers are 92 companies and 83 days - demonstrating the superior persistence of large capitalisation companies in this regard. Some examples of RPS mean reversion in the last three months have been Kyudenko (1959 JP), Nichirei (2871 JP). Fancl (4921 JP), FamilyMart Uny (8028 JP), Infocom Corp (4348 JP), and SanBio (4592 JP). Source: Japan AnalyticsRPS 'BOTTOMS' - 360 companies have seen their RPS fall to '-2' or below in the last two years, and the average Oversold 'persistence' is 59 days. For larger capitalisation companies, the numbers are 82 companies and 84 days. Some recent examples of positive RPS mean reversion in the last two months have been Mercari (4385 JP), AGC (5201 JP), and Pksha Technology (3993 JP).Source: Japan AnalyticsIn 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 • Relative Price Scores - Overbought & Oversold Companies - April 2019

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

Friday night after the close, the TSE <a href="https://www.jpx.co.jp/english/news/1044/20181005-01.html" target="_blank">announced</a> the changes to the revisions to the <a href="https://www.jpx.co.jp/english/markets/indices/topix/tvdivq00000030ne-att/e_mei_12_size.pdf" target="_blank">constituents</a> of the TOPIX New Index Series (i.e. the sub-series of TOPIX (Core 30, Large 70, TOPIX 100, Mid 400, etc). The TSE also released FFWs for companies which have their fiscal year-ends in the first calendar quarter of the year, as described in the <a href="https://www.jpx.co.jp/english/markets/indices/line-up/files/e_ref_1_FFW.pdf" target="_blank">TOPIX Free Float Weight Calculation Methodology</a> file, which is an appendix to the <a href="https://www.jpx.co.jp/english/markets/indices/topix/tvdivq00000030ne-att/e_cal_3_topix.pdf" target="_blank">TOPIX Index Guidebook</a> (most recent version 23 July 2018 at time of writing). 
The five biggest changes on the buy side are not a surprise. The largest INCREASE in dollar value of index weight will be <a href="https://www.smartkarma.com/entities/359" target="_blank" data-smartkarma-citation="entities:359:1">Japan Post Holdings (6178 JP)</a>. This was discussed in the aftermath of the offering last September (in the discussion section after followups with the TSE, and their own changes to treatment). See <a href="https://www.smartkarma.com/insights/japan-post-offer-details-surprises-and-fun-and-ding-games" target="_blank" data-smartkarma-citation="insights:13881">Japan Post: Offer Details, Surprises, and Fun And/-Ding Games</a>. In that situation, the TSE increased the number of shares to which the old FFW was applied, but waited until this year to apply a new FFW. Other changes such as <a href="https://www.smartkarma.com/entities/15915" target="_blank" data-smartkarma-citation="entities:15915:1">Asahi Intecc (7747 JP)</a>, <a href="https://www.smartkarma.com/entities/623" target="_blank" data-smartkarma-citation="entities:623:1">Ntt (Nippon Telegraph &amp; Telephone) (9432 JP)</a>, <a href="https://www.smartkarma.com/entities/7463" target="_blank" data-smartkarma-citation="entities:7463:1">Marubeni Corp (8002 JP)</a>, and <a href="https://www.smartkarma.com/entities/17153" target="_blank" data-smartkarma-citation="entities:17153:1">Yakult Honsha (2267 JP)</a> round out the top five and were all well-signalled. 
The largest DECREASE in dollar terms is <a href="https://www.smartkarma.com/entities/73" target="_blank" data-smartkarma-citation="entities:73:1">Toyota Motor (7203 JP)</a>, which sees its FFW coefficient drop from 0.60 to 0.55. This means that the number of shares included in the TOPIX-calculated free float weight will be 163.15mm shares fewer. Based on the estimates in <a href="https://www.smartkarma.com/insights/japan-passive-who-owns-what" target="_blank" data-smartkarma-citation="insights:22315">JAPAN PASSIVE:  Who Owns What?</a>, that means a sell of approximately ¥170bn.
The top 20 sells in dollar terms are all a one-notch drop in FFW coefficient. That means that some of them may be a surprise. 
The largest three impacts in day count (based on 3mo average volume) in terms of buying are <a href="https://www.smartkarma.com/entities/8174" target="_blank" data-smartkarma-citation="entities:8174:1">Nagawa Co Ltd (9663 JP)</a>, <a href="https://www.smartkarma.com/entities/16395" target="_blank" data-smartkarma-citation="entities:16395:1">Advan Co Ltd (7463 JP)</a>, and <a href="https://www.smartkarma.com/entities/2119" target="_blank" data-smartkarma-citation="entities:2119:1">Tosho Printing (7913 JP)</a> but the amounts are small. The largest sells in terms of ADV are <a href="https://www.smartkarma.com/entities/9104" target="_blank" data-smartkarma-citation="entities:9104:1">Nissan Shatai (7222 JP)</a>, <a href="https://www.smartkarma.com/entities/12698" target="_blank" data-smartkarma-citation="entities:12698:1">Toc Co Ltd (8841 JP)</a>, and <a href="https://www.smartkarma.com/entities/16825" target="_blank" data-smartkarma-citation="entities:16825:1">Asunaro Aoki Construction (1865 JP)</a>.  In general, the top 30-50 names in terms of impact are all small dollar amounts. 
All told, the trade, combined with a couple of inclusions, looks to be something like ¥1.1trln a side, with a reverse-funding trade of ¥300bn or so.
And in any list of 700 changes, there will be some interesting situations to take advantage of, for everyone. Contact in PMs for a full spreadsheet.

Friday night after the close, the TSE announced the changes to the revisions to the constituents of the TOPIX New Index Series (i.e. the sub-series of TOPIX (Core 30, Large 70, TOPIX 100, Mid 400, etc). The TSE also released FFWs for companies which have their fiscal year-ends in the first calendar quarter of the year, as described in the TOPIX Free Float Weight Calculation Methodology file, which is an appendix to the TOPIX Index Guidebook (most recent version 23 July 2018 at time of writing). 
The five biggest changes on the buy side are not a surprise. The largest INCREASE in dollar value of index weight will be Japan Post Holdings (6178 JP). This was discussed in the aftermath of the offering last September (in the discussion section after followups with the TSE, and their own changes to treatment). See Japan Post: Offer Details, Surprises, and Fun And/-Ding Games. In that situation, the TSE increased the number of shares to which the old FFW was applied, but waited until this year to apply a new FFW. Other changes such as Asahi Intecc (7747 JP), Ntt (Nippon Telegraph &amp; Telephone) (9432 JP), Marubeni Corp (8002 JP), and Yakult Honsha (2267 JP) round out the top five and were all well-signalled. 
The largest DECREASE in dollar terms is Toyota Motor (7203 JP), which sees its FFW coefficient drop from 0.60 to 0.55. This means that the number of shares included in the TOPIX-calculated free float weight will be 163.15mm shares fewer. Based on the estimates in JAPAN PASSIVE:  Who Owns What?, that means a sell of approximately ¥170bn.
The top 20 sells in dollar terms are all a one-notch drop in FFW coefficient. That means that some of them may be a surprise. 
The largest three impacts in day count (based on 3mo average volume) in terms of buying are Nagawa Co Ltd (9663 JP), Advan Co Ltd (7463 JP), and Tosho Printing (7913 JP) but the amounts are small. The largest sells in terms of ADV are Nissan Shatai (7222 JP), Toc Co Ltd (8841 JP), and Asunaro Aoki Construction (1865 JP).  In general, the top 30-50 names in terms of impact are all small dollar amounts. 
All told, the trade, combined with a couple of inclusions, looks to be something like ¥1.1trln a side, with a reverse-funding trade of ¥300bn or so.
And in any list of 700 changes, there will be some interesting situations to take advantage of, for everyone. Contact in PMs for a full spreadsheet.

Japan

Nagawa Co. Ltd. manufactures, sells, and rents prefabricated offices and stores. The Company builds prefabricated storage sheds. Nagawa also sells construction machinery and construction materials.

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Nagawa Co Ltd (9663 JP)

🇯🇵 Japan • Relative Price Scores - Overbought & Oversold Companies - April 2019

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

Campbell Gunn

TOPIX FFW Changes for October 2018

Friday night after the close, the TSE announced the changes to the revisions to the constituents of the TOPIX New Index Series (i.e. the sub-series...

Travis Lundy

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