Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Quantitative Analysis

<div><p>The short notional in the market for the week ending 31 January is US$24.90bn (up by US$370mm) with the largest short positions in <a href="https://www.smartkarma.com/entities/itochu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:18448:1">Itochu Corp (8001 JP)</a>, <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:73:1">Toyota Motor (7203 JP)</a>, <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a>, <a href="https://www.smartkarma.com/entities/canon-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:1:1">Canon Inc (7751 JP)</a> and <a href="https://www.smartkarma.com/entities/anritsu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:3700:1">Anritsu Corp (6754 JP)</a>. <a href="https://www.smartkarma.com/entities/sumitomo-mitsui-financial-gr" target="_blank" rel="noopener" data-smartkarma-citation="entities:217:1"></a></p></div><div><p>Most shorted stocks as a percentage of free float are <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a>, <a href="https://www.smartkarma.com/entities/anritsu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:3700:1">Anritsu Corp (6754 JP)</a>, <a href="https://www.smartkarma.com/entities/leopalace21-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:8244:1">Leopalace21 Corp (8848 JP)</a> and <a href="https://www.smartkarma.com/entities/tokai-carbon-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9145:1">Tokai Carbon (5301 JP)</a> while the stocks with the highest days to cover are <a href="https://www.smartkarma.com/entities/vital-ksk-holdings-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:7398:1">Vital Ksk Holdings (3151 JP)</a>, <a href="https://www.smartkarma.com/entities/aruhi-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:26072:1"></a><a href="https://www.smartkarma.com/entities/katakura-industries-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:2007:1">Katakura Industries (3001 JP)</a>, <a href="https://www.smartkarma.com/entities/j-trust-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:20246:1">J Trust Co Ltd (8508 JP)</a> and <a href="https://www.smartkarma.com/entities/edion-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:14358:1">Edion Corp (2730 JP)</a>.  <a href="https://www.smartkarma.com/entities/dcm-holdings-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:13042:1"></a></p></div><div><p>The largest increases in short notional over the week were <a href="https://www.smartkarma.com/entities/yaskawa-electric-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:2458:1">Yaskawa Electric (6506 JP)</a>, <a href="https://www.smartkarma.com/entities/shionogi-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:19535:1">Shionogi &amp; Co (4507 JP)</a>, <a href="https://www.smartkarma.com/entities/advantest-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:18107:1">Advantest Corp (6857 JP)</a> and <a href="https://www.smartkarma.com/entities/anritsu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:3700:1">Anritsu Corp (6754 JP)</a> while shorts were covered in <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:18379:1">ZOZO Inc (3092 JP)</a>, <a href="https://www.smartkarma.com/entities/showa-denko-k-k" target="_blank" rel="noopener" data-smartkarma-citation="entities:1496:1">Showa Denko K K (4004 JP)</a>, <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a> and <a href="https://www.smartkarma.com/entities/peptidream-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:13514:1">Peptidream Inc (4587 JP)</a>.   <a href="https://www.smartkarma.com/entities/yamaha-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:17841:1"></a></p></div><div><p>Sectorally, short positions were increased in Information Technology (US$206m), Consumer Staples (US$186m) and Industrials (US$153m) while shorts were covered in Energy (US$72m) and Consumer Discretionary (US$54m).</p></div>

The short notional in the market for the week ending 31 January is US$24.90bn (up by US$370mm) with the largest short positions in Itochu Corp (8001 JP), Toyota Motor (7203 JP), Taiyo Yuden (6976 JP), Canon Inc (7751 JP) and Anritsu Corp (6754 JP). Most shorted stocks as a percentage of free float are Taiyo Yuden (6976 JP), Anritsu Corp (6754 JP), Leopalace21 Corp (8848 JP) and Tokai Carbon (5301 JP) while the stocks with the highest days to cover are Vital Ksk Holdings (3151 JP), Katakura Industries (3001 JP), J Trust Co Ltd (8508 JP) and Edion Corp (2730 JP).  The largest increases in short notional over the week were Yaskawa Electric (6506 JP), Shionogi &amp; Co (4507 JP), Advantest Corp (6857 JP) and Anritsu Corp (6754 JP) while shorts were covered in ZOZO Inc (3092 JP), Showa Denko K K (4004 JP), Taiyo Yuden (6976 JP) and Peptidream Inc (4587 JP).   Sectorally, short positions were increased in Information Technology (US$206m), Consumer Staples (US$186m) and Industrials (US$153m) while shorts were covered in Energy (US$72m) and Consumer Discretionary (US$54m).

Japan - Shorts Jump on Yaskawa Electric, Shionogi; Drop on Zozo, Showa Denko

<div><p>The short notional in the market for the week ending 24 January is US$24.53bn (down by US$250mm) with the largest short positions in <a href="https://www.smartkarma.com/entities/itochu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:18448:1">Itochu Corp (8001 JP)</a>, <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:73:1">Toyota Motor (7203 JP)</a>, <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a>, <a href="https://www.smartkarma.com/entities/canon-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:1:1">Canon Inc (7751 JP)</a> and <a href="https://www.smartkarma.com/entities/kddi-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:639:1">KDDI Corp (9433 JP)</a>. <a href="https://www.smartkarma.com/entities/sumitomo-mitsui-financial-gr" target="_blank" rel="noopener" data-smartkarma-citation="entities:217:1"></a></p></div><div><p>Most shorted stocks as a percentage of free float are <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a>, <a href="https://www.smartkarma.com/entities/leopalace21-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:8244:1">Leopalace21 Corp (8848 JP)</a>, <a href="https://www.smartkarma.com/entities/tokai-carbon-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9145:1">Tokai Carbon (5301 JP)</a> and <a href="https://www.smartkarma.com/entities/anritsu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:3700:1">Anritsu Corp (6754 JP)</a> while the stocks with the highest days to cover are <a href="https://www.smartkarma.com/entities/vital-ksk-holdings-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:7398:1">Vital Ksk Holdings (3151 JP)</a>, <a href="https://www.smartkarma.com/entities/aruhi-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:26072:1"></a><a href="https://www.smartkarma.com/entities/katakura-industries-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:2007:1">Katakura Industries (3001 JP)</a>, <a href="https://www.smartkarma.com/entities/j-trust-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:20246:1">J Trust Co Ltd (8508 JP)</a> and <a href="https://www.smartkarma.com/entities/edion-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:14358:1">Edion Corp (2730 JP)</a>.  <a href="https://www.smartkarma.com/entities/dcm-holdings-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:13042:1"></a></p></div><div><p>The largest increases in short notional over the week were <a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:751:1">Fast Retailing (9983 JP)</a>, <a href="https://www.smartkarma.com/entities/tokyo-dome-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:6421:1">Tokyo Dome Corp (9681 JP)</a>, <a href="https://www.smartkarma.com/entities/tokyo-electron-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:280:1">Tokyo Electron (8035 JP)</a> and <a href="https://www.smartkarma.com/entities/nabtesco-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:13176:1">Nabtesco Corp (6268 JP)</a> while shorts were covered in <a href="https://www.smartkarma.com/entities/yamaha-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:17841:1">Yamaha Corp (7951 JP)</a>, <a href="https://www.smartkarma.com/entities/ricoh-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:15359:1">Ricoh Co Ltd (7752 JP)</a>, <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:18379:1">ZOZO Inc (3092 JP)</a> and <a href="https://www.smartkarma.com/entities/dentsu-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:12434:1">Dentsu Inc (4324 JP)</a>.  </p></div><div><p>Sectorally, short positions were increased in Consumer Discretionary (US$339mm), Information Technology (US$86mm) and Industrials (US$79mm) while shorts were covered in Communication Services (US$71m) and Health Care (US$62m).</p></div>

The short notional in the market for the week ending 24 January is US$24.53bn (down by US$250mm) with the largest short positions in Itochu Corp (8001 JP), Toyota Motor (7203 JP), Taiyo Yuden (6976 JP), Canon Inc (7751 JP) and KDDI Corp (9433 JP). Most shorted stocks as a percentage of free float are Taiyo Yuden (6976 JP), Leopalace21 Corp (8848 JP), Tokai Carbon (5301 JP) and Anritsu Corp (6754 JP) while the stocks with the highest days to cover are Vital Ksk Holdings (3151 JP), Katakura Industries (3001 JP), J Trust Co Ltd (8508 JP) and Edion Corp (2730 JP).  The largest increases in short notional over the week were Fast Retailing (9983 JP), Tokyo Dome Corp (9681 JP), Tokyo Electron (8035 JP) and Nabtesco Corp (6268 JP) while shorts were covered in Yamaha Corp (7951 JP), Ricoh Co Ltd (7752 JP), ZOZO Inc (3092 JP) and Dentsu Inc (4324 JP).  Sectorally, short positions were increased in Consumer Discretionary (US$339mm), Information Technology (US$86mm) and Industrials (US$79mm) while shorts were covered in Communication Services (US$71m) and Health Care (US$62m).

Japan - Sharp Rise in Consumer Discretionary Shorts

'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. 

<div>
<p style="text-align: center;"><strong>• RELATIVE PRICE SCORE - COMPANIES •</strong></p>
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/110/839/original/2019-12-17_10-16-56.png?1576545466" class="editor-image img-responsive" data-smartkarma-image-id="110839"></figure><div class="content-caption">Source: Japan Analytics</div>
<p><strong>COMPANY RELATIVE PRICE SCORE OUTLIERS </strong>- The Relative Price Score (RPS) is a measure of price performance relative to TOPIX calculated by comparing the current deviation with the mean absolute deviation of monthly and daily relative share prices over the last 28 years and 24 months, respectively. As all companies are put on a comparable scale, 'Overbought' and 'Oversold' outliers and short-term changes in scoring can reveal attractive 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. </p>
</div><div><div><p>Following on from our previous Insight <a href="https://www.smartkarma.com/insights/japan-december-sector-peer-group-relative-price-scores-from-defensives-to-cylicals" target="_blank" data-smartkarma-citation="insights:35266" rel="noopener">December Sector &amp; Peer Group Relative Price Scores - From Defensives to Cylicals</a> which covered <strong>Sectors</strong> and <strong>Peer Groups</strong>, in the <strong>DETAIL</strong> section below, we update our list of Overbought and Oversold large-cap companies (market capitalisation over ¥100b) with the current <strong>Very Overbought</strong> (RPS&gt;5), <strong>Too-Late-To-Buy</strong> (RPS &gt;4.5) and <strong>Oversold</strong> (RPS &lt;-2) companies, as well as the largest positive and negative <strong>3-month Changes</strong> in RPS adding some stock-specific comments in each category.</p></div></div>


• RELATIVE PRICE SCORE - COMPANIES •
Source: Japan Analytics
COMPANY RELATIVE PRICE SCORE OUTLIERS - The Relative Price Score (RPS) is a measure of price performance relative to TOPIX calculated by comparing the current deviation with the mean absolute deviation of monthly and daily relative share prices over the last 28 years and 24 months, respectively. As all companies are put on a comparable scale, 'Overbought' and 'Oversold' outliers and short-term changes in scoring can reveal attractive 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. 
Following on from our previous Insight December Sector &amp; Peer Group Relative Price Scores - From Defensives to Cylicals which covered Sectors and Peer Groups, in the DETAIL section below, we update our list of Overbought and Oversold large-cap companies (market capitalisation over ¥100b) with the current Very Overbought (RPS&gt;5), Too-Late-To-Buy (RPS &gt;4.5) and Oversold (RPS &lt;-2) companies, as well as the largest positive and negative 3-month Changes in RPS adding some stock-specific comments in each category.

🇯🇵 JAPAN • December Company Relative Price Scores - Opportunities in the Outliers

<p style="text-align: center;"><strong>• RELATIVE PRICE SCORE</strong> •</p><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><p><strong>INTRODUCTION </strong>- 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<strong> +4</strong> &amp; <strong>-2</strong> 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. </p><div class="content-highlight"><p><strong>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.</strong></p></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><p><strong>STATISTICS</strong> - 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.</p><hr><p style="text-align: center;"><strong>• RELATIVE PRICE SCORE 'TOPS' •</strong></p><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><p><strong>RPS 'TOPS'</strong> - 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.</p><p><strong>RPS NEGATIVE MEAN REVERSION</strong> - 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>. </p><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><p style="text-align: center;"><strong>• RELATIVE PRICE SCORE 'BOTTOMS' •</strong></p><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><p><strong>RPS 'BOTTOMS'</strong> - 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<strong> REITs</strong> Sector and the continuing demise of <strong>Regional Banks</strong>.</p><p><strong>RPS POSITIVE MEAN REVERSION</strong> - 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>.</p><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><p>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></p><blockquote><p><strong><a href="https://www.smartkarma.com/entities/line-corp" target="_blank" data-smartkarma-citation="entities:22772:1" rel="noopener">LINE (3938 JP)</a></strong>- 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 <strong>the company is now the most-Oversold non-financial large-cap over one year,</strong> there are no fundamental reasons to own the shares.   </p></blockquote><p>In the <strong>DETAIL </strong>section below, we list the current<strong> Very Overbought (RPS&gt;5</strong>), <strong>Too-Late-To-Buy (RPS &gt;4&lt;5)</strong> and <strong>Oversold (RPS &lt;-2)</strong> stocks as well as the most substantial three-month positive and negative changes in RPS.</p>

• 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

<p style="text-align: center;"><strong>• RELATIVE PRICE SCORE •</strong></p><p>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 put on a comparable scale, 'Overbought' and 'Oversold' outliers and changes in scoring can reveal short-term and longer-term trading opportunities. Company data is cap-weight-aggregated into 328 Peer Group and 30 Sector Relative Price Scores. Outlier thresholds are set at<strong> +4</strong> &amp; <strong>-2</strong> for <strong>Companies</strong>, <strong>+3</strong> &amp; <strong>-1.5</strong> for <strong>Peer Groups</strong> and <strong>+2</strong> and <strong>-1</strong> for <strong>Sectors</strong>. These thresholds equate with the top and bottom first-to-second percentiles of historical observations from which mean reversion normally takes only a few months.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/097/661/original/2019-09-02_10-54-04.png?1567389310" class="editor-image img-responsive" data-smartkarma-image-id="97661"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/097/664/original/2019-09-02_10-56-43.png?1567389423" class="editor-image img-responsive" data-smartkarma-image-id="97664"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/097/676/original/2019-09-02_11-21-41.png?1567390923" class="editor-image img-responsive" data-smartkarma-image-id="97676"></figure><div class="content-caption">Source: Japan Analytics</div><p><strong>OUTLIER TRENDS </strong>- In the past, increases in the percentage of companies that are either Overbought or Oversold has been a useful indicator of market trends with a rising number of Overbought outliers being bullish and an increasing number of Oversold outliers being bearish and the crossovers between the numbers of each offering market timing signals.  The current situation where both sets of outliers are rising has only occurred once before in the last 30 years - in 1999/2000 shortly before the peak of the 'tech bubble' when the combined total of Overbought and Oversold percentages reached over three times the current level.. We attribute some of the market's distortions to the Bank of Japan's market activities and the increase in algorithmic trading. Whatever the cause, repeating the 2000 tech bubble playbook is unlikely to end well.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/097/672/original/2019-09-02_11-13-07.png?1567390420" class="editor-image img-responsive" data-smartkarma-image-id="97672"></figure><div class="content-caption">Source: Japan Analytics</div><p><strong>NEGATIVE 'SPREADS'</strong> - On a daily closing basis, the Oversold outlier percentage is currently 3.83%, having peaked at 4.06% on 29th August. The Overbought outlier percentage peaked at 2.73% on 26th August and is now at 2.45%. The negative 'spread' is currently -1.38%, having reached -1.59% on 29th August which compares with -1.34 at the recent market low point on December 25th 2018, and -1.26 on 29th January. In this distorted and polarised market, the winners keep on winning, and the losers keep on losing, but the Total Market Value is now out of 'sync' with the spread and should correct to the downside.</p><hr><p style="text-align: center;"><strong>• SECTORS •</strong></p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/097/677/original/2019-09-02_11-30-46.png?1567391475" class="editor-image img-responsive" data-smartkarma-image-id="97677"></figure><div class="content-caption">Source: Japan Analytics</div><p><strong>SECTOR 28-YEAR TIMELINE</strong> - The 28-year Sector Relative Price Score Timeline chronicles the periodic extremes of both Overbought and Oversold Sectors. Only seventeen Sectors have been Overbought during this period for a total of 546 months of which half were before 2001. The average Overbought persistence is 4.3 months or 3.4 months excluding the <strong>Internet</strong> Sector.  Only fourteen Sectors have been Oversold since 1992 for a total of 243 months of which 55% were before 2001. The average Oversold persistence is 5.7 months although this has risen to 7.5 months since 2001. Currently, five Sectors are Overbought - <strong>Consumer Services</strong>, <strong>Healthcare</strong>, <strong>Other Consumer Products</strong>,<strong> Information Technology</strong>, and <strong>Other Commercial Products</strong>. Four Sectors are Oversold - <strong>Banks</strong>,<strong> Multi-Industry</strong>, <strong>Utilities</strong>, and<strong> Energy</strong>.    </p><div class="content-highlight"><p>In the <strong>DETAIL</strong> section below, we provide an update on recent Sector and Peer Group trends. A second Insight will follow looking at the September Relative Price Scores for Companies. </p></div>

• RELATIVE PRICE SCORE •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 put on a comparable scale, 'Overbought' and 'Oversold' outliers and changes in scoring can reveal short-term and longer-term trading opportunities. Company data is cap-weight-aggregated into 328 Peer Group and 30 Sector Relative Price Scores. Outlier thresholds are set at +4 &amp; -2 for Companies, +3 &amp; -1.5 for Peer Groups and +2 and -1 for Sectors. These thresholds equate with the top and bottom first-to-second percentiles of historical observations from which mean reversion normally takes only a few months.Source: Japan AnalyticsOUTLIER TRENDS - In the past, increases in the percentage of companies that are either Overbought or Oversold has been a useful indicator of market trends with a rising number of Overbought outliers being bullish and an increasing number of Oversold outliers being bearish and the crossovers between the numbers of each offering market timing signals.  The current situation where both sets of outliers are rising has only occurred once before in the last 30 years - in 1999/2000 shortly before the peak of the 'tech bubble' when the combined total of Overbought and Oversold percentages reached over three times the current level.. We attribute some of the market's distortions to the Bank of Japan's market activities and the increase in algorithmic trading. Whatever the cause, repeating the 2000 tech bubble playbook is unlikely to end well.Source: Japan AnalyticsNEGATIVE 'SPREADS' - On a daily closing basis, the Oversold outlier percentage is currently 3.83%, having peaked at 4.06% on 29th August. The Overbought outlier percentage peaked at 2.73% on 26th August and is now at 2.45%. The negative 'spread' is currently -1.38%, having reached -1.59% on 29th August which compares with -1.34 at the recent market low point on December 25th 2018, and -1.26 on 29th January. In this distorted and polarised market, the winners keep on winning, and the losers keep on losing, but the Total Market Value is now out of 'sync' with the spread and should correct to the downside.• SECTORS •Source: Japan AnalyticsSECTOR 28-YEAR TIMELINE - The 28-year Sector Relative Price Score Timeline chronicles the periodic extremes of both Overbought and Oversold Sectors. Only seventeen Sectors have been Overbought during this period for a total of 546 months of which half were before 2001. The average Overbought persistence is 4.3 months or 3.4 months excluding the Internet Sector.  Only fourteen Sectors have been Oversold since 1992 for a total of 243 months of which 55% were before 2001. The average Oversold persistence is 5.7 months although this has risen to 7.5 months since 2001. Currently, five Sectors are Overbought - Consumer Services, Healthcare, Other Consumer Products, Information Technology, and Other Commercial Products. Four Sectors are Oversold - Banks, Multi-Industry, Utilities, and Energy.    In the DETAIL section below, we provide an update on recent Sector and Peer Group trends. A second Insight will follow looking at the September Relative Price Scores for Companies. 

🇯🇵 Japan • September Relative Price Scores - Life at the Poles Part 1

Japan

YAMAHA CORPORATION mainly manufactures musical instruments, audio equipment, and golf equipment.  The Company also produces information & communication equipment and semiconductors.  Yamaha operates recreation business. The Company has many overseas subsidiaries.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Yamaha Corp (7951 JP)

Japan - Shorts Jump on Yaskawa Electric, Shionogi; Drop on Zozo, Showa Denko

The short notional in the market for the week ending 31 January is US$24.90bn (up by US$370mm) with the largest short positions in Itochu Corp...

Brian Freitas

Japan - Sharp Rise in Consumer Discretionary Shorts

The short notional in the market for the week ending 24 January is US$24.53bn (down by US$250mm) with the largest short positions in Itochu Corp...

Brian Freitas

🇯🇵 JAPAN • December Company Relative Price Scores - Opportunities in the Outliers

• RELATIVE PRICE SCORE - COMPANIES • COMPANY RELATIVE PRICE SCORE OUTLIERS - The Relative Price Score (RPS) is a measure of price performance...

Campbell Gunn

🇯🇵 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 • September Relative Price Scores - Life at the Poles Part 1

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

Campbell Gunn

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)