'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) was introduced in an <a href="https://www.smartkarma.com/insights/japan-most-overbought-most-oversold-the-relative-price-score" target="_blank" data-smartkarma-citation="insights:21149">earlier</a> insight and 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 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 a matter of months.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/068/886/original/2018-11-06_18-48-56.png?1541497764" class="editor-image img-responsive" data-smartkarma-image-id="68886"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/068/887/original/2018-11-06_18-49-10.png?1541497783" class="editor-image img-responsive" data-smartkarma-image-id="68887"></figure><div class="content-caption">Source: Japan Analytics</div>OUTLIERS ON THE RISE - MORE VOLATILITY AHEAD - 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. 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'. We attribute some of the current market distortions to the Bank of Japan's market activities, however, with both outlier ratios now at 27-year highs, more volatility is the most natural outcome to forecast.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/068/856/original/2018-11-06_11-12-19.png?1541470386" class="editor-image img-responsive" data-smartkarma-image-id="68856"></figure><div class="content-caption">Source: Japan Analytics</div>SECTOR RELATIVE PRICE SCORES - Currently, only the Healthcare sector is 'Overbought' and has been so since early October. The Commercial Services and Consumer Services sectors have both fallen back over the last two months having underperformed the market by 3.9% and 3.7%, respectively. Banks and Utilities remain 'Oversold', but have outperformed by 4.4% and 6.0% since 6th September. <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/068/992/original/2018-11-07_11-31-27.png?1541557907" class="editor-image img-responsive" data-smartkarma-image-id="68992"></figure>OVERBOUGHT PEER GROUPS - Currently, twelve Peer Groups are 'overbought' down from seventeen in September.  Five Peer Groups are no longer Overbought - IT Systems-Financial, Software-Development Services, Amusement Parks &amp; Arcades, Retail - Home Furnishing and Employment &amp; Staffing Services. There are no newly-Overbought Peer Groups. Online Payment Services and Measuring Instruments say the most significant declines in RPS, while Musical Instruments, Sensors, and Management Consulting Services all rose.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/068/947/original/2018-11-07_08-27-00.png?1541546929" class="editor-image img-responsive" data-smartkarma-image-id="68947"></figure>OVERSOLD PEER GROUPS - Currently, ten Peer Groups are 'Oversold' - the same number as in September. Industrial REITs are no longer on the list, while Shikoku Regional Banks have been added. Except for Kansai, Kyushu, and Okinawa, all Regional Bank Peer Groups are now Oversold although three of the groups - Hokkaido/Tohoku, Chubu, and Shikoku are seeing rising Results/Revision Scores. (Chugoku Regional Banks' two-month market capitalisation increase is partly due to the listing of <a href="https://www.smartkarma.com/entities/27533" target="_blank" data-smartkarma-citation="entities:27533:1">Daishi Hokuetsu Financial Group (7327 JP)</a> .)

RELATIVE PRICE SCORE - The Relative Price Score (RPS) was introduced in an earlier insight and 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 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 a matter of months.Source: Japan AnalyticsOUTLIERS ON THE RISE - MORE VOLATILITY AHEAD - 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. 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'. We attribute some of the current market distortions to the Bank of Japan's market activities, however, with both outlier ratios now at 27-year highs, more volatility is the most natural outcome to forecast.Source: Japan AnalyticsSECTOR RELATIVE PRICE SCORES - Currently, only the Healthcare sector is 'Overbought' and has been so since early October. The Commercial Services and Consumer Services sectors have both fallen back over the last two months having underperformed the market by 3.9% and 3.7%, respectively. Banks and Utilities remain 'Oversold', but have outperformed by 4.4% and 6.0% since 6th September. OVERBOUGHT PEER GROUPS - Currently, twelve Peer Groups are 'overbought' down from seventeen in September.  Five Peer Groups are no longer Overbought - IT Systems-Financial, Software-Development Services, Amusement Parks &amp; Arcades, Retail - Home Furnishing and Employment &amp; Staffing Services. There are no newly-Overbought Peer Groups. Online Payment Services and Measuring Instruments say the most significant declines in RPS, while Musical Instruments, Sensors, and Management Consulting Services all rose.OVERSOLD PEER GROUPS - Currently, ten Peer Groups are 'Oversold' - the same number as in September. Industrial REITs are no longer on the list, while Shikoku Regional Banks have been added. Except for Kansai, Kyushu, and Okinawa, all Regional Bank Peer Groups are now Oversold although three of the groups - Hokkaido/Tohoku, Chubu, and Shikoku are seeing rising Results/Revision Scores. (Chugoku Regional Banks' two-month market capitalisation increase is partly due to the listing of Daishi Hokuetsu Financial Group (7327 JP) .)

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

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

Nippon Sheet Glass Company, Limited manufactures a variety of glass related products. The products include flat glass for construction, building materials, automobiles, and glassfiber products. Nippon Sheet Glass also develops glass for electronics such as plasma panels and optoelectronic devices.

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

Nippon Sheet Glass (5202 JP)

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

RELATIVE PRICE SCORE - The Relative Price Score (RPS) was introduced in an earlier insight and is a measure of stock price performance relative to...

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)