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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>The market turmoil over the last few trading sessions has not been kind to a simple index rebalance strategy of buying the forecast adds and selling the forecast deletes.</li>
<li>The overall returns and stock specific returns indicate that trades are more crowded in some indices as compared to others and traders should consider that when position sizing.</li>
<li>Anecdotally, periods of negative returns are followed by periods of strong returns for the strategy as weak hands are shaken out of their positions.</li>
</ul>


The market turmoil over the last few trading sessions has not been kind to a simple index rebalance strategy of buying the forecast adds and selling the forecast deletes.
The overall returns and stock specific returns indicate that trades are more crowded in some indices as compared to others and traders should consider that when position sizing.
Anecdotally, periods of negative returns are followed by periods of strong returns for the strategy as weak hands are shaken out of their positions.


How Has the Index Rebalance Strategy Performed During Market Turmoil?

Focus on Smaller Cap Value Names, Altay Capital

Altay Capital

Focus on Smaller Cap Value Names

Long time value investor. Long/Short portfolio that’s always net long (between 30-80%). I have extensive experience in the video game industry as I founded a leading media company in the space, which I have since exited after an acquisition. Gaming companies only make up ~15% of my portfolio, but its a sector where I believe I have an edge. A newsletter about value investing! Mostly focus on smaller cap value names that aren't widely covered.

Thematic (Sector/Industry)

<ul><li>I initially began my cheap Japanese basket in March 2023 and now that 2023 has come to an end, let’s take a look at how everything worked out.</li><li>But first, a quick summary of the themes in my basket and why I’m broadly still bullish on deep value Japan.</li><li>Within my basket of cheap Japanese companies, there are 3 broad themes: higher quality businesses with better RoEs and P/TBV closer to 0.7x, dirt cheap deep value net nets with P/TBV of 0.2-0.4x, and deeply discounted companies with underappreciated land assets</li></ul>

I initially began my cheap Japanese basket in March 2023 and now that 2023 has come to an end, let’s take a look at how everything worked out.But first, a quick summary of the themes in my basket and why I’m broadly still bullish on deep value Japan.Within my basket of cheap Japanese companies, there are 3 broad themes: higher quality businesses with better RoEs and P/TBV closer to 0.7x, dirt cheap deep value net nets with P/TBV of 0.2-0.4x, and deeply discounted companies with underappreciated land assets

The Cheap Japanese Basket: Year-End Portfolio Review and Reasons Why I Remain Bullish

Equity/Index & Cross Asset Volatility Specialist, Cameron Design

Jay Cameron

Equity/Index & Cross Asset Volatility Specialist

Cameron Design

We specialize in financial products and volatility. Our strategies balance speed, data, and risk control to capture opportunities across global markets. Our research leverages AI and data analytics to continuously refine our algorithms and adapt to evolving market dynamics.

Equity Derivatives

<ul>
<li>Japanese banks are entering a new, structurally sound phase driven by the BoJ's policy pivot, which is fundamentally elevating Net Interest Income and profitability.</li>
<li>Capital efficiency and mandatory corporate governance reforms are set to significantly close the P/B gap against global peers.</li>
<li>TOPIX Bank Index could be poised for continued outperformance over the broader market, making it an essential, high-conviction portfolio exposure as 8303 Shinsei returns to the index.</li>
</ul>


Japanese banks are entering a new, structurally sound phase driven by the BoJ's policy pivot, which is fundamentally elevating Net Interest Income and profitability.
Capital efficiency and mandatory corporate governance reforms are set to significantly close the P/B gap against global peers.
TOPIX Bank Index could be poised for continued outperformance over the broader market, making it an essential, high-conviction portfolio exposure as 8303 Shinsei returns to the index.


Japanese Banks: TPNBNK Structural Sector Buy-Case, Preparing for Shinsei (8303) January Passive Flow

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

<ul>
<li>Historic volatility has collapsed on the Nikkei, normalizing at a far quicker pace than the volatility episode last August.</li>
<li>Global uncertainty remains unresolved, casting a shadow over recent equity strength.</li>
<li>This week’s rally came without FX tailwinds, underscoring a potentially fragile move.</li>
</ul>


Historic volatility has collapsed on the Nikkei, normalizing at a far quicker pace than the volatility episode last August.
Global uncertainty remains unresolved, casting a shadow over recent equity strength.
This week’s rally came without FX tailwinds, underscoring a potentially fragile move.


Nikkei Index Options Weekly (May 26 – 30): Back to Pre-Tariff Levels, But Uncertainty Still Looms

<ul>
<li>Nikkei rebounded and volatility eased meaningfully - implied vol giving back much of last week’s spike.</li>
<li>USD/JPY softened alongside a broader break in DXY, raising questions about the depth of demand for USD assets.</li>
<li>Option volumes dropped, and Put activity held steady with no clear directional tilt in flow.</li>
</ul>


Nikkei rebounded and volatility eased meaningfully - implied vol giving back much of last week’s spike.
USD/JPY softened alongside a broader break in DXY, raising questions about the depth of demand for USD assets.
Option volumes dropped, and Put activity held steady with no clear directional tilt in flow.


Nikkei Index Options Weekly (Apr 14 – 18):  Vol Unwinds, Nikkei Rebounds and USD Cracks

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

How Has the Index Rebalance Strategy Performed During Market Turmoil?

The market turmoil over the last week has resulted in the forecast adds underperforming the forecast deletes. There is large variability in...

Brian Freitas

The Cheap Japanese Basket: Year-End Portfolio Review and Reasons Why I Remain Bullish

I initially began my cheap Japanese basket in March 2023 and now that 2023 has come to an end, let’s take a look at how everything worked out.

Altay Capital

Japanese Banks: TPNBNK Structural Sector Buy-Case, Preparing for Shinsei (8303) January Passive Flow

The IPO of SBI Shinsei Bank (8303) at 1450 per share signals a positive shift for the bank, clearing its legacy JPY370B government bailout debt,...

Jay Cameron

Nikkei Index Options Weekly (May 26 – 30): Back to Pre-Tariff Levels, But Uncertainty Still Looms

Nikkei's historic volatility has quickly normalized, but global uncertainty still looms over recent equity strength, with this week's rally...

John Ley

Nikkei Index Options Weekly (Apr 14 – 18): Vol Unwinds, Nikkei Rebounds and USD Cracks

Nikkei rebounds, volatility eases as USD/JPY softens, raising questions about demand for USD assets. Option volumes drop with no clear directional...

John Ley

How Has the Index Rebalance Strategy Performed During Market Turmoil?

The market turmoil over the last week has resulted in the forecast adds underperforming the forecast deletes. There is large variability in...

Brian Freitas

The Cheap Japanese Basket: Year-End Portfolio Review and Reasons Why I Remain Bullish

I initially began my cheap Japanese basket in March 2023 and now that 2023 has come to an end, let’s take a look at how everything worked out.

Altay Capital

Japanese Banks: TPNBNK Structural Sector Buy-Case, Preparing for Shinsei (8303) January Passive Flow

The IPO of SBI Shinsei Bank (8303) at 1450 per share signals a positive shift for the bank, clearing its legacy JPY370B government bailout debt,...

Jay Cameron

Nikkei Index Options Weekly (May 26 – 30): Back to Pre-Tariff Levels, But Uncertainty Still Looms

​Nikkei's historic volatility has quickly normalized, but global uncertainty still looms over recent equity strength, with this week's rally...

John Ley

Nikkei Index Options Weekly (Apr 14 – 18): Vol Unwinds, Nikkei Rebounds and USD Cracks

​Nikkei rebounds, volatility eases as USD/JPY softens, raising questions about demand for USD assets. Option volumes drop with no clear directional...

John Ley

Nikkei's historic volatility has quickly normalized, but global uncertainty still looms over recent equity strength, with this week's rally...

Nikkei rebounds, volatility eases as USD/JPY softens, raising questions about demand for USD assets. Option volumes drop with no clear directional...