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>There are 36 adds and 34 deletes for the JPX Nikkei 400 Index to bring the number of index constituents back to 400. Some of the changes are interesting.</li>
<li>Based on the adds, deletes and capping changes, we estimate one way turnover of 4.75% and a two-way trade of JPY 444.45bn (US$3.3bn).</li>
<li>
<a href="https://www.smartkarma.com/entities/oriental-land-co-ltd" target="_blank" data-smartkarma-citation="entities:13517:1" rel="noopener">Oriental Land (4661 JP)</a> is a delete from the JPX Nikkei 400 Index but a high probability inclusion to the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> at the September rebalance.</li>
</ul>


There are 36 adds and 34 deletes for the JPX Nikkei 400 Index to bring the number of index constituents back to 400. Some of the changes are interesting.
Based on the adds, deletes and capping changes, we estimate one way turnover of 4.75% and a two-way trade of JPY 444.45bn (US$3.3bn).

Oriental Land (4661 JP) is a delete from the JPX Nikkei 400 Index but a high probability inclusion to the Nikkei 225 (NKY INDEX) at the September rebalance.


JPX Nikkei 400 Index Rebalance: Some Biggish Impact Stocks

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/advantest-corp" target="_blank" data-smartkarma-citation="entities:18107:1" rel="noopener">Advantest Corp (6857 JP)</a> yesterday announced Q1 results, with Revenues/OP/NP at record levels, a H1 div hike of 30%, guidance well ahead of consensus, and a buyback.  </li>
<li>They also announced a Mid-Term Plan revision which shows forward guidance better than consensus. </li>
<li>The buyback is smaller than the last one BUT float is not what you think it is. Understanding float dynamics here is key.</li>
</ul>



Advantest Corp (6857 JP) yesterday announced Q1 results, with Revenues/OP/NP at record levels, a H1 div hike of 30%, guidance well ahead of consensus, and a buyback.  
They also announced a Mid-Term Plan revision which shows forward guidance better than consensus. 
The buyback is smaller than the last one BUT float is not what you think it is. Understanding float dynamics here is key.


Advantest (6857) - Strong SoC Sales, Record Profits, Bullish Guidance, and a Buyback (+ Index Flow)

<ul>
<li>FFW changes and <a href="https://www.smartkarma.com/entities/mercari-inc" target="_blank" data-smartkarma-citation="entities:27149:1" rel="noopener">Mercari Inc (4385 JP)</a>'s inclusion in the TOPIX will lead to a one-way turnover of 0.55% and one-way trade of JPY 443bn (US$3.23bn) at the close today.</li>
<li>There is net buying in Consumer Discretionary, Financials and Communication Services stocks, while there will be net selling in Consumer Staples and Health Care stocks.</li>
<li>The upweights have outperformed the downweights since announcement of the changes and there has not been a lot of excess volume traded in the last couple of weeks.</li>
</ul>


FFW changes and Mercari Inc (4385 JP)'s inclusion in the TOPIX will lead to a one-way turnover of 0.55% and one-way trade of JPY 443bn (US$3.23bn) at the close today.
There is net buying in Consumer Discretionary, Financials and Communication Services stocks, while there will be net selling in Consumer Staples and Health Care stocks.
The upweights have outperformed the downweights since announcement of the changes and there has not been a lot of excess volume traded in the last couple of weeks.


TOPIX July Rebalance: Flows at the Close Today

David Blennerhassett

<ul>
<li>Berkshire appears set to exit <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> partially or in full. But why signal to market well in advance?</li>
<li>
<a href="https://www.smartkarma.com/entities/united-tractors-tbk-pt" target="_blank" data-smartkarma-citation="entities:698:1" rel="noopener">United Tractors (UNTR IJ)</a>'s buyback should be impactful. They could do another one afterwards as they have lots of cash. This is a raging buy. Buy now. With both hands.</li>
<li>The BOJ was expected to change its ETF allocations. It stopped buying Nikkei 225 and JPX Nikkei 400 ETFs. As the world moves more to passive, expect float to decrease.</li>
</ul>


Berkshire appears set to exit BYD (1211 HK) partially or in full. But why signal to market well in advance?

United Tractors (UNTR IJ)'s buyback should be impactful. They could do another one afterwards as they have lots of cash. This is a raging buy. Buy now. With both hands.
The BOJ was expected to change its ETF allocations. It stopped buying Nikkei 225 and JPX Nikkei 400 ETFs. As the world moves more to passive, expect float to decrease.


Last Week in Event SPACE: BYD, Astra/United Tractor, Japan Passive, AGL, Genting Singapore

NTT (Nippon Telegraph & Telephone) / Event-Driven

NTT (Nippon Telegraph & Telephone) (9432 JP)

<ul>
<li>2022 Version of JAPAN PASSIVE: Who Owns What? where we break down the major (and minor) passive tracking indices and which category of investor owns how much of each. </li>
<li>Even if you do not "play" index changes, understanding impact is important. <a href="https://www.smartkarma.com/entities/japan-exchange-group-inc" target="_blank" data-smartkarma-citation="entities:11266:1" rel="noopener">Japan Exchange Group (8697 JP)</a> entered Nikkei 225 in July 2020 after rising 30%. That was the top.</li>
<li>Understanding the nature of the ownership and flows is crucial to understanding how to trade certain stocks. </li>
</ul>


2022 Version of JAPAN PASSIVE: Who Owns What? where we break down the major (and minor) passive tracking indices and which category of investor owns how much of each. 
Even if you do not "play" index changes, understanding impact is important. Japan Exchange Group (8697 JP) entered Nikkei 225 in July 2020 after rising 30%. That was the top.
Understanding the nature of the ownership and flows is crucial to understanding how to trade certain stocks. 


Japan

Tokyo Electron Limited manufactures and sells industrial electronics products, such as semiconductor manufacturing machines, computer system, and electronic components.  The Company products are sold in US, Taiwan, and others as well as in Japan.

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Tokyo Electron Ltd Unsp Adr (TOELY US)

JPX Nikkei 400 Index Rebalance: Some Biggish Impact Stocks

There are 36 adds & 34 deletes for the JPX Nikkei 400 Index at the August rebalance leading to an estimated one way turnover of 4.75% and a two-way...

Brian Freitas

Advantest (6857) - Strong SoC Sales, Record Profits, Bullish Guidance, and a Buyback (+ Index Flow)

Advantest runs a blowout Q1, announces guidance ahead of consensus, revises its MTP to be more bullish, raises divs and announces a buyback. The...

Travis Lundy

TOPIX July Rebalance: Flows at the Close Today

The TOPIX July rebalance will lead to a turnover of 0.55% and trade of JPY 443bn at the close today. The top 25 upweights have outperformed the top...

Brian Freitas

Last Week in Event SPACE: BYD, Astra/United Tractor, Japan Passive, AGL, Genting Singapore

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

JAPAN PASSIVE: Who Owns What 2022?

JAPAN PASSIVE: Who Owns What 2022 Version. This is a mark to market of the passive tracking data from domestic and international investors in...

Travis Lundy

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