Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>JPX-Nikkei 400 is composed of common stocks listed on the Tokyo Stock Exchange. It is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents.</li>
<li>A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. We look at the rankings of the potential ADDs/DELs every month.</li>
<li>Below is a look at potential ADDs/DELs for the JPX-Nikkei 400 Index Rebal to come in August 2024 based on trading data as of end-December 2023.</li>
</ul>


JPX-Nikkei 400 is composed of common stocks listed on the Tokyo Stock Exchange. It is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents.
A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. We look at the rankings of the potential ADDs/DELs every month.
Below is a look at potential ADDs/DELs for the JPX-Nikkei 400 Index Rebal to come in August 2024 based on trading data as of end-December 2023.


Quiddity JPX-Nikkei 400 Rebal 2024: End-Dec 2023

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

<p>Last evening post market close, the results of the JPX Nikkei 400 review were announced. There are 41 inclusions and 40 deletions to bring the number of constituents back to 400 and the changes will be effective after the close of trading on 30 August.</p><p>This is the list of inclusions and exclusions.</p><table class="table table-striped">
<colgroup>
<col>
<col>
<col>
<col>
</colgroup>
<tbody>
<tr>
<td colspan="2" style="text-align: center; width: 396.578px;"><h3>Inclusions</h3></td>
<td colspan="2" style="text-align: center; width: 349.422px;"><h3>Exclusions</h3></td>
</tr>
<tr>
<td style="width: 75.2969px;">1417.T</td>
<td style="width: 321.281px;">Mirait Holdings Corp</td>
<td style="width: 84.3281px;">1333.T</td>
<td style="width: 265.094px;">Maruha Nichiro Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">1942.T</td>
<td style="width: 321.281px;">Kandenko Co Ltd</td>
<td style="width: 84.3281px;">2222.T</td>
<td style="width: 265.094px;">Kotobuki Spirits Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">1973.T</td>
<td style="width: 321.281px;">NEC Networks &amp; System Integration Corp</td>
<td style="width: 84.3281px;">3086.T</td>
<td style="width: 265.094px;">J.Front Retailing Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">2281.T</td>
<td style="width: 321.281px;">Prima Meat Packers Ltd</td>
<td style="width: 84.3281px;">3197.T</td>
<td style="width: 265.094px;">Skylark Holdings Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">3244.T</td>
<td style="width: 321.281px;">Samty Co Ltd</td>
<td style="width: 84.3281px;">4185.T</td>
<td style="width: 265.094px;">JSR Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">3254.T</td>
<td style="width: 321.281px;">Pressance Corp</td>
<td style="width: 84.3281px;">4189.T</td>
<td style="width: 265.094px;">KH Neochem Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">3880.T</td>
<td style="width: 321.281px;">Daio Paper Corp</td>
<td style="width: 84.3281px;">4324.T</td>
<td style="width: 265.094px;">Dentsu Group Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">3923.T</td>
<td style="width: 321.281px;">Rakus Co Ltd</td>
<td style="width: 84.3281px;">4530.T</td>
<td style="width: 265.094px;">Hisamitsu Pharmaceutical Co Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">3941.T</td>
<td style="width: 321.281px;">Rengo Co Ltd</td>
<td style="width: 84.3281px;">4666.T</td>
<td style="width: 265.094px;">Park24 Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">4205.T</td>
<td style="width: 321.281px;">Zeon Corp</td>
<td style="width: 84.3281px;">4755.T</td>
<td style="width: 265.094px;">Rakuten Group Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">4552.T</td>
<td style="width: 321.281px;">JCR Pharmaceuticals Co Ltd</td>
<td style="width: 84.3281px;">5401.T</td>
<td style="width: 265.094px;">Nippon Steel Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">4553.T</td>
<td style="width: 321.281px;">Towa Pharmaceutical Co Ltd</td>
<td style="width: 84.3281px;">5411.T</td>
<td style="width: 265.094px;">JFE Holdings Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">4587.T</td>
<td style="width: 321.281px;">PeptiDream Inc</td>
<td style="width: 84.3281px;">5801.T</td>
<td style="width: 265.094px;">Furukawa Electric Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">4812.T</td>
<td style="width: 321.281px;">Information Services International-Dentsu Ltd</td>
<td style="width: 84.3281px;">6481.T</td>
<td style="width: 265.094px;">THK Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">4848.T</td>
<td style="width: 321.281px;">Fullcast Holdings Co Ltd</td>
<td style="width: 84.3281px;">6588.T</td>
<td style="width: 265.094px;">Toshiba Tec Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">4901.T</td>
<td style="width: 321.281px;">Fujifilm Holdings Corp</td>
<td style="width: 84.3281px;">6753.T</td>
<td style="width: 265.094px;">Sharp Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">5706.T</td>
<td style="width: 321.281px;">Mitsui Mining and Smelting Co Ltd</td>
<td style="width: 84.3281px;">6770.T</td>
<td style="width: 265.094px;">Alps Alpine Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">6055.T</td>
<td style="width: 321.281px;">Japan Material Co Ltd</td>
<td style="width: 84.3281px;">6877.T</td>
<td style="width: 265.094px;">Obara Group Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">6183.T</td>
<td style="width: 321.281px;">BELLSYSTEM24 Holdings Inc</td>
<td style="width: 84.3281px;">7261.T</td>
<td style="width: 265.094px;">Mazda Motor Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">6235.T</td>
<td style="width: 321.281px;">Optorun Co Ltd</td>
<td style="width: 84.3281px;">7458.T</td>
<td style="width: 265.094px;">Daiichikosho Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">6361.T</td>
<td style="width: 321.281px;">Ebara Corp</td>
<td style="width: 84.3281px;">7731.T</td>
<td style="width: 265.094px;">Nikon Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">6544.T</td>
<td style="width: 321.281px;">Japan Elevator Service Holdings Co Ltd</td>
<td style="width: 84.3281px;">7751.T</td>
<td style="width: 265.094px;">Canon Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">6727.T</td>
<td style="width: 321.281px;">Wacom Co Ltd</td>
<td style="width: 84.3281px;">8267.T</td>
<td style="width: 265.094px;">Aeon Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">7177.T</td>
<td style="width: 321.281px;">GMO Financial Holdings Inc</td>
<td style="width: 84.3281px;">9001.T</td>
<td style="width: 265.094px;">Tobu Railway Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">7516.T</td>
<td style="width: 321.281px;">Kohnan Shoji Co Ltd</td>
<td style="width: 84.3281px;">9003.T</td>
<td style="width: 265.094px;">Sotetsu Holdings Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">7947.T</td>
<td style="width: 321.281px;">FP Corp</td>
<td style="width: 84.3281px;">9005.T</td>
<td style="width: 265.094px;">Tokyu Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">8194.T</td>
<td style="width: 321.281px;">Life Corp</td>
<td style="width: 84.3281px;">9007.T</td>
<td style="width: 265.094px;">Odakyu Electric Railway Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">8425.T</td>
<td style="width: 321.281px;">Mizuho Leasing Co Ltd</td>
<td style="width: 84.3281px;">9008.T</td>
<td style="width: 265.094px;">Keio Corp</td>
</tr>
<tr>
<td style="width: 75.2969px;">8595.T</td>
<td style="width: 321.281px;">JAFCO Group Co Ltd</td>
<td style="width: 84.3281px;">9009.T</td>
<td style="width: 265.094px;">Keisei Electric Railway Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">8892.T</td>
<td style="width: 321.281px;">Es-con Japan Ltd</td>
<td style="width: 84.3281px;">9020.T</td>
<td style="width: 265.094px;">East Japan Railway Co</td>
</tr>
<tr>
<td style="width: 75.2969px;">8919.T</td>
<td style="width: 321.281px;">Katitas Co Ltd</td>
<td style="width: 84.3281px;">9021.T</td>
<td style="width: 265.094px;">West Japan Railway Co</td>
</tr>
<tr>
<td style="width: 75.2969px;">9069.T</td>
<td style="width: 321.281px;">Senko Group Holdings Co Ltd</td>
<td style="width: 84.3281px;">9024.T</td>
<td style="width: 265.094px;">Seibu Holdings Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">9090.T</td>
<td style="width: 321.281px;">Maruwa Unyu Kikan Co Ltd</td>
<td style="width: 84.3281px;">9041.T</td>
<td style="width: 265.094px;">Kintetsu Group Holdings Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9101.T</td>
<td style="width: 321.281px;">Nippon Yusen KK</td>
<td style="width: 84.3281px;">9044.T</td>
<td style="width: 265.094px;">Nankai Electric Railway Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9104.T</td>
<td style="width: 321.281px;">Mitsui OSK Lines Ltd</td>
<td style="width: 84.3281px;">9045.T</td>
<td style="width: 265.094px;">Keihan Holdings Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9143.T</td>
<td style="width: 321.281px;">SG Holdings Co Ltd</td>
<td style="width: 84.3281px;">9048.T</td>
<td style="width: 265.094px;">Nagoya Railroad Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9375.T</td>
<td style="width: 321.281px;">Kintetsu World Express Inc</td>
<td style="width: 84.3281px;">9201.T</td>
<td style="width: 265.094px;">Japan Airlines Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9418.T</td>
<td style="width: 321.281px;">USEN NEXT HOLDINGS Co Ltd</td>
<td style="width: 84.3281px;">9202.T</td>
<td style="width: 265.094px;">ANA Holdings Inc</td>
</tr>
<tr>
<td style="width: 75.2969px;">9517.T</td>
<td style="width: 321.281px;">eREX Co Ltd</td>
<td style="width: 84.3281px;">9603.T</td>
<td style="width: 265.094px;">H.I.S. Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9519.T</td>
<td style="width: 321.281px;">Renova Inc</td>
<td style="width: 84.3281px;">9706.T</td>
<td style="width: 265.094px;">Japan Airport Terminal Co Ltd</td>
</tr>
<tr>
<td style="width: 75.2969px;">9787.T</td>
<td style="width: 321.281px;">Aeon Delight Co Ltd</td>
<td style="width: 84.3281px;"></td>
<td style="width: 265.094px;"></td>
</tr>
</tbody>
</table><p>Estimated one-way turnover at the rebalance is 8.16% and will result in a trade of JPY 468bn.</p><p>Among the inclusions, the largest impacts will be on <a href="https://www.smartkarma.com/entities/daio-paper-corp" target="_blank" data-smartkarma-citation="entities:3211:1" rel="noopener">Daio Paper Corp (3880 JP)</a>, <a href="https://www.smartkarma.com/entities/mizuho-leasing-co-ltd" target="_blank" data-smartkarma-citation="entities:12780:1" rel="noopener">Mizuho Leasing Co (8425 JP)</a>, <a href="https://www.smartkarma.com/entities/sg-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:26070:1" rel="noopener">SG Holdings (9143 JP)</a>, <a href="https://www.smartkarma.com/entities/katitas-co-ltd" target="_blank" data-smartkarma-citation="entities:26073:1" rel="noopener">Katitas Co Ltd (8919 JP)</a>, <a href="https://www.smartkarma.com/entities/aeon-delight-co-ltd" target="_blank" data-smartkarma-citation="entities:16763:1" rel="noopener">Aeon Delight (9787 JP)</a>, <a href="https://www.smartkarma.com/entities/japan-elevator-service-holdi" target="_blank" data-smartkarma-citation="entities:25910:1" rel="noopener">Japan Elevator Service Holdi (6544 JP)</a>, <a href="https://www.smartkarma.com/entities/kandenko-co-ltd" target="_blank" data-smartkarma-citation="entities:3726:1" rel="noopener">Kandenko Co Ltd (1942 JP)</a>, <a href="https://www.smartkarma.com/entities/senko-group-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:5287:1" rel="noopener">SENKO Group Holdings Co., Ltd. (9069 JP)</a>, <a href="https://www.smartkarma.com/entities/fp-corp" target="_blank" data-smartkarma-citation="entities:7703:1" rel="noopener">Fp Corp (7947 JP)</a> and <a href="https://www.smartkarma.com/entities/prima-meat-packers-ltd" target="_blank" data-smartkarma-citation="entities:8035:1" rel="noopener">Prima Meat Packers (2281 JP)</a>.</p><p>Deletions with the largest impacts will be <a href="https://www.smartkarma.com/entities/odakyu-electric-railway-co-ltd" target="_blank" data-smartkarma-citation="entities:5405:1" rel="noopener">Odakyu Electric Railway (9007 JP)</a>, <a href="https://www.smartkarma.com/entities/nankai-electric-railway-co" target="_blank" data-smartkarma-citation="entities:633:1" rel="noopener">Nankai Electric Railway Co (9044 JP)</a>, <a href="https://www.smartkarma.com/entities/keio-corp" target="_blank" data-smartkarma-citation="entities:1223:1" rel="noopener">Keio Corp (9008 JP)</a>, <a href="https://www.smartkarma.com/entities/sotetsu-holdings-inc" target="_blank" data-smartkarma-citation="entities:20274:1" rel="noopener">Sotetsu Holdings (9003 JP)</a>, <a href="https://www.smartkarma.com/entities/tobu-railway-co-ltd" target="_blank" data-smartkarma-citation="entities:15463:1" rel="noopener">Tobu Railway (9001 JP)</a>, <a href="https://www.smartkarma.com/entities/aeon-co-ltd" target="_blank" data-smartkarma-citation="entities:3:1" rel="noopener">Aeon Co Ltd (8267 JP)</a>, <a href="https://www.smartkarma.com/entities/tokyu-corp" target="_blank" data-smartkarma-citation="entities:3357:1" rel="noopener">Tokyu Corp (9005 JP)</a>, <a href="https://www.smartkarma.com/entities/keisei-electric-railway-co" target="_blank" data-smartkarma-citation="entities:10876:1" rel="noopener">Keisei Electric Railway Co (9009 JP)</a>, <a href="https://www.smartkarma.com/entities/toshiba-tec-corp" target="_blank" data-smartkarma-citation="entities:17697:1" rel="noopener">Toshiba Tec (6588 JP)</a> and <a href="https://www.smartkarma.com/entities/hisamitsu-pharmaceutical-co" target="_blank" data-smartkarma-citation="entities:17008:1" rel="noopener">Hisamitsu Pharmaceutical Co (4530 JP)</a>.</p><p>There are changes proposed to the index, mainly on selection criteria for stocks and on qualitative criteria including appointment of independent outside directors and of female corporate directors.</p>

Last evening post market close, the results of the JPX Nikkei 400 review were announced. There are 41 inclusions and 40 deletions to bring the number of constituents back to 400 and the changes will be effective after the close of trading on 30 August.This is the list of inclusions and exclusions.








Inclusions
Exclusions


1417.T
Mirait Holdings Corp
1333.T
Maruha Nichiro Corp


1942.T
Kandenko Co Ltd
2222.T
Kotobuki Spirits Co Ltd


1973.T
NEC Networks &amp; System Integration Corp
3086.T
J.Front Retailing Co Ltd


2281.T
Prima Meat Packers Ltd
3197.T
Skylark Holdings Co Ltd


3244.T
Samty Co Ltd
4185.T
JSR Corp


3254.T
Pressance Corp
4189.T
KH Neochem Co Ltd


3880.T
Daio Paper Corp
4324.T
Dentsu Group Inc


3923.T
Rakus Co Ltd
4530.T
Hisamitsu Pharmaceutical Co Inc


3941.T
Rengo Co Ltd
4666.T
Park24 Co Ltd


4205.T
Zeon Corp
4755.T
Rakuten Group Inc


4552.T
JCR Pharmaceuticals Co Ltd
5401.T
Nippon Steel Corp


4553.T
Towa Pharmaceutical Co Ltd
5411.T
JFE Holdings Inc


4587.T
PeptiDream Inc
5801.T
Furukawa Electric Co Ltd


4812.T
Information Services International-Dentsu Ltd
6481.T
THK Co Ltd


4848.T
Fullcast Holdings Co Ltd
6588.T
Toshiba Tec Corp


4901.T
Fujifilm Holdings Corp
6753.T
Sharp Corp


5706.T
Mitsui Mining and Smelting Co Ltd
6770.T
Alps Alpine Co Ltd


6055.T
Japan Material Co Ltd
6877.T
Obara Group Inc


6183.T
BELLSYSTEM24 Holdings Inc
7261.T
Mazda Motor Corp


6235.T
Optorun Co Ltd
7458.T
Daiichikosho Co Ltd


6361.T
Ebara Corp
7731.T
Nikon Corp


6544.T
Japan Elevator Service Holdings Co Ltd
7751.T
Canon Inc


6727.T
Wacom Co Ltd
8267.T
Aeon Co Ltd


7177.T
GMO Financial Holdings Inc
9001.T
Tobu Railway Co Ltd


7516.T
Kohnan Shoji Co Ltd
9003.T
Sotetsu Holdings Inc


7947.T
FP Corp
9005.T
Tokyu Corp


8194.T
Life Corp
9007.T
Odakyu Electric Railway Co Ltd


8425.T
Mizuho Leasing Co Ltd
9008.T
Keio Corp


8595.T
JAFCO Group Co Ltd
9009.T
Keisei Electric Railway Co Ltd


8892.T
Es-con Japan Ltd
9020.T
East Japan Railway Co


8919.T
Katitas Co Ltd
9021.T
West Japan Railway Co


9069.T
Senko Group Holdings Co Ltd
9024.T
Seibu Holdings Inc


9090.T
Maruwa Unyu Kikan Co Ltd
9041.T
Kintetsu Group Holdings Co Ltd


9101.T
Nippon Yusen KK
9044.T
Nankai Electric Railway Co Ltd


9104.T
Mitsui OSK Lines Ltd
9045.T
Keihan Holdings Co Ltd


9143.T
SG Holdings Co Ltd
9048.T
Nagoya Railroad Co Ltd


9375.T
Kintetsu World Express Inc
9201.T
Japan Airlines Co Ltd


9418.T
USEN NEXT HOLDINGS Co Ltd
9202.T
ANA Holdings Inc


9517.T
eREX Co Ltd
9603.T
H.I.S. Co Ltd


9519.T
Renova Inc
9706.T
Japan Airport Terminal Co Ltd


9787.T
Aeon Delight Co Ltd




Estimated one-way turnover at the rebalance is 8.16% and will result in a trade of JPY 468bn.Among the inclusions, the largest impacts will be on Daio Paper Corp (3880 JP), Mizuho Leasing Co (8425 JP), SG Holdings (9143 JP), Katitas Co Ltd (8919 JP), Aeon Delight (9787 JP), Japan Elevator Service Holdi (6544 JP), Kandenko Co Ltd (1942 JP), SENKO Group Holdings Co., Ltd. (9069 JP), Fp Corp (7947 JP) and Prima Meat Packers (2281 JP).Deletions with the largest impacts will be Odakyu Electric Railway (9007 JP), Nankai Electric Railway Co (9044 JP), Keio Corp (9008 JP), Sotetsu Holdings (9003 JP), Tobu Railway (9001 JP), Aeon Co Ltd (8267 JP), Tokyu Corp (9005 JP), Keisei Electric Railway Co (9009 JP), Toshiba Tec (6588 JP) and Hisamitsu Pharmaceutical Co (4530 JP).There are changes proposed to the index, mainly on selection criteria for stocks and on qualitative criteria including appointment of independent outside directors and of female corporate directors.

JPX Nikkei 400 Index Rebalance: Big Turnover, Big Impact & A Market Consultation

Quantitative Analysis

<div><p>JPX-Nikkei 400 is composed of common stocks listed in the First Section, Second Section, MOTHERS Market, and the JASDAQ Market of the Tokyo Stock Exchange (and JPX). This is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents selected based on several factors including market capitalization, trading value, operating profits, and ROE.</p></div><div><p>A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. This review will be conducted using the final business day of June as the base date. </p></div><div><p>Quiddity provides quantitative research on pre-event basket strategies surrounding this Index Rebalance event and others. Below is a discussion on the latest adjustments required for the basket portfolio for the 2021 Rebalance based on June-end data. </p></div>

JPX-Nikkei 400 is composed of common stocks listed in the First Section, Second Section, MOTHERS Market, and the JASDAQ Market of the Tokyo Stock Exchange (and JPX). This is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents selected based on several factors including market capitalization, trading value, operating profits, and ROE.A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. This review will be conducted using the final business day of June as the base date. Quiddity provides quantitative research on pre-event basket strategies surrounding this Index Rebalance event and others. Below is a discussion on the latest adjustments required for the basket portfolio for the 2021 Rebalance based on June-end data. 

JPX-Nikkei 400 Rebalance 2021: Pre-Event Basket Adjustments for June-End

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Event-Driven

Last Week in Event SPACE:  Swire, Hitachi Metal, Jardine, Softbank, Bingo, Japan Asia, Mainstream

<div><p>JPX-Nikkei 400 is composed of common stocks listed in the First Section, Second Section, MOTHERS Market, and the JASDAQ Market of the Tokyo Stock Exchange. This is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents that are selected based on several factors including market capitalization, trading value, operating profits, and ROE.</p></div><div><p>A periodic review will be conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. This review will be conducted using the final business day of June as the base date. </p></div><div><p>Quiddity provides quantitative research on pre-event basket strategies surrounding this Index Rebalance event. Below is a discussion on the latest adjustments required for the basket portfolio for the 2021 Rebalance based on April-end data. </p></div>

JPX-Nikkei 400 is composed of common stocks listed in the First Section, Second Section, MOTHERS Market, and the JASDAQ Market of the Tokyo Stock Exchange. This is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents that are selected based on several factors including market capitalization, trading value, operating profits, and ROE.A periodic review will be conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. This review will be conducted using the final business day of June as the base date. Quiddity provides quantitative research on pre-event basket strategies surrounding this Index Rebalance event. Below is a discussion on the latest adjustments required for the basket portfolio for the 2021 Rebalance based on April-end data. 

JPX-Nikkei 400 Rebalance 2021: Pre-Event Basket Adjustments for April-End

Japan

AEON DELIGHT CO., LTD. is a building maintenance company.  The Company provides services such as cleaning, security, and equipment management for buildings.

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Aeon Delight (9787 JP)

Quiddity JPX-Nikkei 400 Rebal 2024: End-Dec 2023

In the last 12 months, the current medium conviction DELs basket has seen its price rise sharply while its forward EPS expectations have declined....

Janaghan Jeyakumar, CFA

JPX Nikkei 400 Index Rebalance: Big Turnover, Big Impact & A Market Consultation

There are 41 adds and 40 deletes for the JPX NK 400 Index. One-way turnover is high at 8.16% and will result in a trade of JPY 468bn. There will be...

Brian Freitas

JPX-Nikkei 400 Rebalance 2021: Pre-Event Basket Adjustments for June-End

The JPX Nikkei 400 Rebalance of August 2021 will be based on an end-June 2021 base date (for fundamental, volume, and market cap data). Our...

Janaghan Jeyakumar, CFA

Last Week in Event SPACE: Swire, Hitachi Metal, Jardine, Softbank, Bingo, Japan Asia, Mainstream

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

JPX-Nikkei 400 Rebalance 2021: Pre-Event Basket Adjustments for April-End

JPX Nikkei 400 2021 Rebal Pre-Event L/S Basket +2.9% in April (thru the 28th). The 30th is rebal day for readers. 2 potential deletes and 7...

Janaghan Jeyakumar, CFA

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