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 will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, HSIII and global indices.</li>
<li>The review period for the March rebalance of the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.</li>
<li>There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.</li>
</ul>


There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the HSI, HSCEI, HSTECH, HSCI, HSIII and global indices.
The review period for the March rebalance of the S&amp;P/ASX 200 and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.
There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.


Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

Event-Driven

<ul>
<li>There are some Japanese stocks that have dropped in price even as the broader market has powered higher. That could lead to the stocks being deleted from global portfolios.</li>
<li>The deletion from passive portfolios will lead to a liquidity event at the end of February where passive trackers will need to sell multiple days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/baycurrent-consulting-inc" target="_blank" data-smartkarma-citation="entities:25985:1" rel="noopener">BayCurrent Consulting (6532 JP)</a> is a dark horse for inclusion in 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> in March and this deletion could take the stock lower before the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> announcement.</li>
</ul>


There are some Japanese stocks that have dropped in price even as the broader market has powered higher. That could lead to the stocks being deleted from global portfolios.
The deletion from passive portfolios will lead to a liquidity event at the end of February where passive trackers will need to sell multiple days of ADV.

BayCurrent Consulting (6532 JP) is a dark horse for inclusion in the Nikkei 225 (NKY INDEX) in March and this deletion could take the stock lower before the Nikkei 225 announcement.


Japan - Increasing Shorts on Some Interesting** Stocks

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>
<a href="https://www.smartkarma.com/entities/canon-inc" target="_blank" data-smartkarma-citation="entities:1:1" rel="noopener">Canon Inc (7751 JP)</a> announced 2023 full-year results on 30 January. Results were mixed. Revenues did OK. Net Profit underperformed expectations. 2024 Net Profit Guidance is 1% higher than consensus.</li>
<li>Canon has a 15yr history of one kind of buyback. ¥50bn every time. 19 times in a row. Short (10 weeks max), sharp, executions (executed in 3-5 weeks). Every time. </li>
<li>This time offers a new buyback. ¥100bn. Over the space of a year. That's only 3% of ADV but the shareholder structure is different than you think it is.</li>
</ul>



Canon Inc (7751 JP) announced 2023 full-year results on 30 January. Results were mixed. Revenues did OK. Net Profit underperformed expectations. 2024 Net Profit Guidance is 1% higher than consensus.
Canon has a 15yr history of one kind of buyback. ¥50bn every time. 19 times in a row. Short (10 weeks max), sharp, executions (executed in 3-5 weeks). Every time. 
This time offers a new buyback. ¥100bn. Over the space of a year. That's only 3% of ADV but the shareholder structure is different than you think it is.


Canon (7751) - OK 2023 Results, Better Guidance, Bigger, Longer, Slower Buyback

Budweiser Brewing  APAC  / Index Rebalance

<ul>
<li>The review period for a global index commenced last week and will run through this week as well.</li>
<li>The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.</li>
<li>Huge inflows to <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> trackers during the week while there was a big outflow from <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a>. </li>
</ul>


The review period for a global index commenced last week and will run through this week as well.
The announcement of the changes for the LQ45 Index should be announced in the coming week and will be implemented at the close on 31 January.
Huge inflows to CSI 300 Index trackers during the week while there was a big outflow from Tracker Fund of Hong Kong (2800 HK). 


Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

<ul>
<li>Some stocks have continued to underperform 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> and their peers and could be deleted from global passive portfolios next month.</li>
<li>Stocks that were expected to be deleted (but could now be safe) have outperformed 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> over the last couple of weeks.</li>
<li>There has been two-way flow in a lot of stocks with market participants increasing and covering short positions as the stock prices have moved around.</li>
</ul>


Some stocks have continued to underperform the Nikkei 225 (NKY INDEX) and their peers and could be deleted from global passive portfolios next month.
Stocks that were expected to be deleted (but could now be safe) have outperformed the Nikkei 225 (NKY INDEX) over the last couple of weeks.
There has been two-way flow in a lot of stocks with market participants increasing and covering short positions as the stock prices have moved around.


Japan - Increasing Shorts on Some Interesting* Stocks; Positioning Appears Light

Japan

BROTHER INDUSTRIES, LTD. manufactures and markets communications and office equipment.  The Company's main products include facsimiles, digital copy machines, label printers, and word processors.  Brother Industries also manufactures and sells sewing machines and other tools.  The Company operates its business worldwide.

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Brother Industries (6448 JP)

Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Japan - Increasing Shorts on Some Interesting** Stocks

There are a lot of potential passive deletions in Japan later this month. Short interest has increased in nearly all stocks since November....

Brian Freitas

Canon (7751) - OK 2023 Results, Better Guidance, Bigger, Longer, Slower Buyback

Canon results were OK but underperformed expectations at the net level. Guidance for 2024 are slightly above consensus. Interesting news is that...

Travis Lundy

Index Rebalance & ETF Flow Recap: ASX, KS200, KQ150, HSIII, STTF, L&F, Costa Group, Japan, Bud APAC

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Japan - Increasing Shorts on Some Interesting* Stocks; Positioning Appears Light

There could be selling in 5-6 Japan stocks from global passive portfolios next month. Short buildup is smaller than the expected passive selling...

Brian Freitas

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