Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Now that the September 2023 Nikkei 225 Rebal is announced, we look at the March 2024 rebal and its possibilities. </li>
<li>
<a href="https://www.smartkarma.com/entities/socionext-inc" target="_blank" data-smartkarma-citation="entities:36351:1" rel="noopener">Socionext (6526 JP)</a> is the only automatic ADD, but it might not be. <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" data-smartkarma-citation="entities:18379:1" rel="noopener">ZOZO Inc (3092 JP)</a> and <a href="https://www.smartkarma.com/entities/ryohin-keikaku-co-ltd" target="_blank" data-smartkarma-citation="entities:2765:1" rel="noopener">Ryohin Keikaku (7453 JP)</a> would be sector balance ADDs.</li>
<li>
<a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a> could get capped if it outperforms Nikkei 225 by ~10%+ to 31Jan2024. And <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843 JP)</a> will see an add of ~14 days of ADV.</li>
</ul>


Now that the September 2023 Nikkei 225 Rebal is announced, we look at the March 2024 rebal and its possibilities. 

Socionext (6526 JP) is the only automatic ADD, but it might not be. ZOZO Inc (3092 JP) and Ryohin Keikaku (7453 JP) would be sector balance ADDs.

Fast Retailing (9983 JP) could get capped if it outperforms Nikkei 225 by ~10%+ to 31Jan2024. And Nitori Holdings (9843 JP) will see an add of ~14 days of ADV.


March 2024 Nikkei 225 Rebal - Look for Zozo, Ryohin Keikaku, and Maybe a Socionext Split

<ul>
<li>The data for the Nikkei 225 Rebalance is cemented as of 31 July 2023. <a href="https://www.smartkarma.com/entities/lasertec-corp" target="_blank" data-smartkarma-citation="entities:4126:1" rel="noopener">Lasertec Corp (6920 JP)</a> looks like a shoo-in. The DELETEs are obvious too.</li>
<li>
<a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a> doesn't get a cap (yet). But the other ADDs are a real question. It is a matter of interpreting the methodology and qualitative aspects. And FLOAT.</li>
<li>One way, <a href="https://www.smartkarma.com/entities/socionext-inc" target="_blank" data-smartkarma-citation="entities:36351:1" rel="noopener">Socionext (6526)</a> and <a href="https://www.smartkarma.com/entities/mercari-inc" target="_blank" data-smartkarma-citation="entities:27149:1" rel="noopener">Mercari (4385)</a> are ADDs. Another way, it looks like <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843)</a> and <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" data-smartkarma-citation="entities:18379:1" rel="noopener">ZOZO Inc (3092)</a> or <a href="https://www.smartkarma.com/entities/ryohin-keikaku-co-ltd" target="_blank" data-smartkarma-citation="entities:2765:1" rel="noopener">Ryohin Keikaku (7453)</a>. FLOAT IS A PROBLEM ANYWAY.</li>
</ul>


The data for the Nikkei 225 Rebalance is cemented as of 31 July 2023. Lasertec Corp (6920 JP) looks like a shoo-in. The DELETEs are obvious too.

Fast Retailing (9983 JP) doesn't get a cap (yet). But the other ADDs are a real question. It is a matter of interpreting the methodology and qualitative aspects. And FLOAT.
One way, Socionext (6526) and Mercari (4385) are ADDs. Another way, it looks like Nitori Holdings (9843) and ZOZO Inc (3092) or Ryohin Keikaku (7453). FLOAT IS A PROBLEM ANYWAY.


Sep 2023 Nikkei 225 Review - Not An Easy Rebal 🤨

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 review period for a bunch of indices ended early last week and the announcement of the changes will be made in the next few weeks.</li>
<li>
<a href="https://www.smartkarma.com/entities/hydro-lithium-inc" target="_blank" data-smartkarma-citation="entities:8293:1" rel="noopener">Hydro Lithium (101670 KS)</a> will replace <a href="https://www.smartkarma.com/entities/nice-information-service-co" target="_blank" data-smartkarma-citation="entities:20236:1" rel="noopener">Nice Information Service Co (030190 KS)</a> in the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)</a> at the close on Monday.</li>
<li>There have been big net inflows into China focused ETFs and outflows from Taiwan focused ETFs during the week.</li>
</ul>


The review period for a bunch of indices ended early last week and the announcement of the changes will be made in the next few weeks.

Hydro Lithium (101670 KS) will replace Nice Information Service Co (030190 KS) in the KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY) at the close on Monday.
There have been big net inflows into China focused ETFs and outflows from Taiwan focused ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY)</a> September rebalance ended yesterday. There should be three index changes, potential stepwise inclusion, no <a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing</a> capping and a big funding trade.</li>
<li>There appears to be decent positioning on the potential adds, while it is the close adds that are spiking along with a big increase in traded volumes.</li>
<li>If the three changes are on expected lines, estimated one-way turnover at the rebalance is 2.01% resulting in a one-way trade of JPY 461bn (US$3.24bn). </li>
</ul>


The review period for the Nikkei 225 (NKY) September rebalance ended yesterday. There should be three index changes, potential stepwise inclusion, no Fast Retailing capping and a big funding trade.
There appears to be decent positioning on the potential adds, while it is the close adds that are spiking along with a big increase in traded volumes.
If the three changes are on expected lines, estimated one-way turnover at the rebalance is 2.01% resulting in a one-way trade of JPY 461bn (US$3.24bn). 


Nikkei 225 Index Rebalance Preview (Sep 2023): Final Look as Review Period Ends

<ul>
<li>There were a couple of ad hoc rebalances in Korea last week for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)</a>. </li>
<li>Coming Friday will mark the end of the review period for the next rebalance of 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, LQ45, <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">PCOMP</a> as well as the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET50</a> June implementation.</li>
<li>With Japan indices moving higher, the largest inflows went into ETFs tracking 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 other local/global indices.</li>
</ul>


There were a couple of ad hoc rebalances in Korea last week for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY) and KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY). 
Coming Friday will mark the end of the review period for the next rebalance of the HSI, HSCEI, HSTECH, HSCI, LQ45, PCOMP as well as the SET50 June implementation.
With Japan indices moving higher, the largest inflows went into ETFs tracking the Nikkei 225 (NKY INDEX) and other local/global indices.


Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

Japan

DISCO CORPORATION manufactures abrasive and precision industrial machinery for cutting and grinding purposes.  The Company's products are applied in the semiconductor, electronics, and construction industries to produce consumer goods such as personal computers, digital cameras, video game systems, and Digital Video Disc (DVD) players.

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DISCO Corp (6146 JP)

March 2024 Nikkei 225 Rebal - Look for Zozo, Ryohin Keikaku, and Maybe a Socionext Split

The Sep 2023 Nikkei 225 review is announced, so can look at March 2024. I expect Zozo and Ryohin Keikaku IN, Pacific Metals and Hitachi Zosen OUT....

Travis Lundy

Sep 2023 Nikkei 225 Review - Not An Easy Rebal 🤨

The Sep 2023 Nikkei 225 Periodic Review is problematic. For the first time under the new rules we have "Serious Rule Interpretation Issues." Then...

Travis Lundy

Index Rebalance & ETF Flow Recap: NKY, STAR50, NIFTY NEXT50, SF Holding

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

Brian Freitas

Nikkei 225 Index Rebalance Preview (Sep 2023): Final Look as Review Period Ends

The review period for the NKY Sep rebal ended yesterday. There should be 3 index changes, potential stepwise inclusion, no Fast Retailing capping...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

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

Brian Freitas

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