Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>The Nikkei announced its Annual Nikkei 225 Average Review on 5 September. It was 3 OUT 3 IN as expected. Then they added <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> to the mix. </li>
<li>ShizuGin will form a holding company, so out it goes on Wednesday. NIDEC (6594) goes in. Then SMC (6273) and (7741) replace Unitika (3103) and Oki Electric (6703) Friday.</li>
<li>Then ShizuGin goes back in Monday, and Maruha Nichiro (1333) is deleted. The "big trade" here? The ¥550bn+ funding trade. But the change in ADDs' <em>Real World Float</em> is Real.</li>
</ul>


The Nikkei announced its Annual Nikkei 225 Average Review on 5 September. It was 3 OUT 3 IN as expected. Then they added Shizuoka Bank (8355 JP) to the mix. 
ShizuGin will form a holding company, so out it goes on Wednesday. NIDEC (6594) goes in. Then SMC (6273) and (7741) replace Unitika (3103) and Oki Electric (6703) Friday.
Then ShizuGin goes back in Monday, and Maruha Nichiro (1333) is deleted. The "big trade" here? The ¥550bn+ funding trade. But the change in ADDs' Real World Float is Real.


Two Days Left Til Nikkei 225 Juggled Review Starts

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

<ul>
<li>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> September rebalance will be done in three parts due to the delisting of <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> and the relisting of Shizuoka Financial Group (5831).</li>
<li>
<a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a>, <a href="https://www.smartkarma.com/entities/smc-corp" target="_blank" data-smartkarma-citation="entities:20866:1" rel="noopener">SMC Corp (6273 JP)</a> and <a href="https://www.smartkarma.com/entities/hoya-corp" target="_blank" data-smartkarma-citation="entities:8990:1" rel="noopener">Hoya Corp (7741 JP)</a> replace <a href="https://www.smartkarma.com/entities/unitika-ltd" target="_blank" data-smartkarma-citation="entities:7669:1" rel="noopener">Unitika Ltd (3103 JP)</a>, <a href="https://www.smartkarma.com/entities/oki-electric-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:2181:1" rel="noopener">Oki Electric Industry (6703 JP)</a> and <a href="https://www.smartkarma.com/entities/maruha-nichiro-corp" target="_blank" data-smartkarma-citation="entities:20640:1" rel="noopener">Maruha Nichiro (1333 JP)</a>. </li>
<li>Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.</li>
</ul>


The Nikkei 225 (NKY INDEX) September rebalance will be done in three parts due to the delisting of Shizuoka Bank (8355 JP) and the relisting of Shizuoka Financial Group (5831).

Nidec Corp (6594 JP), SMC Corp (6273 JP) and Hoya Corp (7741 JP) replace Unitika Ltd (3103 JP), Oki Electric Industry (6703 JP) and Maruha Nichiro (1333 JP). 
Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.


Nikkei 225 Index Rebalance: Mostly on Expected Lines

<ul>
<li>The Nikkei Index Team announced the Nikkei 225 Annual Review today, days earlier than I expected. <a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a>, <a href="https://www.smartkarma.com/entities/smc-corp" target="_blank" data-smartkarma-citation="entities:20866:1" rel="noopener">SMC Corp (6273 JP)</a>, <a href="https://www.smartkarma.com/entities/hoya-corp" target="_blank" data-smartkarma-citation="entities:8990:1" rel="noopener">Hoya Corp (7741 JP)</a> are IN.</li>
<li>
<a href="https://www.smartkarma.com/entities/unitika-ltd" target="_blank" data-smartkarma-citation="entities:7669:1" rel="noopener">Unitika Ltd (3103 JP)</a>, <a href="https://www.smartkarma.com/entities/maruha-nichiro-corp" target="_blank" data-smartkarma-citation="entities:20640:1" rel="noopener">Maruha Nichiro (1333 JP)</a>, and <a href="https://www.smartkarma.com/entities/oki-electric-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:2181:1" rel="noopener">Oki Electric Industry (6703 JP)</a> are OUT. They did not go for my subjective choices to improve sector balance. Next time.</li>
<li>The inclusion/exclusion events are staggered over 3 days out of four because of the deletion and re-inclusion of <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> due to its formation of a holding company. </li>
</ul>


The Nikkei Index Team announced the Nikkei 225 Annual Review today, days earlier than I expected. Nidec Corp (6594 JP), SMC Corp (6273 JP), Hoya Corp (7741 JP) are IN.

Unitika Ltd (3103 JP), Maruha Nichiro (1333 JP), and Oki Electric Industry (6703 JP) are OUT. They did not go for my subjective choices to improve sector balance. Next time.
The inclusion/exclusion events are staggered over 3 days out of four because of the deletion and re-inclusion of Shizuoka Bank (8355 JP) due to its formation of a holding company. 


Nikkei 225 Review Results: Nidec, SMC, Hoya IN

<ul>
<li>The Nikkei 225 rebalance will likely be announced this week. I continue to be slightly off-kilter, expecting Nidec, SMC, and Oriental Land to replace Unitika, Oki Electric, and Toho Zinc.</li>
<li>Others would expect Hoya to replace Maruha Nichiro instead of Oriental Land replacing Toho Zinc, but I think it Nikkei Sector balance may matter. It could go either way.</li>
<li>Tactically speaking, cumulative volumes and Real World Float tell you how you might trade this. </li>
</ul>


The Nikkei 225 rebalance will likely be announced this week. I continue to be slightly off-kilter, expecting Nidec, SMC, and Oriental Land to replace Unitika, Oki Electric, and Toho Zinc.
Others would expect Hoya to replace Maruha Nichiro instead of Oriental Land replacing Toho Zinc, but I think it Nikkei Sector balance may matter. It could go either way.
Tactically speaking, cumulative volumes and Real World Float tell you how you might trade this. 


Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

iShares MSCI ACWI ETF / Technical Analysis

<ul>
<li>In last week's Int'l Compass (Aug. 18) we discussed that global equities are going through a bottoming process, but that the real test will come during the eventual pullback.</li>
<li>We are getting the pullback now, but so far, there has yet to be any failed breakouts among the indexes discussed over the past month -- a positive sign.</li>
<li>Worth noting- <em>further</em> breakout attempts have failed on some of the leading market indexes, notably the Nasdaq 100 and India's SENSEX, but they remain well-above their breakout levels from July.</li>
</ul>


In last week's Int'l Compass (Aug. 18) we discussed that global equities are going through a bottoming process, but that the real test will come during the eventual pullback.
We are getting the pullback now, but so far, there has yet to be any failed breakouts among the indexes discussed over the past month -- a positive sign.
Worth noting- further breakout attempts have failed on some of the leading market indexes, notably the Nasdaq 100 and India's SENSEX, but they remain well-above their breakout levels from July.


Pullback Underway; Buy Ideas: Energy, Materials, Japan/India Motor Vehicles, Japan Health Care

Japan

Hoya Corp manufactures electro-optics products such as mask blanks for semiconductors, photomasks for LCD panels, optical glasses, glass memory disks for HDDs, medical flexible endoscopes, eyeglasses, and contact lenses. The Company also provides information system architecture.

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Hoya Corp (7741 JP)

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Pullback Underway; Buy Ideas: Energy, Materials, Japan/India Motor Vehicles, Japan Health Care

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Vermilion Research

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