Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

The Tokyo Stock Exchange (TSE) calculates Free-Float Weight (FFW) for each listed company and uses this value as a key component of TOPIX Index Calculation. For companies with "low liquidity" the FFW will be multiplied by a fixed liquidity factor of 0.75 to derive the final FFW used for index calculation. This affects both TSE-1 incumbents and new entrants (depending on the date of entry). Every April, the application of this liquidity factor is reviewed by the TSE for all TSE1 constituents. Last April, 71 constituents saw their liquidity factors removed causing an increase in their respective FFWs used for index calculation resulting in a TOPIX upweight.This situation opens up interesting opportunities for a basket trade. Below is a discussion regarding the key details of TSE's FFW Calculation Methodology and the candidate stocks which could potentially experience a change in the application of the liquidity factor (including some surprisingly big names).

The Tokyo Stock Exchange (TSE) calculates Free-Float Weight (FFW) for each listed company and uses this value as a key component of TOPIX Index Calculation. For companies with "low liquidity" the FFW will be multiplied by a fixed liquidity factor of 0.75 to derive the final FFW used for index calculation. This affects both TSE-1 incumbents and new entrants (depending on the date of entry). Every April, the application of this liquidity factor is reviewed by the TSE for all TSE1 constituents. Last April, 71 constituents saw their liquidity factors removed causing an increase in their respective FFWs used for index calculation resulting in a TOPIX upweight.This situation opens up interesting opportunities for a basket trade. Below is a discussion regarding the key details of TSE's FFW Calculation Methodology and the candidate stocks which could potentially experience a change in the application of the liquidity factor (including some surprisingly big names).   

TOPIX Index Upweights: The Big April Basket 2021

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Today, TSE MOTHERS-listed small-cap healthcare company <a href="https://www.smartkarma.com/entities/24396" target="_blank" data-smartkarma-citation="entities:24396:1">Kanamic Network (3939 JP)</a> announced it would conduct a tachiaigai bunbai offering of 400,000 shares on a date between August 16th and August 21st. This is a $150mm market cap with limited float. The 'real event' isn't for months. It is expensive and could be volatile in the meantime. This insight is less bullish the price and more interested in the event as an interesting opportunity. If not interested, please stop here.Each buyer would be…

Today, TSE MOTHERS-listed small-cap healthcare company Kanamic Network (3939 JP) announced it would conduct a tachiaigai bunbai offering of 400,000 shares on a date between August 16th and August 21st. This is a $150mm market cap with limited float. The 'real event' isn't for months. It is expensive and could be volatile in the meantime. This insight is less bullish the price and more interested in the event as an interesting opportunity. If not interested, please stop here.Each buyer would be…

Kanamic (3939 JP) - Tachiaigai Bunbai Aiming at TOPIX Inclusion

Japan

Kanamic Network Co., Ltd provides platforms and management systems for the health care industry. The Company also offers web design, website operation and Internet advertising services for the health care sector.

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Kanamic Network (3939 JP)

TOPIX Index Upweights: The Big April Basket 2021

TOPIX does an annual exercise to adjust Liquidity Factor. The time for trades around that is upon us. This insight looks at the best trade around...

Janaghan Jeyakumar, CFA

Kanamic (3939 JP) - Tachiaigai Bunbai Aiming at TOPIX Inclusion

Today, TSE MOTHERS-listed small-cap healthcare company Kanamic Network (3939 JP) announced it would conduct a tachiaigai bunbai offering of 400,000...

Travis Lundy

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