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 <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

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>Quiddity's "Who is Ready" series of insights aims to objectively identify names listed on the Tokyo Stock Exchange that are potential additions to the TOPIX Index in future.</li>
<li>In this insight, I have defined six key Segment Transfer requirements which prove to be decisive in this process.</li>
<li>At present, there are 51 names that satisfy all of these conditions and there are more names that are close to being that group.</li>
</ul>


Quiddity's "Who is Ready" series of insights aims to objectively identify names listed on the Tokyo Stock Exchange that are potential additions to the TOPIX Index in future.
In this insight, I have defined six key Segment Transfer requirements which prove to be decisive in this process.
At present, there are 51 names that satisfy all of these conditions and there are more names that are close to being that group.


TOPIX Inclusions: Who Is Ready (Aug 2022)

<ul>
<li>With the review period for the September rebalance of 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> complete, we take a look at the potential inclusions and exclusions for the index.</li>
<li>The conclusions of the market consultation have been announced and that will mean we switch to a semi-annual rebalance. So we take a look at potential changes in March 2023.</li>
<li>The announcement of the changes for the next rebalance should be made in the first week of September and will be implemented at the close on 30 September.</li>
</ul>


With the review period for the September rebalance of the Nikkei 225 (NKY INDEX) complete, we take a look at the potential inclusions and exclusions for the index.
The conclusions of the market consultation have been announced and that will mean we switch to a semi-annual rebalance. So we take a look at potential changes in March 2023.
The announcement of the changes for the next rebalance should be made in the first week of September and will be implemented at the close on 30 September.


Nikkei 225 Index Rebalance Preview: Consultation Conclusions & Potential Changes in Sep & March

<ul>
<li>FFW changes and <a href="https://www.smartkarma.com/entities/mercari-inc" target="_blank" data-smartkarma-citation="entities:27149:1" rel="noopener">Mercari Inc (4385 JP)</a>'s inclusion in the TOPIX will lead to a one-way turnover of 0.55% and one-way trade of JPY 443bn (US$3.23bn) at the close today.</li>
<li>There is net buying in Consumer Discretionary, Financials and Communication Services stocks, while there will be net selling in Consumer Staples and Health Care stocks.</li>
<li>The upweights have outperformed the downweights since announcement of the changes and there has not been a lot of excess volume traded in the last couple of weeks.</li>
</ul>


FFW changes and Mercari Inc (4385 JP)'s inclusion in the TOPIX will lead to a one-way turnover of 0.55% and one-way trade of JPY 443bn (US$3.23bn) at the close today.
There is net buying in Consumer Discretionary, Financials and Communication Services stocks, while there will be net selling in Consumer Staples and Health Care stocks.
The upweights have outperformed the downweights since announcement of the changes and there has not been a lot of excess volume traded in the last couple of weeks.


TOPIX July Rebalance: Flows at the Close Today

<ul>
<li>
<a href="https://www.smartkarma.com/entities/mercari-inc" target="_blank" data-smartkarma-citation="entities:27149:1" rel="noopener">Mercari Inc (4385 JP)</a> will be added to the <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">Tokyo Stock Exchange Tokyo Price Index Topix (TPX INDEX)</a> at the close on 28 July.</li>
<li>There are a lot of FFW changes, mainly reductions. This leads to large funding inflows on the large index stocks.</li>
<li>We estimate the inclusion of Mercari and the FFW changes will lead to a one-way turnover of 0.56% leading to a one-way trade of JPY 442.23bn (US$3.25bn).</li>
</ul>



Mercari Inc (4385 JP) will be added to the Tokyo Stock Exchange Tokyo Price Index Topix (TPX INDEX) at the close on 28 July.
There are a lot of FFW changes, mainly reductions. This leads to large funding inflows on the large index stocks.
We estimate the inclusion of Mercari and the FFW changes will lead to a one-way turnover of 0.56% leading to a one-way trade of JPY 442.23bn (US$3.25bn).


TOPIX July Rebalance: Mercari Inclusion, FFW Changes, US$6.5bn To Trade

Japan

KEYENCE CORPORATION develops, manufactures, and sells sensors and measuring instruments used for factory automation (FA) and high technology hobby products. The Company's products include fiber optic sensors, photoelectric sensors, programmable logic controllers (PLC), laser scan micrometers, bar code readers, and radio-controlled model cars.

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Keyence Corp (6861 JP)

Nikkei 225 Index Rebalance: Mostly on Expected Lines

There are 4 changes to the index that will be executed in three parts - changes were mostly expected. One-way turnover is expected at 2.68% and...

Brian Freitas

TOPIX Inclusions: Who Is Ready (Aug 2022)

Appier Group is currently one of the best picks because when it comes to TOPIX Inclusion Pre-events, knowing that a company intends to move to the...

Janaghan Jeyakumar, CFA

Nikkei 225 Index Rebalance Preview: Consultation Conclusions & Potential Changes in Sep & March

The market consultation conclusion were confirmed last week. We expect 3 changes to the index in September and another 3 in March. The adds/deletes...

Brian Freitas

TOPIX July Rebalance: Flows at the Close Today

The TOPIX July rebalance will lead to a turnover of 0.55% and trade of JPY 443bn at the close today. The top 25 upweights have outperformed the top...

Brian Freitas

TOPIX July Rebalance: Mercari Inclusion, FFW Changes, US$6.5bn To Trade

Mercari will be added to the TPX at the close on 28 July. There are a lot of FFW changes that will result in one-way turnover of 0.56% leading to a...

Brian Freitas

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52-week Range

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