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>JPX-Nikkei 400 is composed of common stocks listed on the Tokyo Stock Exchange. It is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents.</li>
<li>A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. We look at the potential forward inclusions and removals every month.</li>
<li>Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2023 based on trading data as of end-March 2023.</li>
</ul>


JPX-Nikkei 400 is composed of common stocks listed on the Tokyo Stock Exchange. It is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents.
A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. We look at the potential forward inclusions and removals every month.
Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2023 based on trading data as of end-March 2023.


Quiddity Leaderboard JPX-Nikkei 400: End-Mar 2023

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 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 ends end July. We highlight 3 potential inclusions and exclusions for the index.</li>
<li>There are a few alternate adds that are interesting and their inclusion in the index could move things around a fair bit.</li>
<li>Due to the large size difference between the potential adds/deletes, there will be a large funding trade with passive trackers needing to sell over 0.5x ADV on many index constituents.</li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) September rebalance ends end July. We highlight 3 potential inclusions and exclusions for the index.
There are a few alternate adds that are interesting and their inclusion in the index could move things around a fair bit.
Due to the large size difference between the potential adds/deletes, there will be a large funding trade with passive trackers needing to sell over 0.5x ADV on many index constituents.


Nikkei 225 Index Rebalance Preview (Sep 2023): Potential Changes & Dark Horses

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li>The March 2023 Nikkei 225 Review was announced Friday. Discussion is in <a href="https://www.smartkarma.com/insights/nikkei-225-march-2023-review-olc-jal-renesas-in" target="_blank" data-smartkarma-citation="insights:97041" rel="noopener">Nikkei 225 March 2023 Review - OLC, JAL, Renesas IN.</a> </li>
<li>That means a Sep-2023 preview. ADDs: Lasertec (6920), Toshiba (6502), and Nitori (9843). DELETEs: Nippon Sheet Glass (5202), Mitsui E&amp;S (7003), and Matsui Securities (8628).</li>
<li>Zozo (3092) is a possible alternate add to Toshiba on a sector balance basis if Toshiba's disposition changes in the interim.</li>
</ul>


The March 2023 Nikkei 225 Review was announced Friday. Discussion is in Nikkei 225 March 2023 Review - OLC, JAL, Renesas IN. 
That means a Sep-2023 preview. ADDs: Lasertec (6920), Toshiba (6502), and Nitori (9843). DELETEs: Nippon Sheet Glass (5202), Mitsui E&amp;S (7003), and Matsui Securities (8628).
Zozo (3092) is a possible alternate add to Toshiba on a sector balance basis if Toshiba's disposition changes in the interim.


Nikkei 225 Sep 2023 PREVIEW - Lasertec, Toshiba, Nitori, Maybe Zozo

<ul>
<li>Yesterday I published <a href="https://www.smartkarma.com/insights/nikkei-225-sep-annual-review-predictions-3-in-3-out" target="_blank" data-smartkarma-citation="insights:73209" rel="noopener">Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out</a>. Assuming correct, and we move the last 6mos of data 6mos forward, March23 Rebal is below.</li>
<li>This too is 3 in, 3 out. But it is complicated. "Required" changes would move the sector balance further out of whack. </li>
<li>And while some of the trades are "interesting", the rebal is smaller and the bigger question is <em><strong>"What comes after that?"</strong></em>
</li>
</ul>


Yesterday I published Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out. Assuming correct, and we move the last 6mos of data 6mos forward, March23 Rebal is below.
This too is 3 in, 3 out. But it is complicated. "Required" changes would move the sector balance further out of whack. 
And while some of the trades are "interesting", the rebal is smaller and the bigger question is "What comes after that?"



Nikkei 225 March 2023 Rebal On The Follow - Predictions (3 In, 3 Out) & Problems

<ul>
<li>The Nikkei 225 Annual Review is in September based on end-July data. Jumping the gun, I propose 3 additions and 3 deletions with granular data and details offered per sector.</li>
<li>I see ¥600bn to buy and a funding trade of 99% of that. There are 15+ names with more than 1 day of ADV to sell (funding only).</li>
<li>The impact on Real World Float is non-negligible. One name in particular is deserving of attention. </li>
</ul>


The Nikkei 225 Annual Review is in September based on end-July data. Jumping the gun, I propose 3 additions and 3 deletions with granular data and details offered per sector.
I see ¥600bn to buy and a funding trade of 99% of that. There are 15+ names with more than 1 day of ADV to sell (funding only).
The impact on Real World Float is non-negligible. One name in particular is deserving of attention. 


Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out

Japan

MATSUI SECURITIES CO., LTD. provides online brokerage services through its website.  The Company offers investment news and educational services.

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Matsui Securities (8628 JP)

Quiddity Leaderboard JPX-Nikkei 400: End-Mar 2023

I would be LONG MED conviction Potential ADDs and SHORT MED conviction Potential DELs because there is a large disparity between earnings...

Janaghan Jeyakumar, CFA

Nikkei 225 Index Rebalance Preview (Sep 2023): Potential Changes & Dark Horses

There could be 3 changes to the NKY in Sep. Lasertec, ZOZO, Nitori could replace MatsuiSec, MitsuiE&S, NipponSheetGlass. There are other stocks...

Brian Freitas

Nikkei 225 Sep 2023 PREVIEW - Lasertec, Toshiba, Nitori, Maybe Zozo

The March 225 Rebalance is out so the Sep 2023 Review is fair game. I see three ADDs (Lasertec, Toshiba, and Nitori) and three DELETEs (Mitsui E&S,...

Travis Lundy

Nikkei 225 March 2023 Rebal On The Follow - Predictions (3 In, 3 Out) & Problems

If we assume the Sep-22 Nikkei 225 Rebal predictions, then we look to Mar-23. 3 more in and out. Then it starts getting weird as Auto Inclusions...

Travis Lundy

Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out

The September Nikkei 225 Rebal announcement is ~ 6 weeks away. Assuming the current plans go through, I see three adds, three deletes. The adds are...

Travis Lundy

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