Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

NTT (Nippon Telegraph & Telephone) / Event-Driven

<ul>
<li>The TOPIX October FFW rebalance is Friday at the close. </li>
<li>It is still ¥2trln+ to buy and ¥2trln+ to sell. And there are some big names. A spreadsheet is attached with all the flows. </li>
<li>Surprisingly, the top 40 Z-scores on each side have traded in a VERY tight range for the 6 weeks prior to the announcement and the two weeks post. Very weird.</li>
</ul>


The TOPIX October FFW rebalance is Friday at the close. 
It is still ¥2trln+ to buy and ¥2trln+ to sell. And there are some big names. A spreadsheet is attached with all the flows. 
Surprisingly, the top 40 Z-scores on each side have traded in a VERY tight range for the 6 weeks prior to the announcement and the two weeks post. Very weird.


TOPIX October 2022 Rebal - Treading Water

<ul>
<li>As a follow-on to <a href="https://www.smartkarma.com/insights/topix-october-2022-rebal-big-names-with-big-flows" target="_blank" data-smartkarma-citation="insights:81835" rel="noopener">TOPIX October 2022 Rebal - BIG Names with BIG Flows</a> which discussed ¥2.1trln a side flows overall, this insight analyses and proposes intra-sector baskets.</li>
<li>In general, the sector-neutral BUYs vs SELLs baskets of all names where Index Shares change by 10% or more have seen BUYs sharply outperform SELLs in the past three weeks.</li>
<li>Look for pre-positioning unwinds so trading BUY vs SELL baskets which have bucked the trend, banks and chemicals - might be worthwhile. Otherwise, pick your spots. Use the flow.</li>
</ul>


As a follow-on to TOPIX October 2022 Rebal - BIG Names with BIG Flows which discussed ¥2.1trln a side flows overall, this insight analyses and proposes intra-sector baskets.
In general, the sector-neutral BUYs vs SELLs baskets of all names where Index Shares change by 10% or more have seen BUYs sharply outperform SELLs in the past three weeks.
Look for pre-positioning unwinds so trading BUY vs SELL baskets which have bucked the trend, banks and chemicals - might be worthwhile. Otherwise, pick your spots. Use the flow.


TOPIX October 2022 Rebal - Buy/Sell Baskets (May the Flow Be Ever In Your Favour)

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>On 7 April, the JPX announced the changes to the Free Float Weights (FFW) for the TOPIX Index. There are some big changes due to the updated FFW methodology.</li>
<li>From April to June, we see a one-way turnover of 2.87% and a one-way trade of ¥2,285bn. Some stocks have opposite way flows in different months.</li>
<li>Stocks with inflows outperformed stocks with outflows from Oct-Dec 2021 before giving up all the gains. These stocks have started to outperform and could continue outperforming over the next quarter.</li>
</ul>


On 7 April, the JPX announced the changes to the Free Float Weights (FFW) for the TOPIX Index. There are some big changes due to the updated FFW methodology.
From April to June, we see a one-way turnover of 2.87% and a one-way trade of ¥2,285bn. Some stocks have opposite way flows in different months.
Stocks with inflows outperformed stocks with outflows from Oct-Dec 2021 before giving up all the gains. These stocks have started to outperform and could continue outperforming over the next quarter.


TOPIX FFW Transition - Big Flows from April to June

<ul>
<li>
<a href="https://www.smartkarma.com/entities/shimizu-corp" target="_blank" data-smartkarma-citation="entities:8530:1" rel="noopener">Shimizu Corp (1803 JP)</a> has held ~25% of <a href="https://www.smartkarma.com/entities/nippon-road-co-ltd" target="_blank" data-smartkarma-citation="entities:12581:1" rel="noopener">Nippon Road (1884 JP)</a> and has now announced a Partial Tender Offer to go to 50.1%. It's a 20-year high, but...</li>
<li>... it's the wrong price. And it has been. And a quasi-activist has built a 16% stake in recent years. </li>
<li>The question is whether this gets done. They only need to buy 25.25% out of the 75% they don't own, but it's a question.</li>
</ul>



Shimizu Corp (1803 JP) has held ~25% of Nippon Road (1884 JP) and has now announced a Partial Tender Offer to go to 50.1%. It's a 20-year high, but...
... it's the wrong price. And it has been. And a quasi-activist has built a 16% stake in recent years. 
The question is whether this gets done. They only need to buy 25.25% out of the 75% they don't own, but it's a question.


Shimizu Corp Partial Offer for Nippon Road (1884 JP) May Get Interesting

Japan

The Nippon Road Co Ltd paves a variety of roads.  The Company also performs civil engineering works and constructs buildings.  Nippon Road manufactures and sells paving materials such as asphalt and concrete compounds.  The Company, affiliated with Shimizu Corp., operates real estate leasing business.  Nippon Road develops recycling systems for industrial waste.

Nippon Road (1884 JP)

TOPIX October 2022 Rebal - Treading Water

The October 2022 TOPIX FFW rebalance - ¥2.1trln a side - is to be executed on Friday. There are some large flows on event names, and elsewhere. The...

Travis Lundy

TOPIX October 2022 Rebal - Buy/Sell Baskets (May the Flow Be Ever In Your Favour)

This companion piece to the first October 2022 FFW Rebalance piece shows both large (>¥5bn) and small (¥1-5bn) intra-sector flows. Using the flows...

Travis Lundy

TOPIX FFW Transition - Big Flows from April to June

Changes to the Topix FFW methodology will result in a turnover of 2.87% & trade of ¥2,285bn from April to June. There is a lot to trade on some...

Brian Freitas

Shimizu Corp Partial Offer for Nippon Road (1884 JP) May Get Interesting

Shimizu Corp owns 25%. They want to go to 50.1%. They may be able to but it is not a no-brainer. It may depend on what Simplex does.

Travis Lundy