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 take another stab at identifying potential inclusions and exclusions.</li>
<li>There will be a big impact on the potential index changes. <a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a>'s index weight could be capped and there will be a big funding trade. </li>
<li>There are many things to watch out for that could affect the impact on the inclusions, including stock splits among potential adds and stepwise inclusion of stocks in the index.</li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) September rebalance ends end July. We take another stab at identifying potential inclusions and exclusions.
There will be a big impact on the potential index changes. Fast Retailing (9983 JP)'s index weight could be capped and there will be a big funding trade. 
There are many things to watch out for that could affect the impact on the inclusions, including stock splits among potential adds and stepwise inclusion of stocks in the index.


Nikkei 225 Index Rebalance Preview (Sep 2023): Ranking, Capping, Funding & Other Changes

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nitto-denko-corp" target="_blank" data-smartkarma-citation="entities:3666:1" rel="noopener">Nitto Denko (6988 JP)</a> today announced Q3 results, lower full-year guidance with one-quarter left to go, sharply undercutting implied Q4 results vs the Street.</li>
<li>The company also announced a buyback of 4.1-4.7% of shares out over the next 6mos. Assuming the share price falls in reaction, this could be closer to the top end.</li>
<li>The buyback is non-negligible as a portion of Likely Real World Float and as such the situation is worth a look - for those with a position and those without.</li>
</ul>



Nitto Denko (6988 JP) today announced Q3 results, lower full-year guidance with one-quarter left to go, sharply undercutting implied Q4 results vs the Street.
The company also announced a buyback of 4.1-4.7% of shares out over the next 6mos. Assuming the share price falls in reaction, this could be closer to the top end.
The buyback is non-negligible as a portion of Likely Real World Float and as such the situation is worth a look - for those with a position and those without.


Nitto Denko Q3 Results and Buyback Announced

<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> March rebalance ends next week. We highlight the 3 potential inclusions and exclusions for the index.</li>
<li>
<a href="https://www.smartkarma.com/entities/lasertec-corp" target="_blank" data-smartkarma-citation="entities:4126:1" rel="noopener">Lasertec Corp (6920)</a>, <a href="https://www.smartkarma.com/entities/oriental-land-co-ltd" target="_blank" data-smartkarma-citation="entities:13517:1" rel="noopener">Oriental Land (4661)</a> and <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723)</a> remain our top inclusions, while <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo Co Ltd (3101)</a>, <a href="https://www.smartkarma.com/entities/nippon-light-metal-holdings" target="_blank" data-smartkarma-citation="entities:1485:1" rel="noopener">Nippon Light Metal (5703)</a> and <a href="https://www.smartkarma.com/entities/toho-zinc-co-ltd" target="_blank" data-smartkarma-citation="entities:2796:1" rel="noopener">Toho Zinc (5707)</a> could be deleted.</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 1x ADV on many index constituents.</li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) March rebalance ends next week. We highlight the 3 potential inclusions and exclusions for the index.

Lasertec Corp (6920), Oriental Land (4661) and Renesas Electronics (6723) remain our top inclusions, while Toyobo Co Ltd (3101), Nippon Light Metal (5703) and Toho Zinc (5707) could be deleted.
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 1x ADV on many index constituents.


Nikkei 225 Index Rebalance Preview (March): Potential Changes as Review Period Nears End

<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

Quantitative Analysis

Three days ago I wrote <a href="https://www.smartkarma.com/insights/boj-etf-buying-update" target="_blank" data-smartkarma-citation="insights:38783" rel="noopener">BOJ ETF Buying Update</a> which described the impact of the BOJ buying ETFs on the underlying constituents. This morning, the BOJ made a small clarification, or possibly amendment, to their purchasing plan. This changes the daily purchasing constituent basket slightly, favouring the Nikkei 225 vs what the market probably thought it was doing since mid-March. A quick refresher course on BOJ ETF buying constituency is below.

Three days ago I wrote BOJ ETF Buying Update which described the impact of the BOJ buying ETFs on the underlying constituents. This morning, the BOJ made a small clarification, or possibly amendment, to their purchasing plan. This changes the daily purchasing constituent basket slightly, favouring the Nikkei 225 vs what the market probably thought it was doing since mid-March. A quick refresher course on BOJ ETF buying constituency is below.

Japan

NITTO DENKO CORPORATION manufactures and markets a wide range of chemical products which are used as materials for industrial and electronic components. The Company's products include materials for sealants, semiconductors, and wrappings.  Nitto Denko has a network of sales/manufacturing subsidiaries worldwide.

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Nitto Denko (6988 JP)

Nikkei 225 Index Rebalance Preview (Sep 2023): Ranking, Capping, Funding & Other Changes

There could be 3 changes in Sep + Fast Retailing capping + a possible stepwise inclusion of low liquidity stocks. Mercari is a possible add. There...

Brian Freitas

Nitto Denko Q3 Results and Buyback Announced

Nitto Denko announced Q3 results and revised its full-year forecasts down sharply so implied Q4 is quite weak. The company also announced a buyback...

Travis Lundy

Nikkei 225 Index Rebalance Preview (March): Potential Changes as Review Period Nears End

With a week left in the review period, we revisit the potential NKY changes in March & highlight top add/delete candidates. There will be a large...

Brian Freitas

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

BOJ ETF Buying Composition Clarified

Three days ago I wrote BOJ ETF Buying Update which described the impact of the BOJ buying ETFs on the underlying constituents. This morning, the...

Travis Lundy

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