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)

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li>The data is largely unchanged since the <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> set of predictions published 15 days ago.</li>
<li>The consultation results are out. They are as expected too. This has the hallmarks of a VERY well-signalled trade. But it's a biggie. The funding trade alone is ¥600bn.</li>
<li>Because of the data, market conditions, and the variability of choice at the edges, I believe that warrants particular strategy.</li>
</ul>


The data is largely unchanged since the Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out set of predictions published 15 days ago.
The consultation results are out. They are as expected too. This has the hallmarks of a VERY well-signalled trade. But it's a biggie. The funding trade alone is ¥600bn.
Because of the data, market conditions, and the variability of choice at the edges, I believe that warrants particular strategy.


Nikkei 225 Sep22 Annual Review; Data Final, Predictions Unch'd; Strategy Involved

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>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>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

<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> market consultation released last week could lead to some tweaks to the index methodology and the stock selection process. Nothing really material enough though.</li>
<li>Potential index inclusions in September are <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics</a>, <a href="https://www.smartkarma.com/entities/oriental-land-co-ltd" target="_blank" data-smartkarma-citation="entities:13517:1" rel="noopener">Oriental Land</a> and <a href="https://www.smartkarma.com/entities/pan-pacific-international-holdings-corporation" target="_blank" data-smartkarma-citation="entities:13475:1" rel="noopener">Pan Pacific International Holdings</a>, while <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo Co Ltd</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</a> and <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</a> are potential index deletions.</li>
<li>Passive <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> trackers will need to buy between 4-9% of the real float on the high/ medium probability names, while they need to buy between 2.5-14 days of ADV.</li>
</ul>


The Nikkei 225 (NKY INDEX) market consultation released last week could lead to some tweaks to the index methodology and the stock selection process. Nothing really material enough though.
Potential index inclusions in September are Renesas Electronics, Oriental Land and Pan Pacific International Holdings, while Toyobo Co Ltd, Nippon Light Metal and Oki Electric Industry are potential index deletions.
Passive Nikkei 225 trackers will need to buy between 4-9% of the real float on the high/ medium probability names, while they need to buy between 2.5-14 days of ADV.


Nikkei 225 Index Rebalance Preview: Market Consultation & Potential Changes

Japan

Oki Electric Industry Company, Limited, develops, produces, and sells a broad range of communication and information related equipment.  The Company's products include personal computers (PCs), PC peripheral equipment, and electronic devices such as semiconductors and automated teller machines (ATMs). Oki Electric Industry also provides installation and maintenance services.

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Oki Electric Industry (6703 JP)

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 Sep22 Annual Review; Data Final, Predictions Unch'd; Strategy Involved

The Nikkei 225 Consultation Results were published last Wednesday. The data cutoff was last Friday. It's all pretty well-signalled but there are...

Travis Lundy

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

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

Nikkei 225 Index Rebalance Preview: Market Consultation & Potential Changes

Based on the market consultation and the new liquidity measure, we have Renesas Electronics, Oriental Land and Pan Pacific International Holdings...

Brian Freitas

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