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> 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

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>There are four weeks left to go in the data period for calculating the next Nikkei 225 review for March, likely to be announced ~7 March 2023.</li>
<li>The 3 ADDs should be <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>, <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723)</a> , and <a href="https://www.smartkarma.com/entities/japan-airlines-co-ltd" target="_blank" data-smartkarma-citation="entities:1184:1" rel="noopener">Japan Airlines (9201)</a>.  The 3 DELETES <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> , <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo (3101)</a>, and <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> </li>
<li>Oriental Land is the one to watch in March. Slight underperformance would boost buying impact. The Sep23 rebalance and subsequent ones are smaller in size but more interesting in impact.</li>
</ul>


There are four weeks left to go in the data period for calculating the next Nikkei 225 review for March, likely to be announced ~7 March 2023.
The 3 ADDs should be Oriental Land (4661), Renesas Electronics (6723) , and Japan Airlines (9201).  The 3 DELETES Toho Zinc (5707) , Toyobo (3101), and Nippon Light Metal (5703) 
Oriental Land is the one to watch in March. Slight underperformance would boost buying impact. The Sep23 rebalance and subsequent ones are smaller in size but more interesting in impact.


Nikkei 225 March Review - Quiddity Leaderboard (Jan 2023)

Equity Analyst, LightStream Research

Oshadhi Kumarasiri

Equity Analyst

Long-Short Analysis on Japan, Asia and the World

LightStream Research

LightStream conducts quantitatively rigorous and data-driven analysis with a focus on Japan and Asia.

We consistently cover the Tech, Consumer and Industrial sectors, and provide ECM and Events coverage more broadly.

We supplement traditional qualitative insights from company relationships with a robust quantitative foundation that examines as much historical data as is available.
We further refine the accuracy of our insights and calls through the use of alternative data to flesh out current trends, and through a valuation framework that emphasises non-superficial peer group selection and a proper attempt to understand the metrics and changes that have driven security valuations in the past.

Equity Bottom-Up

<ul>
<li>As earnings recovered following the COVID drop, <a href="https://www.smartkarma.com/entities/oriental-land-co-ltd" target="_blank" data-smartkarma-citation="entities:13517:1" rel="noopener">Oriental Land (4661 JP)</a>’s FY+2 EV/OP returned to around 40-60x range, which in our opinion is too expensive, especially in current market conditions.</li>
<li>The positivity surrounding the opening of Fantasy Springs got investors to pay huge multiples but Fantasy Springs is no longer looking enticing to investors.</li>
<li>With a miss and a downgrade to FY23 guidance on the horizon, we are expecting OLC’s share-price to break the long-term trend to the downside in the next few months.</li>
</ul>


As earnings recovered following the COVID drop, Oriental Land (4661 JP)’s FY+2 EV/OP returned to around 40-60x range, which in our opinion is too expensive, especially in current market conditions.
The positivity surrounding the opening of Fantasy Springs got investors to pay huge multiples but Fantasy Springs is no longer looking enticing to investors.
With a miss and a downgrade to FY23 guidance on the horizon, we are expecting OLC’s share-price to break the long-term trend to the downside in the next few months.


Oriental Land: Fantasy Springs, No Longer Enticing Investors, It’s Likely The Start Of The Breakdown

<ul>
<li>With just over two months left in the review period, we expect three changes to 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> at the March rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/lasertec-corp" target="_blank" data-smartkarma-citation="entities:4126:1" rel="noopener">Lasertec Corp (6920 JP)</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 JP)</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 JP)</a> could replace <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo Co Ltd (3101 JP)</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 JP)</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 JP)</a>.</li>
<li>As with the last rebalance, there will be a large funding trade estimated at JPY 417bn. There are many stocks with over 0.5x ADV to sell.</li>
</ul>


With just over two months left in the review period, we expect three changes to the Nikkei 225 (NKY INDEX) at the March rebalance.

Lasertec Corp (6920 JP), Oriental Land (4661 JP) and Renesas Electronics (6723 JP) could replace Toyobo Co Ltd (3101 JP), Nippon Light Metal (5703 JP) and Toho Zinc (5707 JP).
As with the last rebalance, there will be a large funding trade estimated at JPY 417bn. There are many stocks with over 0.5x ADV to sell.


Nikkei 225 Index Rebalance Preview (March): Three Potential Changes & Large Funding Trade

<ul>
<li>Early predictions for the March 2023 Nikkei rebalance (TBA early Feb) are little changed. One way turnover would still be about 1.4%. I see 3 ADDs and 3 DELETEs.</li>
<li>The 3 ADDs should be <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>, <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723)</a>, and <a href="https://www.smartkarma.com/entities/japan-airlines-co-ltd" target="_blank" data-smartkarma-citation="entities:1184:1" rel="noopener">Japan Airlines (9201)</a>.  The 3 DELETES <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>, <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo (3101)</a>, and <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>. </li>
<li>Oriental Land is the one to watch in March. The Sep 2023 rebalance and subsequent ones are smaller in size but more interesting in impact.</li>
</ul>


Early predictions for the March 2023 Nikkei rebalance (TBA early Feb) are little changed. One way turnover would still be about 1.4%. I see 3 ADDs and 3 DELETEs.
The 3 ADDs should be Oriental Land (4661), Renesas Electronics (6723), and Japan Airlines (9201).  The 3 DELETES Toho Zinc (5707), Toyobo (3101), and Nippon Light Metal (5703). 
Oriental Land is the one to watch in March. The Sep 2023 rebalance and subsequent ones are smaller in size but more interesting in impact.


Nikkei 225 March 2023 Review Quiddity Leaderboard (Nov 2022)

Japan

ORIENTAL LAND CO., LTD. operates Tokyo Disney Resort.  The Company also operates restaurants within the complex and sells Disney merchandise.

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Oriental Land (4661 JP)

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 March Review - Quiddity Leaderboard (Jan 2023)

One month of data to go for the first March Nikkei 225 review in many, many, years. Oriental Land remains the top impact buy name, and it is quite...

Travis Lundy

Oriental Land: Fantasy Springs, No Longer Enticing Investors, It’s Likely The Start Of The Breakdown

The positivity surrounding the opening of Fantasy Springs got investors to pay huge multiples but Fantasy Springs is no longer looking enticing to...

Oshadhi Kumarasiri

Nikkei 225 Index Rebalance Preview (March): Three Potential Changes & Large Funding Trade

There should be 3 changes to the NKY in March. The potential adds have outperformed the potential deletes and there will be large pre-positions on...

Brian Freitas

Nikkei 225 March 2023 Review Quiddity Leaderboard (Nov 2022)

Updated Nikkei 225 Leaderboard for the March 2023 review. 10 weeks of data left til the cutoff. The top 3 ADDs are unch'd since Sep. The 3rd-ranked...

Travis Lundy

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