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

Event-Driven

<ul>
<li>At the October rebalance, Free Float Weight (FFW) will be reduced on 284 stocks and increased on 458 stocks. 43 stocks will be removed from Phased Weight Reduction.</li>
<li>Estimated one-way turnover is 1.77% resulting in a one-way trade of ¥1.45tn. 364 stocks have over 4 days ADV to trade, 97 stocks have over 8 days ADV to trade.</li>
<li>Over the last 6 months, the stocks with inflows (&gt;US$25m) have outperformed the stocks with outflows (&gt;US$25m) with most of the outperformance coming in the last three months.</li>
</ul>


At the October rebalance, Free Float Weight (FFW) will be reduced on 284 stocks and increased on 458 stocks. 43 stocks will be removed from Phased Weight Reduction.
Estimated one-way turnover is 1.77% resulting in a one-way trade of ¥1.45tn. 364 stocks have over 4 days ADV to trade, 97 stocks have over 8 days ADV to trade.
Over the last 6 months, the stocks with inflows (&gt;US$25m) have outperformed the stocks with outflows (&gt;US$25m) with most of the outperformance coming in the last three months.


TOPIX October 2023 Rebalance: Round Trip Trade of US$20bn; Upweights Outperform Downweights

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>The Nikkei announced its Annual Nikkei 225 Average Review on 5 September. It was 3 OUT 3 IN as expected. Then they added <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> to the mix. </li>
<li>ShizuGin will form a holding company, so out it goes on Wednesday. NIDEC (6594) goes in. Then SMC (6273) and (7741) replace Unitika (3103) and Oki Electric (6703) Friday.</li>
<li>Then ShizuGin goes back in Monday, and Maruha Nichiro (1333) is deleted. The "big trade" here? The ¥550bn+ funding trade. But the change in ADDs' <em>Real World Float</em> is Real.</li>
</ul>


The Nikkei announced its Annual Nikkei 225 Average Review on 5 September. It was 3 OUT 3 IN as expected. Then they added Shizuoka Bank (8355 JP) to the mix. 
ShizuGin will form a holding company, so out it goes on Wednesday. NIDEC (6594) goes in. Then SMC (6273) and (7741) replace Unitika (3103) and Oki Electric (6703) Friday.
Then ShizuGin goes back in Monday, and Maruha Nichiro (1333) is deleted. The "big trade" here? The ¥550bn+ funding trade. But the change in ADDs' Real World Float is Real.


Two Days Left Til Nikkei 225 Juggled Review Starts

Index Rebalance

<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> September rebalance will be done in three parts due to the delisting of <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> and the relisting of Shizuoka Financial Group (5831).</li>
<li>
<a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a>, <a href="https://www.smartkarma.com/entities/smc-corp" target="_blank" data-smartkarma-citation="entities:20866:1" rel="noopener">SMC Corp (6273 JP)</a> and <a href="https://www.smartkarma.com/entities/hoya-corp" target="_blank" data-smartkarma-citation="entities:8990:1" rel="noopener">Hoya Corp (7741 JP)</a> replace <a href="https://www.smartkarma.com/entities/unitika-ltd" target="_blank" data-smartkarma-citation="entities:7669:1" rel="noopener">Unitika Ltd (3103 JP)</a>, <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 (6703 JP)</a> and <a href="https://www.smartkarma.com/entities/maruha-nichiro-corp" target="_blank" data-smartkarma-citation="entities:20640:1" rel="noopener">Maruha Nichiro (1333 JP)</a>. </li>
<li>Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.</li>
</ul>


The Nikkei 225 (NKY INDEX) September rebalance will be done in three parts due to the delisting of Shizuoka Bank (8355 JP) and the relisting of Shizuoka Financial Group (5831).

Nidec Corp (6594 JP), SMC Corp (6273 JP) and Hoya Corp (7741 JP) replace Unitika Ltd (3103 JP), Oki Electric Industry (6703 JP) and Maruha Nichiro (1333 JP). 
Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.


Nikkei 225 Index Rebalance: Mostly on Expected Lines

<ul>
<li>The Nikkei Index Team announced the Nikkei 225 Annual Review today, days earlier than I expected. <a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a>, <a href="https://www.smartkarma.com/entities/smc-corp" target="_blank" data-smartkarma-citation="entities:20866:1" rel="noopener">SMC Corp (6273 JP)</a>, <a href="https://www.smartkarma.com/entities/hoya-corp" target="_blank" data-smartkarma-citation="entities:8990:1" rel="noopener">Hoya Corp (7741 JP)</a> are IN.</li>
<li>
<a href="https://www.smartkarma.com/entities/unitika-ltd" target="_blank" data-smartkarma-citation="entities:7669:1" rel="noopener">Unitika Ltd (3103 JP)</a>, <a href="https://www.smartkarma.com/entities/maruha-nichiro-corp" target="_blank" data-smartkarma-citation="entities:20640:1" rel="noopener">Maruha Nichiro (1333 JP)</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 (6703 JP)</a> are OUT. They did not go for my subjective choices to improve sector balance. Next time.</li>
<li>The inclusion/exclusion events are staggered over 3 days out of four because of the deletion and re-inclusion of <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> due to its formation of a holding company. </li>
</ul>


The Nikkei Index Team announced the Nikkei 225 Annual Review today, days earlier than I expected. Nidec Corp (6594 JP), SMC Corp (6273 JP), Hoya Corp (7741 JP) are IN.

Unitika Ltd (3103 JP), Maruha Nichiro (1333 JP), and Oki Electric Industry (6703 JP) are OUT. They did not go for my subjective choices to improve sector balance. Next time.
The inclusion/exclusion events are staggered over 3 days out of four because of the deletion and re-inclusion of Shizuoka Bank (8355 JP) due to its formation of a holding company. 


Nikkei 225 Review Results: Nidec, SMC, Hoya IN

<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

Japan

SMC CORPORATION manufactures directional control devices such as power, hand, and air valves.  The Company also produces air filters, cylinders, and actuators along with other pneumatic equipment.  SMC seeks to become a comprehensive maker of automated equipment through the market demand of information and communications products.

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SMC Corp (6273 JP)

TOPIX October 2023 Rebalance: Round Trip Trade of US$20bn; Upweights Outperform Downweights

There are FFW changes for 700+ stocks and changes to the Phased Weight Reduction list. Round trip trade is around US$20bn and there is over 8 days...

Brian Freitas

Two Days Left Til Nikkei 225 Juggled Review Starts

The Nikkei 225 Rebal starts Wednesday, skips Thurs, then trades Friday and Monday. There is a large net buy on three ADDs and ¥560bn of funding....

Travis Lundy

Nikkei 225 Index Rebalance: Mostly on Expected Lines

There are 4 changes to the index that will be executed in three parts - changes were mostly expected. One-way turnover is expected at 2.68% and...

Brian Freitas

Nikkei 225 Review Results: Nidec, SMC, Hoya IN

The Nikkei 225 Annual Review announcement was released today. The top 3 names went in (top 75 rule) and the bottom 3 went out. My hopes for a...

Travis Lundy

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

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