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

NTT (Nippon Telegraph & Telephone) / Event-Driven

<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

Executive Director, Metrical Inc

Aki Matsumoto

Executive Director

Independent Leading Corporate Governance Research

Metrical Inc

METRICAL INC. is an independent leading Corporate Governance research firm in Japan where Corporate Governance is increasingly recognized as an important element on corporate management in these days. Thus, CG research and solutions would become an essential component of global capital markets and play important to contribute to transparency of the markets and maximize shareholders’ value in Japan. 

METRICAL INC. provides Corporate Governance research and analysis including rating services, and  also offers investment research and IR services with solutions and customized profound research on CG and IR issues.

<ul>
<li>Nikkei carried an article titled "Toshiba, Mizuho, and Mitsubishi Electric Lighten Up on Censure Resignations without Renewal Power.” I would like to touch on the points discussed in the article.</li>
<li>Although the goal should be to take responsibility for scandals and to put a clean slate in place, there have been resignations that show delays in decision-making and lackadaisical succession system.</li>
<li>It shows only the form of board practices changes, but nothing changes on the inside and that scandals are repeated. Why do scandals repeat themselves are discussed in "Repeated Scandals".</li>
</ul>


Nikkei carried an article titled "Toshiba, Mizuho, and Mitsubishi Electric Lighten Up on Censure Resignations without Renewal Power.” I would like to touch on the points discussed in the article.
Although the goal should be to take responsibility for scandals and to put a clean slate in place, there have been resignations that show delays in decision-making and lackadaisical succession system.
It shows only the form of board practices changes, but nothing changes on the inside and that scandals are repeated. Why do scandals repeat themselves are discussed in "Repeated Scandals".


Japan's Governance: About an Article on Resignation of Taking Responsibility

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>The lows have likely been established for this correction, but a bottoming process would likely take weeks or potentially months and could come with more tests of the lows.</li>
<li>Japan's TOPIX and Nikkei 225 are each testing their respective downtrends. The EURO STOXX 50 is testing resistance in the 4040-4090 range. Germany's DAX is testing major resistance at 14,815-14,950.</li>
<li>It is likely that this initial 2-3 week bounce has run its course; stick with cyclical value and defensives, areas we have been focused on for most of 2022.</li>
</ul>


The lows have likely been established for this correction, but a bottoming process would likely take weeks or potentially months and could come with more tests of the lows.
Japan's TOPIX and Nikkei 225 are each testing their respective downtrends. The EURO STOXX 50 is testing resistance in the 4040-4090 range. Germany's DAX is testing major resistance at 14,815-14,950.
It is likely that this initial 2-3 week bounce has run its course; stick with cyclical value and defensives, areas we have been focused on for most of 2022.


Sticking With Cyclical Value and Defensives; Adding Large-Cap Japan Technology

<ul>
<li>This article focuses on valuation as a factor in increasing market capitalization and examines what efforts were made by the companies whose Tobin's q increased.</li>
<li>Companies with large increases in Tobin's q made notable improvements in ％ independent directors and independence of compensation committee . The elimination of anti-takeover also helped boost Tobin's q.</li>
<li>Regarding key actions, companies with large increase in valuation could clarify balance between investment in growth and shareholder returns in capital allocation and work on communication with investors in disclosure.</li>
</ul>


This article focuses on valuation as a factor in increasing market capitalization and examines what efforts were made by the companies whose Tobin's q increased.
Companies with large increases in Tobin's q made notable improvements in ％ independent directors and independence of compensation committee . The elimination of anti-takeover also helped boost Tobin's q.
Regarding key actions, companies with large increase in valuation could clarify balance between investment in growth and shareholder returns in capital allocation and work on communication with investors in disclosure.


Japan's Governance: Transitional Companies in the Prime Market: To Increase Valuations

<ul>
<li>This article will discuss points with reference to the March 16 Nikkei article and focused on the corporate governance practices of companies in which activists have recently raised their shareholdings.</li>
<li>It isn't reasonable to link the investment activity of activists to the number of M&amp;As, nor is it reasonable to discuss their performance over a short period in their mandate.</li>
<li>Looking at the corporate governance status of the portfolio companies, excluding Monex Group, which generally responds well to many of the criteria, these companies are facing some challenges.</li>
</ul>


This article will discuss points with reference to the March 16 Nikkei article and focused on the corporate governance practices of companies in which activists have recently raised their shareholdings.
It isn't reasonable to link the investment activity of activists to the number of M&amp;As, nor is it reasonable to discuss their performance over a short period in their mandate.
Looking at the corporate governance status of the portfolio companies, excluding Monex Group, which generally responds well to many of the criteria, these companies are facing some challenges.


Japan's Governance: About the Article on Activist

Japan

The TOPIX, also known as the Tokyo Stock Price Index, is a capitalization-weighted index of all companies listed on the First Section of the Tokyo Stock Exchange. The index is supplemented by the subindices of the 33 industry sectors. The index calculation excludes temporary issues and preferred stocks, and has a base value of 100 as of January 4, 1968.

TSE Tokyo Price Index TOPIX (TPX INDEX)

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

Japan's Governance: About an Article on Resignation of Taking Responsibility

Nikkei carried an article titled "Toshiba, Mizuho, and Mitsubishi Electric Lighten Up on Censure Resignations without Renewal Power.” I would like...

Metrical Inc

Sticking With Cyclical Value and Defensives; Adding Large-Cap Japan Technology

Sticking With Cyclical Value & Defensives; Adding Large-Cap Japan Technology. 2-3 week bounce has likely run its course with $TOPIX $Nikkei 225,...

Vermilion Research

Japan's Governance: Transitional Companies in the Prime Market: To Increase Valuations

With some companies failing to meet prime market capitalization criteria, this article will explore some tips on how to improve valuations, one of...

Metrical Inc

Japan's Governance: About the Article on Activist

This article will discuss points with reference to March 16 Nikkei article and focused on the corporate governance practices of companies in which...

Metrical Inc