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, there are 970 stocks that will have a lower FFW while 114 stocks will have a higher FFW. 493 stocks will undergo a Phased Weight Reduction.</li>
<li>Estimated one-way turnover is 2.54% resulting in a one-way trade of ¥1.815tn. 500 stocks have over 4 days ADV to trade, 100 stocks have over 9 days ADV to trade.</li>
<li>Setting the threshold at +/-US$50m to trade, the stocks with inflows have outperformed the stocks with outflows by 6.5% over the last four months.</li>
</ul>


At the October rebalance, there are 970 stocks that will have a lower FFW while 114 stocks will have a higher FFW. 493 stocks will undergo a Phased Weight Reduction.
Estimated one-way turnover is 2.54% resulting in a one-way trade of ¥1.815tn. 500 stocks have over 4 days ADV to trade, 100 stocks have over 9 days ADV to trade.
Setting the threshold at +/-US$50m to trade, the stocks with inflows have outperformed the stocks with outflows by 6.5% over the last four months.


TOPIX October Rebalance: BIG One With ¥1.8tn a Side to Trade

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

NTT (Nippon Telegraph & Telephone) / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nippon-telegraph-telephone-corporation" target="_blank" data-smartkarma-citation="entities:623:1" rel="noopener">NTT (9432 JP)</a> sees a US$1bn selldown of shares on 29 December, due to a weird quirk in the way TOPIX and JPX Nikkei 400 are constructed and managed.</li>
<li>China's State Administration for Market Supervision is reviewing <a href="https://www.smartkarma.com/entities/razer-inc" target="_blank" data-smartkarma-citation="entities:24380:1" rel="noopener">Razer (1337 HK)</a>'s privatisation as a simple case. With the key regulatory pre-condition all but satisfied, the Scheme timeline will significantly shorten. </li>
<li>The trade is to be long the back end of <a href="https://www.smartkarma.com/entities/shinsei-bank-ltd" target="_blank" data-smartkarma-citation="entities:16897:1" rel="noopener">Shinsei Bank (8303 JP)</a>'s Tender Offer. BUY Shinsei Bank shares - outright, and vs large Japanese banks with higher PBRs. </li>
</ul>



NTT (9432 JP) sees a US$1bn selldown of shares on 29 December, due to a weird quirk in the way TOPIX and JPX Nikkei 400 are constructed and managed.
China's State Administration for Market Supervision is reviewing Razer (1337 HK)'s privatisation as a simple case. With the key regulatory pre-condition all but satisfied, the Scheme timeline will significantly shorten. 
The trade is to be long the back end of Shinsei Bank (8303 JP)'s Tender Offer. BUY Shinsei Bank shares - outright, and vs large Japanese banks with higher PBRs. 


Last Week in Event SPACE: NTT, Razer, Shinsei Bank, Evergrande, Bank of Kyoto, Nippon Express

Travis Lundy

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zeon-corp" target="_blank" data-smartkarma-citation="entities:10866:1" rel="noopener">Zeon Corp (4205 JP)</a> today announced a buyback program to buy a non-negligible portion of ADV and Real World Float over the next several months.</li>
<li>The stock starts from a state of being the low forward PER name among a group of Peers and the under-performer on price over the past six months.</li>
<li>As a reversion trade on value and price with market pressure to boot, it is something to consider.</li>
</ul>



Zeon Corp (4205 JP) today announced a buyback program to buy a non-negligible portion of ADV and Real World Float over the next several months.
The stock starts from a state of being the low forward PER name among a group of Peers and the under-performer on price over the past six months.
As a reversion trade on value and price with market pressure to boot, it is something to consider.


Zeon Corporation (4205 JP) Buyback - Cheap and Price Pressure

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

As long as market dynamics remain largely positive and the MSCI ACWI (ACWI-US), ACWI ex-US (ACWX-US), and EM (EEM-US) indexes are above their respective intermediate-term support levels we believe a constructive outlook is warranted. To reiterate, support levels to watch include $90 on ACWI-US, $53 on ACWX-US, and $52 on EEM-US. Open the attached file to read our complete International Strategy document, and to find links to detailed comments and recommendations for each of our 12 Sectors.

As long as market dynamics remain largely positive and the MSCI ACWI (ACWI-US), ACWI ex-US (ACWX-US), and EM (EEM-US) indexes are above their respective intermediate-term support levels we believe a constructive outlook is warranted. To reiterate, support levels to watch include $90 on ACWI-US, $53 on ACWX-US, and $52 on EEM-US. Open the attached file to read our complete International Strategy document, and to find links to detailed comments and recommendations for each of our 12 Sectors.

Global Equity Strategy: Constructive Pullback; Overweight Value

TSE Tokyo Price Index TOPIX / Technical Analysis

In this report we highlight attractive and actionable themes within developed int’l markets: Technology and Industrials continue to be two of the most attractive Sectors globally -- overweight. These two Sectors account for half of today’s individual recommendations Countries that are (1) developing positively in terms of price and RS and (2) have significant representation in this report include: Japan (TOPIX), Switzerland (SMI), and France (CAC 40).Outside of the above themes, a bottoms-up approach is required to uncover attractive and actionable stocks. On page 4 we include a table of all stocks highlighted in this report.

In this report we highlight attractive and actionable themes within developed int’l markets: Technology and Industrials continue to be two of the most attractive Sectors globally -- overweight. These two Sectors account for half of today’s individual recommendations Countries that are (1) developing positively in terms of price and RS and (2) have significant representation in this report include: Japan (TOPIX), Switzerland (SMI), and France (CAC 40).Outside of the above themes, a bottoms-up approach is required to uncover attractive and actionable stocks. On page 4 we include a table of all stocks highlighted in this report. 

Overweight Global Technology & Industrials

Japan

ZEON CORPORATION produces synthetic rubbers, latex, and resins.  The Company's products are used as tires and other auto parts, and materials for electronic components.

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Zeon Corp (4205 JP)

TOPIX October Rebalance: BIG One With ¥1.8tn a Side to Trade

Lower FFWs on 970 stocks and higher FFWs on 114 stocks will result in one-way turnover of 2.52% leading to a one-way trade of ¥1.8tn at the close...

Brian Freitas

Last Week in Event SPACE: NTT, Razer, Shinsei Bank, Evergrande, Bank of Kyoto, Nippon Express

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

Zeon Corporation (4205 JP) Buyback - Cheap and Price Pressure

Zeon Corp (4205 JP) is cheap and has underperformed peers over the last six months to a much greater degree than would be warranted from EPS...

Travis Lundy

Global Equity Strategy: Constructive Pullback; Overweight Value

As long as the MSCI ACWI (ACWI-US), ACWI ex-US (ACWX-US), and EM (EEM-US) indexes are above their respective intermediate-term support levels we...

Vermilion Research

Overweight Global Technology & Industrials

In this report we highlight attractive and actionable themes within developed int’l markets: Technology and Industrials continue to be two of the...

Vermilion Research

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