Ryohin Keikaku

MSCI Japan Index Rebalance: Covering to Come After Large Short Buildup

Event-Driven
553 Views, 17 May 2022 11:53
EXECUTIVE SUMMARY
  • There are 22 deletions for the MSCI Japan Index at the May SAIR. The changes were expected and there is large short buildup on quite a few of the stocks.
  • Over the last month, the largest increase in shorts as a percentage of passive selling was on Mercari Inc, Ryohin Keikaku, Tokyo Century Corp, Sohgo Security Services, Pola Orbis Holdings.
  • The deletions have underperformed the TOPIX by 22% over the last 6 months and by 10% over the last two months. Position for a bounce post implementation.
detail (7-minute read)
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