Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>The March 2024 rebal is done and dusted. When announced, there were 2 prospective DELETEs for Sep 2024. Now there is only one expected DELETE, <a href="https://www.smartkarma.com/entities/nippon-paper-industries-co-l" target="_blank" data-smartkarma-citation="entities:557:1" rel="noopener">Nippon Paper Industries (3863 JP)</a>. </li>
<li>The one likely inclusion is therefore <a href="https://www.smartkarma.com/entities/ryohin-keikaku-co-ltd" target="_blank" data-smartkarma-citation="entities:2765:1" rel="noopener">Ryohin Keikaku (7453 JP)</a>. But there is more fun afoot with <a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a> and <a href="https://www.smartkarma.com/entities/tokyo-electron-ltd" target="_blank" data-smartkarma-citation="entities:280:1" rel="noopener">Tokyo Electron (8035 JP)</a>. </li>
<li>The two stocks - of totally different sectors - interact somewhat, both in determining Nikkei 225 direction, and their relative potential selldowns. </li>
</ul>


The March 2024 rebal is done and dusted. When announced, there were 2 prospective DELETEs for Sep 2024. Now there is only one expected DELETE, Nippon Paper Industries (3863 JP). 
The one likely inclusion is therefore Ryohin Keikaku (7453 JP). But there is more fun afoot with Fast Retailing (9983 JP) and Tokyo Electron (8035 JP). 
The two stocks - of totally different sectors - interact somewhat, both in determining Nikkei 225 direction, and their relative potential selldowns. 


Sep24 Nikkei 225 Rebal - Now 1 ADD, 1 DELETE; Fastie+TEL Still Where the Fun Is

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/disco-corp" target="_blank" data-smartkarma-citation="entities:15817:1" rel="noopener">DISCO (6146 JP)</a>, <a href="https://www.smartkarma.com/entities/socionext-inc" target="_blank" data-smartkarma-citation="entities:36351:1" rel="noopener">Socionext (6526 JP)</a> and <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" data-smartkarma-citation="entities:18379:1" rel="noopener">ZOZO (3092 JP)</a> will replace <a href="https://www.smartkarma.com/entities/takara-holdings-inc" target="_blank" data-smartkarma-citation="entities:11074:1" rel="noopener">Takara Holdings (2531 JP)</a>, <a href="https://www.smartkarma.com/entities/sumitomo-osaka-cement-co-ltd" target="_blank" data-smartkarma-citation="entities:20460:1" rel="noopener">Sumitomo Osaka Cement (5232 JP)</a> and <a href="https://www.smartkarma.com/entities/pacific-metals-co-ltd" target="_blank" data-smartkarma-citation="entities:3439:1" rel="noopener">Pacific Metals (5541 JP)</a> in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843 JP)</a>'s PAF will increase from 0.3 to 0.5, and surprisingly there is no PAF adjustment for <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" data-smartkarma-citation="entities:18379:1" rel="noopener">ZOZO Inc (3092 JP)</a>. </li>
<li>Passive trackers need to buy between 1-18 days of ADV on the adds while selling between 2.7-28 days of ADV on the deletes. There is a big funding trade too.</li>
</ul>



DISCO (6146 JP), Socionext (6526 JP) and ZOZO (3092 JP) will replace Takara Holdings (2531 JP), Sumitomo Osaka Cement (5232 JP) and Pacific Metals (5541 JP) in the Nikkei 225.

Nitori Holdings (9843 JP)'s PAF will increase from 0.3 to 0.5, and surprisingly there is no PAF adjustment for ZOZO Inc (3092 JP). 
Passive trackers need to buy between 1-18 days of ADV on the adds while selling between 2.7-28 days of ADV on the deletes. There is a big funding trade too.


Nikkei 225 Index Rebalance: DISCO, Socionext, ZOZO In; PacMetals, Sumitomo Osaka, Takara Holding Out

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" data-smartkarma-citation="entities:18379:1" rel="noopener">ZOZO Inc (3092 JP)</a> is +10% since the close <em>after</em> the Nikkei 225 inclusion announcement vs Nikkei225 +2%. Fellow upweight Nitori is up too. Disco and Socionext are up less.</li>
<li>All three inclusions and one upweight see considerable inclusion demand when compared to active holdings. Some more than others. </li>
<li>Some trades here are more interesting than others, still. Cumulative excess volumes are one guide. Fundamentals, and flow dynamics are another.</li>
</ul>



ZOZO Inc (3092 JP) is +10% since the close after the Nikkei 225 inclusion announcement vs Nikkei225 +2%. Fellow upweight Nitori is up too. Disco and Socionext are up less.
All three inclusions and one upweight see considerable inclusion demand when compared to active holdings. Some more than others. 
Some trades here are more interesting than others, still. Cumulative excess volumes are one guide. Fundamentals, and flow dynamics are another.


Mar24 Nikkei 225 Rebal: Zozo (3092) And Other ADDs Update

<ul>
<li>Every year it's the same trade. This year it is Wednesday and Thursday. There are risks to the analysis - notably allocation.</li>
<li>But there may be ¥1.0-1.2trln+ to buy on one day into the close later this month, then ad hoc buys of ¥630bn and index sells of ~¥600bn  2 days later.</li>
<li>Over the past ten years, the two day return on the March trade is great. This year the Nikkei funding trade makes things more complicated. </li>
</ul>


Every year it's the same trade. This year it is Wednesday and Thursday. There are risks to the analysis - notably allocation.
But there may be ¥1.0-1.2trln+ to buy on one day into the close later this month, then ad hoc buys of ¥630bn and index sells of ~¥600bn  2 days later.
Over the past ten years, the two day return on the March trade is great. This year the Nikkei funding trade makes things more complicated. 


The Bigly March 2024 "Wednesday-Friday Trade" (Surprising Flows)

<ul>
<li>There were a few rebalance announcements in the last week and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index rebalances were implemented at the close on Friday.</li>
<li>There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.</li>
<li>Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a>. </li>
</ul>


There were a few rebalance announcements in the last week and the SSE STAR50 (STAR50 INDEX) and STAR100 Index rebalances were implemented at the close on Friday.
There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.
Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

Japan

Nitori Holdings Co., Ltd., is based in Hokkaido and operates a furniture retail chain.  The Company sells living room furniture, storage furniture, dining furniture, office furniture, beds, and interior goods.  Nitori Holdings also sells original brand merchandise and imported merchandise.

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Nitori Holdings (9843 JP)

Sep24 Nikkei 225 Rebal - Now 1 ADD, 1 DELETE; Fastie+TEL Still Where the Fun Is

The Sep 2024 Nikkei 225 review now threatens to be 1 small ADD and 1 small DELETE but two-way flow of US$9bn+. The fun is on Fast Retailing and...

Travis Lundy

Nikkei 225 Index Rebalance: DISCO, Socionext, ZOZO In; PacMetals, Sumitomo Osaka, Takara Holding Out

The adds are all up since announcement, led by Zozo. Nitori is up too even though the upweight was knows. Two of the three deletes are lower....

Brian Freitas

Mar24 Nikkei 225 Rebal: Zozo (3092) And Other ADDs Update

The Mar24 N225 rebal has 5 days to run. So far, 3 of 4 stocks ADDed or UPweighted are up vs N225. DELETEs are down. There is a big funding sell....

Travis Lundy

The Bigly March 2024 "Wednesday-Friday Trade" (Surprising Flows)

Every year (twice a year) we have the Big Wednesday-Thursday Trade. This year it happens on those two days. Then we have a big Japan-internal rebal...

Travis Lundy

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

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