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>Nikkei has started a market consultation on amendments to the methodology of 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> focusing on the stepwise addition of lower liquidity stocks and on technical listings.</li>
<li>Stocks that have relatively low ADTV compared to the expected index weight will be added at half the originally planned PAF with the full PAF implemented at the next review.</li>
<li>If the proposed changes are implemented, some of the potential inclusions in September will be added at half their PAF with the increase to full PAF coming in March 2024.</li>
</ul>


Nikkei has started a market consultation on amendments to the methodology of the Nikkei 225 (NKY INDEX) focusing on the stepwise addition of lower liquidity stocks and on technical listings.
Stocks that have relatively low ADTV compared to the expected index weight will be added at half the originally planned PAF with the full PAF implemented at the next review.
If the proposed changes are implemented, some of the potential inclusions in September will be added at half their PAF with the increase to full PAF coming in March 2024.


Nikkei 225 Market Consultation: Stepwise Additions & Technical Listings

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>With 3.5 months left in the dataset, the data is pretty close to settled. The interesting bits are elsewhere. There are three auto DELETEs and two auto ADDs. Maybe.</li>
<li>One auto-ADD is Toshiba, which may have a deal on it. That leaves two to add for sector balance. That could be Nitori (9843 JP) and Zozo (3092 JP).</li>
<li>Friday's move on Fast Retailing brings in the issue of the new capping function. That would be a different US$2bn selldown. Lots of gory details here. </li>
</ul>


With 3.5 months left in the dataset, the data is pretty close to settled. The interesting bits are elsewhere. There are three auto DELETEs and two auto ADDs. Maybe.
One auto-ADD is Toshiba, which may have a deal on it. That leaves two to add for sector balance. That could be Nitori (9843 JP) and Zozo (3092 JP).
Friday's move on Fast Retailing brings in the issue of the new capping function. That would be a different US$2bn selldown. Lots of gory details here. 


Nikkei 225 Sep 2023 Rebalance Gets Interestinger - Possible Fast Retailing Cap and Zozo Stretch

<ul>
<li>The review period for 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 ends end July. We highlight 3 potential inclusions and exclusions for the index.</li>
<li>There are a few alternate adds that are interesting and their inclusion in the index could move things around a fair bit.</li>
<li>Due to the large size difference between the potential adds/deletes, there will be a large funding trade with passive trackers needing to sell over 0.5x ADV on many index constituents.</li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) September rebalance ends end July. We highlight 3 potential inclusions and exclusions for the index.
There are a few alternate adds that are interesting and their inclusion in the index could move things around a fair bit.
Due to the large size difference between the potential adds/deletes, there will be a large funding trade with passive trackers needing to sell over 0.5x ADV on many index constituents.


Nikkei 225 Index Rebalance Preview (Sep 2023): Potential Changes & Dark Horses

Technical Analysis / Chartered Market Technician, The Markets Academy

David Coloretti, CMT

Technical Analysis / Chartered Market Technician

The Markets Academy

TMA implements 2 strategies. 1) Tactical ... Trend Sustainability Score (TSS) allows TMA to identify exhaustion / reversal points in interim trends by utilising our proprietary analysis of ST momentum indicators. 2) Medium Term ... our 3 Pillars approach to technical analysis allows TMA to determine high probability medium term outcomes in markets.

Technical Analysis

<ul>
<li>At TMA we deliver high probability outcomes by focusing on our 3 pillars of technical analysis. •1) Response to key levels. •2) Price action. •3) Momentum confirmation.</li>
<li>The structure of the November / March decline is typical of a counter-trend correction with multiple crossovers and a lack of impulsive price action.</li>
<li>The past 3 weeks have seen declines quickly reversed as bullish ST momentum failures plague these attempted declines. A weekly close above 22299 will confirm a likely MT uptrend renewal.</li>
</ul>


At TMA we deliver high probability outcomes by focusing on our 3 pillars of technical analysis. •1) Response to key levels. •2) Price action. •3) Momentum confirmation.
The structure of the November / March decline is typical of a counter-trend correction with multiple crossovers and a lack of impulsive price action.
The past 3 weeks have seen declines quickly reversed as bullish ST momentum failures plague these attempted declines. A weekly close above 22299 will confirm a likely MT uptrend renewal.


Lasertec Corp (6920 JP) - Bullish ST Momentum Failures  - 4 Month Correction May Be Done

<ul>
<li>The March 2023 Nikkei 225 Review was announced Friday. Discussion is in <a href="https://www.smartkarma.com/insights/nikkei-225-march-2023-review-olc-jal-renesas-in" target="_blank" data-smartkarma-citation="insights:97041" rel="noopener">Nikkei 225 March 2023 Review - OLC, JAL, Renesas IN.</a> </li>
<li>That means a Sep-2023 preview. ADDs: Lasertec (6920), Toshiba (6502), and Nitori (9843). DELETEs: Nippon Sheet Glass (5202), Mitsui E&amp;S (7003), and Matsui Securities (8628).</li>
<li>Zozo (3092) is a possible alternate add to Toshiba on a sector balance basis if Toshiba's disposition changes in the interim.</li>
</ul>


The March 2023 Nikkei 225 Review was announced Friday. Discussion is in Nikkei 225 March 2023 Review - OLC, JAL, Renesas IN. 
That means a Sep-2023 preview. ADDs: Lasertec (6920), Toshiba (6502), and Nitori (9843). DELETEs: Nippon Sheet Glass (5202), Mitsui E&amp;S (7003), and Matsui Securities (8628).
Zozo (3092) is a possible alternate add to Toshiba on a sector balance basis if Toshiba's disposition changes in the interim.


Nikkei 225 Sep 2023 PREVIEW - Lasertec, Toshiba, Nitori, Maybe Zozo

Japan

Lasertec Corporation develops, designs, manufactures and markets photomask inspection systems to make semiconductor devices, confocal scanning laser microscopes and liquid crystal display (LCD) inspection systems.

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Lasertec Corp (6920 JP)

Nikkei 225 Market Consultation: Stepwise Additions & Technical Listings

Nikkei has started a consultation on stepwise adds to the index & on treatment of technical listings. The stepwise inclusion could result in...

Brian Freitas

Nikkei 225 Sep 2023 Rebalance Gets Interestinger - Possible Fast Retailing Cap and Zozo Stretch

The Sep 2023 Nikkei 225 Review is changing shape. Toshiba deal is announced, which pushes two of three ADDs outside the top 75 - sector balance...

Travis Lundy

Nikkei 225 Index Rebalance Preview (Sep 2023): Potential Changes & Dark Horses

There could be 3 changes to the NKY in Sep. Lasertec, ZOZO, Nitori could replace MatsuiSec, MitsuiE&S, NipponSheetGlass. There are other stocks...

Brian Freitas