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>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 ended yesterday. There could be three changes at the rebalance with sector balance in focus for the additions.</li>
<li>
<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>'s capping in the index has been confirmed and its index weight will drop by around 0.9% resulting in big selling at the close on 30 September. </li>
<li>Passive trackers will need to buy between 3.5-35x ADV (2.4%-24% of real float) on the inclusions and sell between 3.7-42.5x ADV on the deletions.</li>
</ul>


The review period for the Nikkei 225 (NKY INDEX) September rebalance ended yesterday. There could be three changes at the rebalance with sector balance in focus for the additions.

Fast Retailing (9983 JP)'s capping in the index has been confirmed and its index weight will drop by around 0.9% resulting in big selling at the close on 30 September. 
Passive trackers will need to buy between 3.5-35x ADV (2.4%-24% of real float) on the inclusions and sell between 3.7-42.5x ADV on the deletions.


Nikkei 225 Index Rebalance Preview (Sep 2024): Review Period Done; Fast Retailing Capping Confirmed

<ul>
<li>There are some Japanese stocks that have dropped in price even as the broader market has powered higher. That could lead to the stocks being deleted from global portfolios.</li>
<li>The deletion from passive portfolios will lead to a liquidity event at the end of February where passive trackers will need to sell multiple days of ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/baycurrent-consulting-inc" target="_blank" data-smartkarma-citation="entities:25985:1" rel="noopener">BayCurrent Consulting (6532 JP)</a> is a dark horse for inclusion in 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> in March and this deletion could take the stock lower before the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> announcement.</li>
</ul>


There are some Japanese stocks that have dropped in price even as the broader market has powered higher. That could lead to the stocks being deleted from global portfolios.
The deletion from passive portfolios will lead to a liquidity event at the end of February where passive trackers will need to sell multiple days of ADV.

BayCurrent Consulting (6532 JP) is a dark horse for inclusion in the Nikkei 225 (NKY INDEX) in March and this deletion could take the stock lower before the Nikkei 225 announcement.


Japan - Increasing Shorts on Some Interesting** Stocks

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>The Sep 2024 Nikkei 225 Review data set is mostly done, and one can interpolate results relatively accurately. It still leaves us with one ADD, one DELETE, and capping fun.</li>
<li>Recently, Yanai-san sold more <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>. There is more Real World Float- more active holders own more stock (which may mean less interest to buy later).</li>
<li>There is a dark horse candidate which is on investor radar for other reasons. It would not be out of the question, but the precedent is old, and different.</li>
</ul>


The Sep 2024 Nikkei 225 Review data set is mostly done, and one can interpolate results relatively accurately. It still leaves us with one ADD, one DELETE, and capping fun.
Recently, Yanai-san sold more Fast Retailing (9983 JP). There is more Real World Float- more active holders own more stock (which may mean less interest to buy later).
There is a dark horse candidate which is on investor radar for other reasons. It would not be out of the question, but the precedent is old, and different.


Sep24 Nikkei 225 Rebal - Still 1 ADD (Ryohin Keikaku), 1 DELETE, and 1 Very Large Very Dark Horse

<ul>
<li>The Sep 2024 Nikkei 225 Review base date is here. As before, I see one ADD, one DELETE, one capping, and one Very Dark Horse.</li>
<li>The rules are clear, but not. This causes confusion. There may be unwritten rules keeping the Very Dark Horse out til next time.</li>
<li>The Nikkei Index Team announced <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> would be capped. I didn't expect that now. That means $2.2bn+ of selling 30Sep and a reverse funding trade.</li>
</ul>


The Sep 2024 Nikkei 225 Review base date is here. As before, I see one ADD, one DELETE, one capping, and one Very Dark Horse.
The rules are clear, but not. This causes confusion. There may be unwritten rules keeping the Very Dark Horse out til next time.
The Nikkei Index Team announced Fast Retailing (9983 JP) would be capped. I didn't expect that now. That means $2.2bn+ of selling 30Sep and a reverse funding trade.


Sep24 Nikkei 225 Rebal Final Predictions - Fastie Capped, Still 1 ADD, 1 DELETE, 1 Dark Horse and ?s

<ul>
<li>The Sep 2024 Nikkei 225 Review base date is six weeks away. One can no extrapolate results quite accurately. It still gives us one ADD, one DELETE, and capping fun.</li>
<li>Recently, Yanai-san sold more Fast Retailing (9983 JP). More active holders own more stock (which may mean less interest to buy later), and only 1% to go to avoid capping.</li>
<li>There should be one DELETE, one ADD. There is a low-probability Dark Horse ADD but I expect Kokusai Electric (6525) to be added in March 2025. </li>
</ul>


The Sep 2024 Nikkei 225 Review base date is six weeks away. One can no extrapolate results quite accurately. It still gives us one ADD, one DELETE, and capping fun.
Recently, Yanai-san sold more Fast Retailing (9983 JP). More active holders own more stock (which may mean less interest to buy later), and only 1% to go to avoid capping.
There should be one DELETE, one ADD. There is a low-probability Dark Horse ADD but I expect Kokusai Electric (6525) to be added in March 2025. 


Sep24 Nikkei 225 Rebal - Still 1 ADD, 1 DELETE, 1 Dark Horse, But #2-Ranked ADD Is Close

Japan

Baycurrent Consulting , Inc. offers comprehensive consulting services in a wide variety of industries. The company's main focus areas are business strategy consulting, IT consulting, and IT integration.

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BayCurrent Consulting (6532 JP)

Nikkei 225 Index Rebalance Preview (Sep 2024): Review Period Done; Fast Retailing Capping Confirmed

Review period ended yesterday. Fast Retailing's capping will result in a 0.9% drop in index weight. There could be 3 index changes with sector...

Brian Freitas

Japan - Increasing Shorts on Some Interesting** Stocks

There are a lot of potential passive deletions in Japan later this month. Short interest has increased in nearly all stocks since November....

Brian Freitas

Sep24 Nikkei 225 Rebal - Still 1 ADD (Ryohin Keikaku), 1 DELETE, and 1 Very Large Very Dark Horse

The Nikkei 225 Rebal for Sep24 has 3mos before the data cutoff. I still see one ADD and one DELETE. There is a possible dark horse ADD, and Fast...

Travis Lundy

Sep24 Nikkei 225 Rebal Final Predictions - Fastie Capped, Still 1 ADD, 1 DELETE, 1 Dark Horse and ?s

Nikkei 225 Sep24 Rebal data is done and dusted. I see one automatic DELETE, and one ADD. There is a dark horse possibility to replace that ADD but...

Travis Lundy

Sep24 Nikkei 225 Rebal - Still 1 ADD, 1 DELETE, 1 Dark Horse, But #2-Ranked ADD Is Close

The Nikkei 225 rebal for September is still likely to be a small affair. One ADD. One DELETE. The big capping trade for Fast Retailing is 1% away...

Travis Lundy

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