Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Quantitative Analysis

The short notional in the market for the week ended 23 August is US$24.95bn with the largest short positions in <a href="https://www.smartkarma.com/entities/itochu-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:18448:1">Itochu Corp (8001 JP)</a>, <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:73:1">Toyota Motor (7203 JP)</a>, <a href="https://www.smartkarma.com/entities/canon-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:1:1">Canon Inc (7751 JP)</a>,  <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a> and <a href="https://www.smartkarma.com/entities/sumitomo-mitsui-financial-gr" target="_blank" rel="noopener" data-smartkarma-citation="entities:217:1">Sumitomo Mitsui Financial (8316 JP)</a> . Most shorted stocks as a percentage of free float are Amazia, <a href="https://www.smartkarma.com/entities/extreme-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:5311:1">Extreme Co Ltd (6033 JP)</a>, <a href="https://www.smartkarma.com/entities/taiyo-yuden-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9924:1">Taiyo Yuden (6976 JP)</a> and <a href="https://www.smartkarma.com/entities/leopalace21-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:8244:1">Leopalace21 Corp (8848 JP)</a> while the stocks with the highest days to cover are <a href="https://www.smartkarma.com/entities/katakura-industries-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:2007:1">Katakura Industries (3001 JP)</a>, <a href="https://www.smartkarma.com/entities/vital-ksk-holdings-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:7398:1">Vital Ksk Holdings (3151 JP)</a>, <a href="https://www.smartkarma.com/entities/mirait-holdings-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:7034:1">Mirait Holdings (1417 JP)</a> and <a href="https://www.smartkarma.com/entities/aruhi-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:26072:1">Aruhi Corp (7198 JP)</a>.The largest increases in short notional over the week were <a href="https://www.smartkarma.com/entities/recruit-holdings-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:15070:1">Recruit Holdings (6098 JP)</a>, <a href="https://www.smartkarma.com/entities/tokyo-electron-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:280:1">Tokyo Electron (8035 JP)</a>, <a href="https://www.smartkarma.com/entities/familymart-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:320:1">Familymart UNY Holdings (8028 JP)</a> and <a href="https://www.smartkarma.com/entities/rakuten-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:31:1">Rakuten Inc (4755 JP)</a>  <a href="https://www.smartkarma.com/entities/advantest-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:18107:1"></a>while shorts were covered in <a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:751:1">Fast Retailing (9983 JP)</a>,<a href="https://www.smartkarma.com/entities/softbank-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:27445:1">Softbank Corp (9434 JP)</a>, <a href="https://www.smartkarma.com/entities/zozo-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:18379:1">ZOZO Inc (3092 JP)</a> and <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:15933:1">Renesas Electronics (6723 JP)</a>.  Sectorally, new short positions were built in Industrials, Financials and Materials, while shorts were covered in Consumer Discretionary and Communication Services.

The short notional in the market for the week ended 23 August is US$24.95bn with the largest short positions in Itochu Corp (8001 JP), Toyota Motor (7203 JP), Canon Inc (7751 JP),  Taiyo Yuden (6976 JP) and Sumitomo Mitsui Financial (8316 JP) . Most shorted stocks as a percentage of free float are Amazia, Extreme Co Ltd (6033 JP), Taiyo Yuden (6976 JP) and Leopalace21 Corp (8848 JP) while the stocks with the highest days to cover are Katakura Industries (3001 JP), Vital Ksk Holdings (3151 JP), Mirait Holdings (1417 JP) and Aruhi Corp (7198 JP).The largest increases in short notional over the week were Recruit Holdings (6098 JP), Tokyo Electron (8035 JP), Familymart UNY Holdings (8028 JP) and Rakuten Inc (4755 JP)  while shorts were covered in Fast Retailing (9983 JP),Softbank Corp (9434 JP), ZOZO Inc (3092 JP) and Renesas Electronics (6723 JP).  Sectorally, new short positions were built in Industrials, Financials and Materials, while shorts were covered in Consumer Discretionary and Communication Services.

'Quantamental' Japan Specialist, LightStream Research

Campbell Gunn

'Quantamental' Japan Specialist

ja research

ja research is an independent research platform focused exclusively on Japanese equities. Leveraging data and graphic analysis provided by Japan Analytics, we provide insights on small and medium-sized companies that have been ignored by the sell-side as well as challenging conventional wisdom on larger companies. We also offer analyst and corporate access, the latter with translation if required. 

Thematic (Sector/Industry)

IN ONE SENTENCE - If you wish to read no further, this insight can be summarised as - 1st Half &gt; 2nd Half + 1st Quarter &gt; 2nd Quarter &gt; 4th Quarter &gt;&gt; 3rd Quarter and so perhaps the old adage should be modified for Japan to read 'Sell in July and Say Goodbye...Please Come Back on Culture Day (November 3rd)'
SEASONALITY SCORE - We have also calculated a Seasonality Score for each stock, sector, cap range and the market as a measure of the seasonality of returns. The highest current score is 22.0 for the aptly-named <a href="https://www.smartkarma.com/entities/5311" target="_blank" data-smartkarma-citation="entities:5311:1">Extreme (6033 JP)</a>, with the Kyushu regional bank <a href="https://www.smartkarma.com/entities/6035" target="_blank" data-smartkarma-citation="entities:6035:1">Miyazaki Taiyo Bank (8560 JP)</a> (traded 'appointment-only' on the Fukuoka Stock Exchange) having the lowest score of 0.33. Miyazaki Taiyo is also one of the three stocks which have positive returns on average for only two months of the year - the others being fellow Fukuoka-listed Kyushu bank <a href="https://www.smartkarma.com/entities/5367" target="_blank" data-smartkarma-citation="entities:5367:1">Minami Nippon (8554 JP)</a> and biotechnology pioneer <a href="https://www.smartkarma.com/entities/3429" target="_blank" data-smartkarma-citation="entities:3429:1">Reprocell (4978 JP)</a>. 
<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/062/938/original/2018-09-05_19-59-32.png?1536145211" class="editor-image img-responsive" data-smartkarma-image-id="62938"></figure>
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Source: Japan Analytics
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A JAPANESE SEASONALITY THEORY - In addition to weakness the August, there is a tendency for the 'middle' month in each quarter to be weaker than the first and last, with the only exception being November. These middle months coincide with the peak in quarterly earnings announcements for companies with year-ends in March, June, October and December which account for 63% by number but 92% by market capitalisation of currently listed companies.  With significant and increasing volatility around such periods, there are greater opportunities for trend reversals and, as a result, performance in these months tends to be more muted. As to why August and February are the worst-performing of these middle-months, we would turn the question around. May's results include the, normally upbeat, new forecasts for the current year, while November is the second most frequent month for revision announcements for the March-June-October-December cohort. August and February are the months that this group of companies have to 'face' reality without the ability to temper things with hope.
DIVIDEND TIMING - The timing of dividend payments is also a factor in seasonality. With the substantial majority of ex-dividend dates and subsequent receipt of the dividend payments being in May/June and November/December each year, this factor acts as an additional depressant and then booster (to the extent that dividends are re-invested) in each of these month pairs.
SECTORS AND COMPANIES - The insight also provides a detailed analysis of seasonality by sector and company, as well as providing a 'portfolio' of long and short sectors recommendations for the month and lists of stocks ranked by Seasonality Score and the best and worst performing 'September Stocks'.

IN ONE SENTENCE - If you wish to read no further, this insight can be summarised as - 1st Half &gt; 2nd Half + 1st Quarter &gt; 2nd Quarter &gt; 4th Quarter &gt;&gt; 3rd Quarter and so perhaps the old adage should be modified for Japan to read 'Sell in July and Say Goodbye...Please Come Back on Culture Day (November 3rd)'
SEASONALITY SCORE - We have also calculated a Seasonality Score for each stock, sector, cap range and the market as a measure of the seasonality of returns. The highest current score is 22.0 for the aptly-named Extreme (6033 JP), with the Kyushu regional bank Miyazaki Taiyo Bank (8560 JP) (traded 'appointment-only' on the Fukuoka Stock Exchange) having the lowest score of 0.33. Miyazaki Taiyo is also one of the three stocks which have positive returns on average for only two months of the year - the others being fellow Fukuoka-listed Kyushu bank Minami Nippon (8554 JP) and biotechnology pioneer Reprocell (4978 JP). 



Source: Japan Analytics

A JAPANESE SEASONALITY THEORY - In addition to weakness the August, there is a tendency for the 'middle' month in each quarter to be weaker than the first and last, with the only exception being November. These middle months coincide with the peak in quarterly earnings announcements for companies with year-ends in March, June, October and December which account for 63% by number but 92% by market capitalisation of currently listed companies.  With significant and increasing volatility around such periods, there are greater opportunities for trend reversals and, as a result, performance in these months tends to be more muted. As to why August and February are the worst-performing of these middle-months, we would turn the question around. May's results include the, normally upbeat, new forecasts for the current year, while November is the second most frequent month for revision announcements for the March-June-October-December cohort. August and February are the months that this group of companies have to 'face' reality without the ability to temper things with hope.
DIVIDEND TIMING - The timing of dividend payments is also a factor in seasonality. With the substantial majority of ex-dividend dates and subsequent receipt of the dividend payments being in May/June and November/December each year, this factor acts as an additional depressant and then booster (to the extent that dividends are re-invested) in each of these month pairs.
SECTORS AND COMPANIES - The insight also provides a detailed analysis of seasonality by sector and company, as well as providing a 'portfolio' of long and short sectors recommendations for the month and lists of stocks ranked by Seasonality Score and the best and worst performing 'September Stocks'.  

Japan: Seasonality - "Sell in July and Say Goodbye...Please Come Back on Culture Day"

Japan

EXTREME CO.,LTD. operates game and digital contents for PC and mobile users. The  company also offers a solution service of entertainment software development.

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Extreme Co Ltd (6033 JP)

Japan Short Interest - The Numb3rs

The short notional in the market for the week ended 23 August is US$24.95bn with the largest short positions in Itochu Corp (8001 JP), Toyota Motor...

Brian Freitas

Japan: Seasonality - "Sell in July and Say Goodbye...Please Come Back on Culture Day"

IN ONE SENTENCE - If you wish to read no further, this insight can be summarised as - 1st Half > 2nd Half + 1st Quarter > 2nd Quarter >...

Campbell Gunn

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