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>Up to 12 stocks could be deleted from global passive portfolios in August. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.</li>
<li>There has been a buildup of shorts on nearly all these stocks though the extent of the pre-positioning varies.</li>
<li>The increase in shorts is smaller than the estimated passive selling, though there is a fair amount of variability across the names. </li>
</ul>


Up to 12 stocks could be deleted from global passive portfolios in August. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.
There has been a buildup of shorts on nearly all these stocks though the extent of the pre-positioning varies.
The increase in shorts is smaller than the estimated passive selling, though there is a fair amount of variability across the names. 


Japan - Passive Selling in a Few Weeks & Shorts Build Up

<ul>
<li>There are a bunch of stocks that have underperformed 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> and their peers and could be deleted from global passive portfolios in August.</li>
<li>The deletion from passive portfolios will lead to a liquidity event at the end of August where passive trackers will need to sell multiple days of ADV.</li>
<li>Shorts have been built up on all the stocks over the last few months and the extent of the positioning varies across stocks.</li>
</ul>


There are a bunch of stocks that have underperformed the Nikkei 225 (NKY INDEX) and their peers and could be deleted from global passive portfolios in August.
The deletion from passive portfolios will lead to a liquidity event at the end of August where passive trackers will need to sell multiple days of ADV.
Shorts have been built up on all the stocks over the last few months and the extent of the positioning varies across stocks.


Japan - Yet Another Big Round of Passive Selling Expected in August

Senior Technology Analyst, Japanese Equities, LightStream Research

Scott Foster

Senior Technology Analyst, Japanese Equities

Long-Short Analysis on Japan, Asia and the World

LightStream Research

LightStream conducts quantitatively rigorous and data-driven analysis with a focus on Japan and Asia.

We consistently cover the Tech, Consumer and Industrial sectors, and provide ECM and Events coverage more broadly.

We supplement traditional qualitative insights from company relationships with a robust quantitative foundation that examines as much historical data as is available.
We further refine the accuracy of our insights and calls through the use of alternative data to flesh out current trends, and through a valuation framework that emphasises non-superficial peer group selection and a proper attempt to understand the metrics and changes that have driven security valuations in the past.

Equity Bottom-Up

Hamamatsu Photonics Kk / Equity Bottom-Up

<ul>
<li>At 25x management's earnings guidance for next fiscal year and 24x guidance for FY Sep-25, the company's medium-term growth potential appears to have been discounted.</li>
<li>Capex is set to double, taking depreciation from 5.9% to 8.4% of sales, but projected price/cash flow multiples for the same two years are fairly high at 17x and 16x.</li>
<li>FY Sep-23 guidance has been cut. Profits are likely to be down YoY in 2H. Take profits and wait.</li>
</ul>


At 25x management's earnings guidance for next fiscal year and 24x guidance for FY Sep-25, the company's medium-term growth potential appears to have been discounted.
Capex is set to double, taking depreciation from 5.9% to 8.4% of sales, but projected price/cash flow multiples for the same two years are fairly high at 17x and 16x.
FY Sep-23 guidance has been cut. Profits are likely to be down YoY in 2H. Take profits and wait.


Hamamatsu Photonics (6965 JP): Next Three Years in the Price

<ul>
<li>As expected, FY Sep-22 results were ahead of guidance. Management is forecasting further growth this fiscal year, but guiding for a YoY decline in operating profit in 2H.</li>
<li>In addition, the depreciation of the yen, which added 5% to sales at 17% to operating profit last fiscal year, has reversed, economies have weakened and interest rates are up.</li>
<li>We continue to recommend profit taking. We would like to buy the shares at ¥6,000 - 15% down from the Dec. 9 close. </li>
</ul>


As expected, FY Sep-22 results were ahead of guidance. Management is forecasting further growth this fiscal year, but guiding for a YoY decline in operating profit in 2H.
In addition, the depreciation of the yen, which added 5% to sales at 17% to operating profit last fiscal year, has reversed, economies have weakened and interest rates are up.
We continue to recommend profit taking. We would like to buy the shares at ¥6,000 - 15% down from the Dec. 9 close. 


Hamamatsu Photonics (6965 JP): Earning Momentum Fading

<ul>
<li>Every so often, sudden shocks reduce Hamamatsu Photonics' usually high valuations. This is one of those times. </li>
<li>Valuations are starting to look attractive compared with their 5-year ranges. But not compared with their 10-year ranges.</li>
<li>Strong 1Q results support FY Sep-22 guidance. Management's 3-year sales and profit forecast would be reasonable in a normal operating environment. But the environment is not normal. </li>
</ul>


Every so often, sudden shocks reduce Hamamatsu Photonics' usually high valuations. This is one of those times. 
Valuations are starting to look attractive compared with their 5-year ranges. But not compared with their 10-year ranges.
Strong 1Q results support FY Sep-22 guidance. Management's 3-year sales and profit forecast would be reasonable in a normal operating environment. But the environment is not normal. 


Hamamatsu Photonics (6965 JP): Choose an Entry Point Carefully

Japan

HAMAMATSU PHOTONICS K.K. manufactures electron tubes, semiconductors, and image processors.  The Company's products include photosensitive electronic tubes, optical/image sensors, X-ray related products, laser related products, photodiodes, light-emitting diodes (LED) and video camera used for measuring equipment.

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Hamamatsu Photonics Kk (6965 JP)

Japan - Passive Selling in a Few Weeks & Shorts Build Up

There are a bunch of stocks in Japan that could be sold by passive global investors in August. Shorts have increased on nearly all stocks and the...

Brian Freitas

Japan - Yet Another Big Round of Passive Selling Expected in August

There are a bunch of stocks in Japan that could be sold by passive global investors in August. Shorts have increased on all stocks and the extent...

Brian Freitas

Hamamatsu Photonics (6965 JP): Next Three Years in the Price

After hitting a new high and forming a double top, the shares are dropping back. Profit forecast through Sep-25 looks discounted. Capex doubling,...

Scott Foster

Hamamatsu Photonics (6965 JP): Earning Momentum Fading

Earning momentum is fading as the yen strengthens, economies weaken, interest rates rise and company outlays grow. The share price has started to...

Scott Foster

Hamamatsu Photonics (6965 JP): Choose an Entry Point Carefully

Share price down 27% since January, bringing valuations down to acceptable levels. But guidance may be optimistic and multiple compression would...

Scott Foster

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