Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Strong but slightly disappointing Q2 earnings from <a href="https://www.smartkarma.com/entities/kawasaki-kisen-kaisha-ltd" target="_blank" data-smartkarma-citation="entities:3548:1" rel="noopener">Kawasaki Kisen Kaisha (9107 JP)</a>, and full-year forecasts are higher, but not as high as consensus. </li>
<li>The company has announced a buyback, to be executed on ToSTNeT-3. Effissimo and Mizuho Bank will participate. Other crossholders could too. </li>
<li>Strategy depends on whether you think they will. If they do not, post-buyback float drops sharply.</li>
</ul>


Strong but slightly disappointing Q2 earnings from Kawasaki Kisen Kaisha (9107 JP), and full-year forecasts are higher, but not as high as consensus. 
The company has announced a buyback, to be executed on ToSTNeT-3. Effissimo and Mizuho Bank will participate. Other crossholders could too. 
Strategy depends on whether you think they will. If they do not, post-buyback float drops sharply.


KLine (Kawasaki Kisen 9107) Announced Q2 Earnings and Possibly Game-Able Buyback (And Index Impact)

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>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 will be done in three parts due to the delisting of <a href="https://www.smartkarma.com/entities/shizuoka-bank-ltd" target="_blank" data-smartkarma-citation="entities:4437:1" rel="noopener">Shizuoka Bank (8355 JP)</a> and the relisting of Shizuoka Financial Group (5831).</li>
<li>
<a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a>, <a href="https://www.smartkarma.com/entities/smc-corp" target="_blank" data-smartkarma-citation="entities:20866:1" rel="noopener">SMC Corp (6273 JP)</a> and <a href="https://www.smartkarma.com/entities/hoya-corp" target="_blank" data-smartkarma-citation="entities:8990:1" rel="noopener">Hoya Corp (7741 JP)</a> replace <a href="https://www.smartkarma.com/entities/unitika-ltd" target="_blank" data-smartkarma-citation="entities:7669:1" rel="noopener">Unitika Ltd (3103 JP)</a>, <a href="https://www.smartkarma.com/entities/oki-electric-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:2181:1" rel="noopener">Oki Electric Industry (6703 JP)</a> and <a href="https://www.smartkarma.com/entities/maruha-nichiro-corp" target="_blank" data-smartkarma-citation="entities:20640:1" rel="noopener">Maruha Nichiro (1333 JP)</a>. </li>
<li>Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.</li>
</ul>


The Nikkei 225 (NKY INDEX) September rebalance will be done in three parts due to the delisting of Shizuoka Bank (8355 JP) and the relisting of Shizuoka Financial Group (5831).

Nidec Corp (6594 JP), SMC Corp (6273 JP) and Hoya Corp (7741 JP) replace Unitika Ltd (3103 JP), Oki Electric Industry (6703 JP) and Maruha Nichiro (1333 JP). 
Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.


Nikkei 225 Index Rebalance: Mostly on Expected Lines

<ul>
<li>As designed, the JPX-Nikkei400 Index is something of a disaster. It aims to be slightly 'smart' vs other cap-weighted indices like TOPIX, but tracking error vs TOPIX is de minimus.</li>
<li>This year, in week 1, the ADD vs DELETE performance is positive. If we sector-hedge the ADDs vs DELETEs, it's doing even better.</li>
<li>This is probably due to relatively low pre-positioning, and cares. Momentum suggests one could be long ADDs vs DELETEs. And there is the perennial trade to watch out for.</li>
</ul>


As designed, the JPX-Nikkei400 Index is something of a disaster. It aims to be slightly 'smart' vs other cap-weighted indices like TOPIX, but tracking error vs TOPIX is de minimus.
This year, in week 1, the ADD vs DELETE performance is positive. If we sector-hedge the ADDs vs DELETEs, it's doing even better.
This is probably due to relatively low pre-positioning, and cares. Momentum suggests one could be long ADDs vs DELETEs. And there is the perennial trade to watch out for.


2022 JPX Nikkei 400 Rebal Update - Going the Right Way

<ul>
<li>There are 36 adds and 34 deletes for the JPX Nikkei 400 Index to bring the number of index constituents back to 400. Some of the changes are interesting.</li>
<li>Based on the adds, deletes and capping changes, we estimate one way turnover of 4.75% and a two-way trade of JPY 444.45bn (US$3.3bn).</li>
<li>
<a href="https://www.smartkarma.com/entities/oriental-land-co-ltd" target="_blank" data-smartkarma-citation="entities:13517:1" rel="noopener">Oriental Land (4661 JP)</a> is a delete from the JPX Nikkei 400 Index but a high probability inclusion to 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> at the September rebalance.</li>
</ul>


There are 36 adds and 34 deletes for the JPX Nikkei 400 Index to bring the number of index constituents back to 400. Some of the changes are interesting.
Based on the adds, deletes and capping changes, we estimate one way turnover of 4.75% and a two-way trade of JPY 444.45bn (US$3.3bn).

Oriental Land (4661 JP) is a delete from the JPX Nikkei 400 Index but a high probability inclusion to the Nikkei 225 (NKY INDEX) at the September rebalance.


JPX Nikkei 400 Index Rebalance: Some Biggish Impact Stocks

<ul>
<li>In mid-January, I wrote about <a href="https://www.smartkarma.com/insights/mercari-4385-applying-for-tse-prime-means-topix-inclusion-in-4-5-months" target="_blank" rel="noopener">Mercari's likely TOPIX inclusion 4-5 months later</a>. 4.5mos later, it had been included (<a href="https://www.smartkarma.com/insights/mercari-4385-topix-inclusion-finally-and-it-s-bigger-than-it-looks" target="_blank" data-smartkarma-citation="insights:70912" rel="noopener">Mercari (4385) TOPIX Inclusion, Finally... And It's Bigger Than It Looks</a>) .</li>
<li>The publicly-visible announcement data often does not show TOPIX inclusion parameters. A little sleuthing gets you there. </li>
<li>It's <em>still</em> bigger than it looks, but some large holders have recently been selling.</li>
</ul>


In mid-January, I wrote about Mercari's likely TOPIX inclusion 4-5 months later. 4.5mos later, it had been included (Mercari (4385) TOPIX Inclusion, Finally... And It's Bigger Than It Looks) .
The publicly-visible announcement data often does not show TOPIX inclusion parameters. A little sleuthing gets you there. 
It's still bigger than it looks, but some large holders have recently been selling.


Mercari (4385) - End-July TOPIX Inclusion Update

Japan

Kawasaki Kisen Kaisha, Ltd. operates marine cargo and passenger transportation around the world.  The Company provides ocean liner, bulk carrier, car carrier, unscheduled specialized carrier, and energy transportation services. The Company also offers insurance, warehousing, and land transportation services.  Items transported include automobile, grain, petroleum, coal, iron ore, and wood chip.

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Kawasaki Kisen Kaisha (9107 JP)

KLine (Kawasaki Kisen 9107) Announced Q2 Earnings and Possibly Game-Able Buyback (And Index Impact)

KLine has ridden shipping rates' rise. Rates are falling. EPS falls will be slower, but will come. Today, a 12.4% buyback announced. Stock is <1x...

Travis Lundy

Nikkei 225 Index Rebalance: Mostly on Expected Lines

There are 4 changes to the index that will be executed in three parts - changes were mostly expected. One-way turnover is expected at 2.68% and...

Brian Freitas

2022 JPX Nikkei 400 Rebal Update - Going the Right Way

JPX Nikkei 400 rebalance is going the right way in the 6 trading days so far, and it wasn't done on Day1 (which was lacklustre). It may be under...

Travis Lundy

JPX Nikkei 400 Index Rebalance: Some Biggish Impact Stocks

There are 36 adds & 34 deletes for the JPX Nikkei 400 Index at the August rebalance leading to an estimated one way turnover of 4.75% and a two-way...

Brian Freitas

Mercari (4385) - End-July TOPIX Inclusion Update

Mercari (4385) will join TOPIX at 28 July close. The data suggests 16/5mm shares to buy, which is only 2x 3mo ADV but would be 18-20% of Real World...

Travis Lundy

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