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 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

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<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

<ul>
<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)</a>, <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723)</a> and <a href="https://www.smartkarma.com/entities/japan-airlines-co-ltd" target="_blank" data-smartkarma-citation="entities:1184:1" rel="noopener">Japan Airlines (9201)</a> will replace <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo (3101)</a>, <a href="https://www.smartkarma.com/entities/nippon-light-metal-holdings" target="_blank" data-smartkarma-citation="entities:1485:1" rel="noopener">Nippon Light Metal (5703)</a> and <a href="https://www.smartkarma.com/entities/toho-zinc-co-ltd" target="_blank" data-smartkarma-citation="entities:2796:1" rel="noopener">Toho Zinc (5707)</a> 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>. </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> has been added at a post-split PAF of 1. This reduces the passive buying on the stock by around a third.</li>
<li>Passive trackers need to buy between 2.2-6.7 days of ADV on the adds while selling between 5-12 days of ADV on the deletes. There's a big funding trade too.</li>
</ul>



Oriental Land (4661), Renesas Electronics (6723) and Japan Airlines (9201) will replace Toyobo (3101), Nippon Light Metal (5703) and Toho Zinc (5707) in the Nikkei 225 (NKY INDEX). 

Oriental Land (4661 JP) has been added at a post-split PAF of 1. This reduces the passive buying on the stock by around a third.
Passive trackers need to buy between 2.2-6.7 days of ADV on the adds while selling between 5-12 days of ADV on the deletes. There's a big funding trade too.


Nikkei 225 Index Rebalance: Oriental Land, Renesas, JAL IN; Toyobo, Nippon LightMetal, Toho Zinc OUT

Japan Specialist

Mark Chadwick

Thematic (Sector/Industry)

<ul>
<li>Wage pressures continue to build in Japan. The country's largest employer of part-time workers, AEON, is raising wages. Same goes for systems operator, TIS</li>
<li>It has been a disappointing year for shareholders of Z Holdings - perhaps a management change and new round of restructuring will help</li>
<li>Divergent fortunes for SPE names Screen and Lasertec. Suspect this has more to do with short term positioning. The fundamentals are broadly similar</li>
</ul>


Wage pressures continue to build in Japan. The country's largest employer of part-time workers, AEON, is raising wages. Same goes for systems operator, TIS
It has been a disappointing year for shareholders of Z Holdings - perhaps a management change and new round of restructuring will help
Divergent fortunes for SPE names Screen and Lasertec. Suspect this has more to do with short term positioning. The fundamentals are broadly similar


Japan Weekly | Z Holdings, Money Forward, Screen, Lasertec

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 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