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 market turmoil over the last few trading sessions has not been kind to a simple index rebalance strategy of buying the forecast adds and selling the forecast deletes.</li>
<li>The overall returns and stock specific returns indicate that trades are more crowded in some indices as compared to others and traders should consider that when position sizing.</li>
<li>Anecdotally, periods of negative returns are followed by periods of strong returns for the strategy as weak hands are shaken out of their positions.</li>
</ul>


The market turmoil over the last few trading sessions has not been kind to a simple index rebalance strategy of buying the forecast adds and selling the forecast deletes.
The overall returns and stock specific returns indicate that trades are more crowded in some indices as compared to others and traders should consider that when position sizing.
Anecdotally, periods of negative returns are followed by periods of strong returns for the strategy as weak hands are shaken out of their positions.


How Has the Index Rebalance Strategy Performed During Market Turmoil?

Independent Sell Side Equity Research Analyst, ChartSmarter

Douglas Busch

Independent Sell Side Equity Research Analyst

ChartSmarter

ChartSmarter is a service dedicated to the art of technical analysis.

On a daily basis we write up actionable ideas on a specific, major S&P sector on both the long and short side, in an easy yet thorough way. In the notes we give precise entries and exits, while looking to capture the "meat" of a trend.

Technical Analysis.

Technical Analysis

<ul>
<li>Nikkei looking oversold on all daily, WEEKLY, and MONTHLY timeframes.</li>
<li>KWEB records strong bullish engulfing candle on weak overall tape Monday.</li>
<li>MELI versus AMZN ratio chart favoring the former. Technical complexion change.</li>
</ul>


Nikkei looking oversold on all daily, WEEKLY, and MONTHLY timeframes.
KWEB records strong bullish engulfing candle on weak overall tape Monday.
MELI versus AMZN ratio chart favoring the former. Technical complexion change.


Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 INDEX</a> pulled back last week, and it may continue to fall for another 1-2 weeks.</li>
<li>Make sure you read the <strong>Market Reversal Matrix - Charts Analysis</strong> section below: we are introducing a possibile new Premium Service using our trend prediction models in algorithmic trading format.</li>
<li>The price support area to buy the Nikkei 225 would be between 39800 and 39300, this coming week (or the next).</li>
</ul>


The Nikkei 225 INDEX pulled back last week, and it may continue to fall for another 1-2 weeks.
Make sure you read the Market Reversal Matrix - Charts Analysis section below: we are introducing a possibile new Premium Service using our trend prediction models in algorithmic trading format.
The price support area to buy the Nikkei 225 would be between 39800 and 39300, this coming week (or the next).


EQD | Where/When Will the Nikkei Index Reach a Bottom And Bounce?

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 Index</a> rallied last week, and closed the week up.</li>
<li>Although slightly overbought, our models are not pointing to a SHORT opportunity here.</li>
<li>If the index pulls back this coming week, it may be a good idea to BUY, in order to take advantage of a possible reprise of the rally.</li>
</ul>


The Nikkei 225 Index rallied last week, and closed the week up.
Although slightly overbought, our models are not pointing to a SHORT opportunity here.
If the index pulls back this coming week, it may be a good idea to BUY, in order to take advantage of a possible reprise of the rally.


EQD | The Nikkei's Rally May Be About To Restart

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 INDEX</a> has been rallying a bit last week and closed the week up. A rebound from the previous downtrend is underway. </li>
<li>A temporary bottom may have been established in May, it is not clear if the index is about to go lower or higher, but our pattern model readings suggests <em>higher</em>.</li>
<li>If the index continues to rally, the first major resistance area will be around 40k.</li>
</ul>


The Nikkei 225 INDEX has been rallying a bit last week and closed the week up. A rebound from the previous downtrend is underway. 
A temporary bottom may have been established in May, it is not clear if the index is about to go lower or higher, but our pattern model readings suggests higher.
If the index continues to rally, the first major resistance area will be around 40k.


Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

How Has the Index Rebalance Strategy Performed During Market Turmoil?

The market turmoil over the last week has resulted in the forecast adds underperforming the forecast deletes. There is large variability in...

Brian Freitas

Time to Buy Japan?

Nikkei oversold on all timeframes, KWEB shows bullish signal, MELI favored over AMZN in ratio chart. Technical shift noted.

Douglas Busch

EQD | Where/When Will the Nikkei Index Reach a Bottom And Bounce?

The Nikkei 225 INDEX could continue falling for 1-2 weeks, with a potential buying opportunity between 39800 and 39300. Check out the Market...

Nico Rosti

EQD | The Nikkei's Rally May Be About To Restart

The Nikkei 225 rallied last week, closing the week up, slightly OVERBOUGHT. Our models are not suggesting going SHORT here, but rather buying any...

Nico Rosti

EQD | The Nikkei Can Go Higher From Here

The Nikkei 225 INDEX is showing signs of a rebound from a previous downtrend, with potential for rallying higher. The first strong resistance will...

Nico Rosti

How Has the Index Rebalance Strategy Performed During Market Turmoil?

The market turmoil over the last week has resulted in the forecast adds underperforming the forecast deletes. There is large variability in...

Brian Freitas

Time to Buy Japan?

​Nikkei oversold on all timeframes, KWEB shows bullish signal, MELI favored over AMZN in ratio chart. Technical shift noted.

Douglas Busch

EQD | Where/When Will the Nikkei Index Reach a Bottom And Bounce?

​The Nikkei 225 INDEX could continue falling for 1-2 weeks, with a potential buying opportunity between 39800 and 39300. Check out the Market...

Nico Rosti

EQD | The Nikkei's Rally May Be About To Restart

​The Nikkei 225 rallied last week, closing the week up, slightly OVERBOUGHT. Our models are not suggesting going SHORT here, but rather buying any...

Nico Rosti

EQD | The Nikkei Can Go Higher From Here

​The Nikkei 225 INDEX is showing signs of a rebound from a previous downtrend, with potential for rallying higher. The first strong resistance will...

Nico Rosti

Nikkei oversold on all timeframes, KWEB shows bullish signal, MELI favored over AMZN in ratio chart. Technical shift noted.

The Nikkei 225 INDEX could continue falling for 1-2 weeks, with a potential buying opportunity between 39800 and 39300. Check out the Market...

The Nikkei 225 rallied last week, closing the week up, slightly OVERBOUGHT. Our models are not suggesting going SHORT here, but rather buying any...

The Nikkei 225 INDEX is showing signs of a rebound from a previous downtrend, with potential for rallying higher. The first strong resistance will...