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

NTT (Nippon Telegraph & Telephone) / Event-Driven

<ul>
<li>On 7 April, the JPX announced the changes to the Free Float Weights (FFW) for the TOPIX Index. There are some big changes due to the updated FFW methodology.</li>
<li>From April to June, we see a one-way turnover of 2.87% and a one-way trade of ¥2,285bn. Some stocks have opposite way flows in different months.</li>
<li>Stocks with inflows outperformed stocks with outflows from Oct-Dec 2021 before giving up all the gains. These stocks have started to outperform and could continue outperforming over the next quarter.</li>
</ul>


On 7 April, the JPX announced the changes to the Free Float Weights (FFW) for the TOPIX Index. There are some big changes due to the updated FFW methodology.
From April to June, we see a one-way turnover of 2.87% and a one-way trade of ¥2,285bn. Some stocks have opposite way flows in different months.
Stocks with inflows outperformed stocks with outflows from Oct-Dec 2021 before giving up all the gains. These stocks have started to outperform and could continue outperforming over the next quarter.


TOPIX FFW Transition - Big Flows from April to June

Doing bespoke work since 2002....., Custom Products Group

Patrick Hansen

Doing bespoke work since 2002.....

Custom Products Group

Custom Products was started 14 years ago at Lehman Brothers by current co-founder Patrick Hansen, CFA. After 3 years at Lehman, Patrick moved the team to Macquarie Securities where Simon Rigney (co-founder) joined. 3 years ago we took Custom Products independent. 

Our core strength can be summed up three words. 1- Customization - we have very little off the shelf products and most work is done on a one on one bespoke basis. 2- Speed - We pride ourselves in our ability to get requests back to the client very quickly. 3- Confidentiality - We do not redistribute. There is no grace period where we wait a week and then mass blast. Any request stops with that client.

Thematic (Sector/Industry)

<p>We have broken the volumes spikes into two groups 1- names where we could see some news and 2- names where there was no news to explain the volume spike. </p><h2>Some News</h2><p>Yesterday some larger names spiked on volume in front of earnings announcements. <a href="https://www.smartkarma.com/entities/1089" target="_blank" data-smartkarma-citation="entities:1089:1">NTT Docomo Inc (9437 JP)</a> is down 2% on more than 4 standard deviations of volume on the back of a Nikkei preview. <a href="https://www.smartkarma.com/entities/13517" target="_blank" data-smartkarma-citation="entities:13517:1">Oriental Land Co Ltd (4661 JP)</a> is down 1% on strong volume also after a Nikkei preview.  <a href="https://www.smartkarma.com/entities/8416" target="_blank" data-smartkarma-citation="entities:8416:1">Komatsu Ltd (6301 JP)</a> jumped up 4% on 3.6 standard…</p>

We have broken the volumes spikes into two groups 1- names where we could see some news and 2- names where there was no news to explain the volume spike. Some NewsYesterday some larger names spiked on volume in front of earnings announcements. NTT Docomo Inc (9437 JP) is down 2% on more than 4 standard deviations of volume on the back of a Nikkei preview. Oriental Land Co Ltd (4661 JP) is down 1% on strong volume also after a Nikkei preview.  Komatsu Ltd (6301 JP) jumped up 4% on 3.6 standard…

Leakage Report 4/26/17 - Names that Moved on Volume Yesterday, Days Before They Announce Earnings...

Japan

NIPPON DENSETSU KOGYO CO., LTD. installs and maintains signals, lights, power lines, and communication equipment mainly for railroad companies.  The Company, affiliated with East Japan Railway Co., also constructs electrical facilities in buildings.  Additionally, Nippon Densetsu performs piping works for air conditioning and sanitation facilities.

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Nippon Densetsu Kogyo (1950 JP)

TOPIX FFW Transition - Big Flows from April to June

Changes to the Topix FFW methodology will result in a turnover of 2.87% & trade of ¥2,285bn from April to June. There is a lot to trade on some...

Brian Freitas

Leakage Report 4/26/17 - Names that Moved on Volume Yesterday, Days Before They Announce Earnings...

We have broken the volumes spikes into two groups 1- names where we could see some news and 2- names where there was no news to explain the volume...

Custom Products Group

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)