Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>JPX-Nikkei 400 is composed of common stocks listed on the Tokyo Stock Exchange. It is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents.</li>
<li>A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. We look at the potential forward inclusions and removals every month.</li>
<li>Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2024 based on trading data as of end-September 2023.</li>
</ul>


JPX-Nikkei 400 is composed of common stocks listed on the Tokyo Stock Exchange. It is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents.
A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. We look at the potential forward inclusions and removals every month.
Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2024 based on trading data as of end-September 2023.


Quiddity JPX-Nikkei 400 Rebal 2024: End-Sep 2023

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

Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/mercari-inc" target="_blank" data-smartkarma-citation="entities:27149:1" rel="noopener">Mercari (4385 JP)</a>, <a href="https://www.smartkarma.com/entities/lasertec-corp" target="_blank" data-smartkarma-citation="entities:4126:1" rel="noopener">Lasertec (6920 JP)</a> and <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori (9843 JP)</a> will replace <a href="https://www.smartkarma.com/entities/nippon-sheet-glass-co-ltd" target="_blank" data-smartkarma-citation="entities:9013:1" rel="noopener">Nippon Sheet Glass (5202 JP)</a>, <a href="https://www.smartkarma.com/entities/mitsui-e-s-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:2402:1" rel="noopener">Mitsui E&amp;S (7003 JP)</a> and <a href="https://www.smartkarma.com/entities/matsui-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:6553:1" rel="noopener">Matsui Securities (8628 JP)</a> in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>.</li>
<li>As expected, <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843 JP)</a> will be added at half the planned PAF since the trading value is low compared to the expected index weight.</li>
<li>Passive trackers need to buy between 1-17 days of ADV on the adds while selling between 1.2-16.5 days of ADV on the deletes. There is a big funding trade too.</li>
</ul>



Mercari (4385 JP), Lasertec (6920 JP) and Nitori (9843 JP) will replace Nippon Sheet Glass (5202 JP), Mitsui E&amp;S (7003 JP) and Matsui Securities (8628 JP) in the Nikkei 225.
As expected, Nitori Holdings (9843 JP) will be added at half the planned PAF since the trading value is low compared to the expected index weight.
Passive trackers need to buy between 1-17 days of ADV on the adds while selling between 1.2-16.5 days of ADV on the deletes. There is a big funding trade too.


Nikkei 225 Index Rebalance: Mercari, Lasertec, Nitori IN; Nippon Glass, Mitsui E&S, Matsui Sec OUT

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<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> is getting WEEKLY OVERBOUGHT after just +1 week up. Rallying further during the next 2-3 weeks may be hard, it could stall or fall.</li>
<li>If the index rallies further this week, it could fall the following week. Alternatively it could stall this week and rally the following week/s, but OVERBOUGHT status won't go away.</li>
<li>34256 is the Q3 resistance target on CC=+3, this should be a hard barrier to breach. An earlier barrier is Q3 resistance on the Gen.Pattern Boxplot = 33835.</li>
</ul>


The Nikkei 225 INDEX is getting WEEKLY OVERBOUGHT after just +1 week up. Rallying further during the next 2-3 weeks may be hard, it could stall or fall.
If the index rallies further this week, it could fall the following week. Alternatively it could stall this week and rally the following week/s, but OVERBOUGHT status won't go away.
34256 is the Q3 resistance target on CC=+3, this should be a hard barrier to breach. An earlier barrier is Q3 resistance on the Gen.Pattern Boxplot = 33835.


EQD | Nikkei 225 (NKY) Enters WEEKLY OVERBOUGHT Resistance Area

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

<ul>
<li>Today, somewhat earlier than expected), the Nikkei Index Team announced the changes to the Nikkei 225.</li>
<li>
<a href="https://www.smartkarma.com/entities/lasertec-corp" target="_blank" data-smartkarma-citation="entities:4126:1" rel="noopener">Lasertec Corp (6920 JP)</a>, <a href="https://www.smartkarma.com/entities/mercari-inc" target="_blank" data-smartkarma-citation="entities:27149:1" rel="noopener">Mercari (4385 JP)</a>, and <a href="https://www.smartkarma.com/entities/nitori-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:20386:1" rel="noopener">Nitori Holdings (9843 JP)</a> are added. <a href="https://www.smartkarma.com/entities/nippon-sheet-glass-co-ltd" target="_blank" data-smartkarma-citation="entities:9013:1" rel="noopener">Nippon Sheet Glass (5202 JP)</a>, <a href="https://www.smartkarma.com/entities/mitsui-e-s-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:2402:1" rel="noopener">Mitsui E&amp;S Holdings (7003 JP)</a>, and <a href="https://www.smartkarma.com/entities/matsui-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:6553:1" rel="noopener">Matsui Securities (8628 JP)</a> removed.</li>
<li>That triggers flows of about ¥480bn a side, and some big, big changes. The announcement helps understand new process better.</li>
</ul>


Today, somewhat earlier than expected), the Nikkei Index Team announced the changes to the Nikkei 225.

Lasertec Corp (6920 JP), Mercari (4385 JP), and Nitori Holdings (9843 JP) are added. Nippon Sheet Glass (5202 JP), Mitsui E&amp;S Holdings (7003 JP), and Matsui Securities (8628 JP) removed.
That triggers flows of about ¥480bn a side, and some big, big changes. The announcement helps understand new process better.


September Nikkei 225 Review - Lasertec, Mercari, Nitori IN, Expected DELETEs Out (Matsui the Biggie)

<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> fell -5.77% during July and August (CC=-2). Currently the index is down for September: this month's negative Close would be = <strong>CC=-3</strong>, a strong <strong>LONG</strong> signal.</li>
<li>The index reached a low = 31275.25 in August, right in the middle of the 32391-30600 support price band indicated in our <a href="https://www.smartkarma.com/insights/eqd-nikkei-225-nky-monthly-trajectories" target="_blank" rel="noopener">previous MONTHLY Trajectories Analysis</a>,  50%-75% reversal probability.</li>
<li>LONG Support levels are confirmed, in this insight we will analyze the new, re-calculated Resistance levels, to evaluate how far/how long the index could rise, if it rallies.</li>
</ul>


The Nikkei 225 INDEX fell -5.77% during July and August (CC=-2). Currently the index is down for September: this month's negative Close would be = CC=-3, a strong LONG signal.
The index reached a low = 31275.25 in August, right in the middle of the 32391-30600 support price band indicated in our previous MONTHLY Trajectories Analysis,  50%-75% reversal probability.
LONG Support levels are confirmed, in this insight we will analyze the new, re-calculated Resistance levels, to evaluate how far/how long the index could rise, if it rallies.


EQD | Nikkei 225 (NKY) MONTHLY Trajectories Analysis

Japan

Nippon Sheet Glass Company, Limited manufactures a variety of glass related products. The products include flat glass for construction, building materials, automobiles, and glassfiber products. Nippon Sheet Glass also develops glass for electronics such as plasma panels and optoelectronic devices.

Price Gauge
52-week Range	0.00 - 0.00
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Nippon Sheet Glass (5202 JP)

Quiddity JPX-Nikkei 400 Rebal 2024: End-Sep 2023

There are 35 Potential ADDs and 39 Potential DELs (unique names) presented in the current Quiddity Leaderboard which is based on the latest...

Janaghan Jeyakumar, CFA

Nikkei 225 Index Rebalance: Mercari, Lasertec, Nitori IN; Nippon Glass, Mitsui E&S, Matsui Sec OUT

The adds are broadly flat since announcement of the changes. The deletes are higher and short interest has continued to increase. The stocks with...

Brian Freitas

EQD | Nikkei 225 (NKY) Enters WEEKLY OVERBOUGHT Resistance Area

The Nikkei 225 Index is WEEKLY OVERBOUGHT after its 1-week up rally (CC=+1), additional gains in the next 2-3 weeks will be hampered down by...

Nico Rosti

September Nikkei 225 Review - Lasertec, Mercari, Nitori IN, Expected DELETEs Out (Matsui the Biggie)

Since the Sep 2023 Nikkei announcement 10 days ago, Lasertec flatlined vs Peers, Nitori popped, then underperformed what might loosely be...

Travis Lundy

EQD | Nikkei 225 (NKY) MONTHLY Trajectories Analysis

The Nikkei 225 INDEX fell in July/August. Currently down also in September, could reach OVERSOLD condition. Newly-generated resistance levels are...

Nico Rosti

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity JPX-Nikkei 400 Rebal 2024: End-Sep 2023

There are 35 Potential ADDs and 39 Potential DELs (unique names) presented in the current Quiddity Leaderboard which is based on the latest...

Janaghan Jeyakumar, CFA

Nikkei 225 Index Rebalance: Mercari, Lasertec, Nitori IN; Nippon Glass, Mitsui E&S, Matsui Sec OUT

The adds are broadly flat since announcement of the changes. The deletes are higher and short interest has continued to increase. The stocks with...

Brian Freitas

EQD | Nikkei 225 (NKY) Enters WEEKLY OVERBOUGHT Resistance Area

​The Nikkei 225 Index is WEEKLY OVERBOUGHT after its 1-week up rally (CC=+1), additional gains in the next 2-3 weeks will be hampered down by...

Nico Rosti

September Nikkei 225 Review - Lasertec, Mercari, Nitori IN, Expected DELETEs Out (Matsui the Biggie)

Since the Sep 2023 Nikkei announcement 10 days ago, Lasertec flatlined vs Peers, Nitori popped, then underperformed what might loosely be...

Travis Lundy

EQD | Nikkei 225 (NKY) MONTHLY Trajectories Analysis

​The Nikkei 225 INDEX fell in July/August. Currently down also in September, could reach OVERSOLD condition. Newly-generated resistance levels are...

Nico Rosti

The Nikkei 225 Index is WEEKLY OVERBOUGHT after its 1-week up rally (CC=+1), additional gains in the next 2-3 weeks will be hampered down by...

The Nikkei 225 INDEX fell in July/August. Currently down also in September, could reach OVERSOLD condition. Newly-generated resistance levels are...