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 <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>With the review period for the September rebalance of 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> complete, we take a look at the potential inclusions and exclusions for the index.</li>
<li>The conclusions of the market consultation have been announced and that will mean we switch to a semi-annual rebalance. So we take a look at potential changes in March 2023.</li>
<li>The announcement of the changes for the next rebalance should be made in the first week of September and will be implemented at the close on 30 September.</li>
</ul>


With the review period for the September rebalance of the Nikkei 225 (NKY INDEX) complete, we take a look at the potential inclusions and exclusions for the index.
The conclusions of the market consultation have been announced and that will mean we switch to a semi-annual rebalance. So we take a look at potential changes in March 2023.
The announcement of the changes for the next rebalance should be made in the first week of September and will be implemented at the close on 30 September.


Nikkei 225 Index Rebalance Preview: Consultation Conclusions & Potential Changes in Sep & March

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Yesterday I published <a href="https://www.smartkarma.com/insights/nikkei-225-sep-annual-review-predictions-3-in-3-out" target="_blank" data-smartkarma-citation="insights:73209" rel="noopener">Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out</a>. Assuming correct, and we move the last 6mos of data 6mos forward, March23 Rebal is below.</li>
<li>This too is 3 in, 3 out. But it is complicated. "Required" changes would move the sector balance further out of whack. </li>
<li>And while some of the trades are "interesting", the rebal is smaller and the bigger question is <em><strong>"What comes after that?"</strong></em>
</li>
</ul>


Yesterday I published Nikkei 225 Sep Annual Review Predictions - 3 In, 3 Out. Assuming correct, and we move the last 6mos of data 6mos forward, March23 Rebal is below.
This too is 3 in, 3 out. But it is complicated. "Required" changes would move the sector balance further out of whack. 
And while some of the trades are "interesting", the rebal is smaller and the bigger question is "What comes after that?"



Nikkei 225 March 2023 Rebal On The Follow - Predictions (3 In, 3 Out) & Problems

Senior Technology Analyst, Japanese Equities, LightStream Research

Scott Foster

Senior Technology Analyst, Japanese Equities

Long-Short Analysis on Japan, Asia and the World

LightStream Research

LightStream conducts quantitatively rigorous and data-driven analysis with a focus on Japan and Asia.

We consistently cover the Tech, Consumer and Industrial sectors, and provide ECM and Events coverage more broadly.

We supplement traditional qualitative insights from company relationships with a robust quantitative foundation that examines as much historical data as is available.
We further refine the accuracy of our insights and calls through the use of alternative data to flesh out current trends, and through a valuation framework that emphasises non-superficial peer group selection and a proper attempt to understand the metrics and changes that have driven security valuations in the past.

Equity Bottom-Up

<ul>
<li>NSG's share price has rebounded to its pre-COVID level but is still 44% below its 2018 high.</li>
<li>Demand for architectural, automotive and speciality glass is on the rebound. Year-on-year sales and operating profit comparisons have turned or are turning positive.</li>
<li>As business returns to normal, projected valuations suggest 30% to 50% potential upside.</li>
</ul>


NSG's share price has rebounded to its pre-COVID level but is still 44% below its 2018 high.
Demand for architectural, automotive and speciality glass is on the rebound. Year-on-year sales and operating profit comparisons have turned or are turning positive.
As business returns to normal, projected valuations suggest 30% to 50% potential upside.


Nippon Sheet Glass (5202 JP): Significant Upside Potential Remains

'Quantamental' Japan Specialist, LightStream Research

Campbell Gunn

'Quantamental' Japan Specialist

Thematic (Sector/Industry)

<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/125/809/original/2020-04-01_05-33-05.png?1585686825" class="editor-image img-responsive" data-smartkarma-image-id="125809"></figure><div class="content-caption">Source • Japan Analytics</div><p><strong>TUESDAY 31st MARCH</strong> - Shareholder returns are now being sacrificed to shore up corporate cash flows in Japan. Yesterday saw<strong><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></strong> and <strong><a href="https://www.smartkarma.com/entities/nextgen-inc" target="_blank" data-smartkarma-citation="entities:20914:1" rel="noopener">Nextgen (3842 JP)</a></strong> cancel their payouts, and reductions from <strong><a href="https://www.smartkarma.com/entities/shinsho-corp" target="_blank" data-smartkarma-citation="entities:6333:1" rel="noopener">Shinsho (8075 JP)</a></strong>, <strong><a href="https://www.smartkarma.com/entities/hakuto-co-ltd" target="_blank" data-smartkarma-citation="entities:6207:1" rel="noopener">Hakuto (7433 JP)</a></strong>, and <strong><a href="https://www.smartkarma.com/entities/nipro-corp" target="_blank" data-smartkarma-citation="entities:18346:1" rel="noopener">Nipro (8086 JP)</a></strong>. Nipro has 'form' in this regard, but it is interesting to note that 2020's payout will be less than the ¥16 paid in 2009. We shall be covering the topic of "<em>Dividends at Risk</em>" in a forthcoming Insight. There were no large-cap results or revisions yesterday, but our scoring was five positive to six negative for results and eight positive to eleven negative for revisions.</p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/125/811/original/2020-04-01_05-56-47.png?1585688222" class="editor-image img-responsive" data-smartkarma-image-id="125811"></figure><div class="content-caption">Source • Japan Analytics</div><p><strong><a href="https://www.smartkarma.com/entities/mitsubishi-ufj-financial-gro" target="_blank" data-smartkarma-citation="entities:218:1" rel="noopener">Mitsubishi UFJ Financial (8306 JP)</a></strong> - MUFG chooses not to make forecasts, so we are reliant on Nikkei 'previews' for 'updates'. A<strong> ¥360b</strong> (US$3.34b) writedown of MUFG's stake in banks in Indonesia, Thailand, and the Philippines is to be booked for the fiscal year that ended yesterday. MUFG shares fell 5.4%, and <strong>Banks</strong> was the worst-performing Sector on the day. </p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/125/814/original/File%202020-04-01%206%2010%2027.jpeg?1585689079" class="editor-image img-responsive" data-smartkarma-image-id="125814"></figure><div class="content-caption">Source • covid19japan.com</div><p><strong>LOCKDOWN CORNER</strong> - By emphatically denying rumours of an impending 'lockdown' for Tokyo from tomorrow, the Government has limited their options for doing so without loss of credibility with the public. A rumour that Google Japan was suppressing searches about the rumour only helped to fan the flames and anxiety. Panic-buying re-emerged in grocery stores.  COVID-19 cases in Tokyo are now growing at an exponential rate, eclipsing the rest of Japan, with the majority of new cases are not conforming to Japan's pre-ordained epidemiological tracing protocols. Governor Koike held an emergency meeting with Prime Minister Abe last night. While the Tokyo Metropolitan Government is encouraging social distancing, only the national government can invoke stricter measures under the recently-enacted emergency laws. The current uncertainty over the Tokyo lockdown is not market-positive. </p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/125/820/original/2020-04-01_05-07-12.png?1585690885" class="editor-image img-responsive" data-smartkarma-image-id="125820"></figure><div class="content-caption">Source • Deutsche Bank</div><p><strong>HISTORIC</strong> - Deutsche Bank has estimated that COVID-19 will result in a year-on-year economic contraction of <strong>3.9%</strong>, lower than that of 2009. Were Tokyo to lockdown for a month, the 2009 decline would probably be exceeded.</p>

Source • Japan AnalyticsTUESDAY 31st MARCH - Shareholder returns are now being sacrificed to shore up corporate cash flows in Japan. Yesterday sawNippon Sheet Glass (5202 JP) and Nextgen (3842 JP) cancel their payouts, and reductions from Shinsho (8075 JP), Hakuto (7433 JP), and Nipro (8086 JP). Nipro has 'form' in this regard, but it is interesting to note that 2020's payout will be less than the ¥16 paid in 2009. We shall be covering the topic of "Dividends at Risk" in a forthcoming Insight. There were no large-cap results or revisions yesterday, but our scoring was five positive to six negative for results and eight positive to eleven negative for revisions.Source • Japan AnalyticsMitsubishi UFJ Financial (8306 JP) - MUFG chooses not to make forecasts, so we are reliant on Nikkei 'previews' for 'updates'. A ¥360b (US$3.34b) writedown of MUFG's stake in banks in Indonesia, Thailand, and the Philippines is to be booked for the fiscal year that ended yesterday. MUFG shares fell 5.4%, and Banks was the worst-performing Sector on the day. Source • covid19japan.comLOCKDOWN CORNER - By emphatically denying rumours of an impending 'lockdown' for Tokyo from tomorrow, the Government has limited their options for doing so without loss of credibility with the public. A rumour that Google Japan was suppressing searches about the rumour only helped to fan the flames and anxiety. Panic-buying re-emerged in grocery stores.  COVID-19 cases in Tokyo are now growing at an exponential rate, eclipsing the rest of Japan, with the majority of new cases are not conforming to Japan's pre-ordained epidemiological tracing protocols. Governor Koike held an emergency meeting with Prime Minister Abe last night. While the Tokyo Metropolitan Government is encouraging social distancing, only the national government can invoke stricter measures under the recently-enacted emergency laws. The current uncertainty over the Tokyo lockdown is not market-positive. Source • Deutsche BankHISTORIC - Deutsche Bank has estimated that COVID-19 will result in a year-on-year economic contraction of 3.9%, lower than that of 2009. Were Tokyo to lockdown for a month, the 2009 decline would probably be exceeded.

🇯🇵 JAPAN • Revisions & Results Update 31st March > Dividends at Risk

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.

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Nippon Sheet Glass (5202 JP)

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

Nikkei 225 Index Rebalance Preview: Consultation Conclusions & Potential Changes in Sep & March

The market consultation conclusion were confirmed last week. We expect 3 changes to the index in September and another 3 in March. The adds/deletes...

Brian Freitas

Nikkei 225 March 2023 Rebal On The Follow - Predictions (3 In, 3 Out) & Problems

If we assume the Sep-22 Nikkei 225 Rebal predictions, then we look to Mar-23. 3 more in and out. Then it starts getting weird as Auto Inclusions...

Travis Lundy