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>On 20 May, we recommended selling <a href="https://www.smartkarma.com/entities/sk-telecom-co-ltd-bbccd86c-474d-4a4d-946d-10e911a225a2" target="_blank" data-smartkarma-citation="entities:395:1" rel="noopener">SK Telecom (017670 KS)</a> and buying <a href="https://www.smartkarma.com/entities/kt-corp" target="_blank" data-smartkarma-citation="entities:1112:1" rel="noopener">KT Corp (030200 KS)</a>. That trade is up 12% over the last month.</li>
<li>Foreign investors have sold 2.5m shares of <a href="https://www.smartkarma.com/entities/sk-telecom-co-ltd-bbccd86c-474d-4a4d-946d-10e911a225a2" target="_blank" data-smartkarma-citation="entities:395:1" rel="noopener">SK Telecom (017670 KS)</a> in the last month while buying 2.8m shares of <a href="https://www.smartkarma.com/entities/kt-corp" target="_blank" data-smartkarma-citation="entities:1112:1" rel="noopener">KT Corp (030200 KS)</a>. </li>
<li>With the price ratio trading at a 4 year low, we feel is is time to start unwinding the trade and waiting for a little bit before reversing it.</li>
</ul>


On 20 May, we recommended selling SK Telecom (017670 KS) and buying KT Corp (030200 KS). That trade is up 12% over the last month.
Foreign investors have sold 2.5m shares of SK Telecom (017670 KS) in the last month while buying 2.8m shares of KT Corp (030200 KS). 
With the price ratio trading at a 4 year low, we feel is is time to start unwinding the trade and waiting for a little bit before reversing it.


SK Telecom / KT Corp: Foreign Room, Passive Flow & Trade Update

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Since Toshiba reported lacklustre earnings and guidance, there has been a steady flow of articles in the press about the privatisation process going on behind the scenes.</li>
<li>On 25 March, Toshiba let it be known a privatisation process would start. On 31 March, Bain gave notice it would participate. Toshiba has been in talks since 21 April</li>
<li>First round bids were due 30 May, and 10 total submissions were made, with 8 privatisation proposals proffered. Now we wait...</li>
</ul>


Since Toshiba reported lacklustre earnings and guidance, there has been a steady flow of articles in the press about the privatisation process going on behind the scenes.
On 25 March, Toshiba let it be known a privatisation process would start. On 31 March, Bain gave notice it would participate. Toshiba has been in talks since 21 April
First round bids were due 30 May, and 10 total submissions were made, with 8 privatisation proposals proffered. Now we wait...


Toshiba (6502) - Now We Have the First Rounds Bids In, And We Wait, But It's Top of Range

NTT (Nippon Telegraph & Telephone) / Event-Driven

<ul>
<li>The second tranche of the FFW methodology change for the <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">Tokyo Stock Exchange Tokyo Price Index Topix (TPX INDEX)</a> will be implemented at the close of trading today.</li>
<li>One way flow is ~JPY 745bn and will be spread across ~2170 stocks. The largest inflow will be on <a href="https://www.smartkarma.com/entities/nippon-telegraph-telephone-corporation" target="_blank" data-smartkarma-citation="entities:623:1" rel="noopener">NTT (9432 JP)</a> and the largest outflow on <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" data-smartkarma-citation="entities:73:1" rel="noopener">Toyota Motor (7203)</a>.</li>
<li>The stocks with the largest inflows have outperformed the stocks with the largest outflows over the last month and the outperformance could continue going into the last tranche in June.</li>
</ul>


The second tranche of the FFW methodology change for the Tokyo Stock Exchange Tokyo Price Index Topix (TPX INDEX) will be implemented at the close of trading today.
One way flow is ~JPY 745bn and will be spread across ~2170 stocks. The largest inflow will be on NTT (9432 JP) and the largest outflow on Toyota Motor (7203).
The stocks with the largest inflows have outperformed the stocks with the largest outflows over the last month and the outperformance could continue going into the last tranche in June.


Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>The DAX and Hang Seng are reversing their downtrends while MSCI China (MCHI-US) and China Internet (KWEB-US) are currently testing their respective multi-month downtrends.</li>
<li>Reversals of these downtrends would signal a bear market rally in progress.</li>
<li>We will need to see more basing, followed by base breakouts, in order to get bullish -- a process that would likely take weeks or months.</li>
</ul>


The DAX and Hang Seng are reversing their downtrends while MSCI China (MCHI-US) and China Internet (KWEB-US) are currently testing their respective multi-month downtrends.
Reversals of these downtrends would signal a bear market rally in progress.
We will need to see more basing, followed by base breakouts, in order to get bullish -- a process that would likely take weeks or months.


Still Bearish, But On Watch for Bear Market Rally; Buying Toshiba 6502-JP, Defensive Sectors

<ul>
<li>The TSE Free Float Weight Rebalance to be executed at the close Monday (30 May) is about ¥729bn a side, so it will add ~¥1.5trln to volumes. </li>
<li>A sector-neutral basket of the 98 top upweights and 98 top downweights across the 33 TOPIX sectors saw the upweights UNDER-perform the downweights by about 0.3% since the April rebalance.</li>
<li>Monday again sees very large buy and sell flows at the close. This is a guide to taking advantage of those flows. Sector tables and a spreadsheet is attached.</li>
</ul>


The TSE Free Float Weight Rebalance to be executed at the close Monday (30 May) is about ¥729bn a side, so it will add ~¥1.5trln to volumes. 
A sector-neutral basket of the 98 top upweights and 98 top downweights across the 33 TOPIX sectors saw the upweights UNDER-perform the downweights by about 0.3% since the April rebalance.
Monday again sees very large buy and sell flows at the close. This is a guide to taking advantage of those flows. Sector tables and a spreadsheet is attached.


TOPIX May Rebalance - The BIG Flows at the Close MONDAY

Japan

Nippon Telegraph and Telephone Corporation provides a variety of telecommunication services, including telephone, telegraph, leased circuits, data communication, terminal equipment sales, and related services. The Company provides both local and long distance telephone services within Japan.

NTT (Nippon Telegraph & Telephone) (9432 JP)

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NTT (Nippon Telegraph & Telephone) (9432 JP)

SK Telecom / KT Corp: Foreign Room, Passive Flow & Trade Update

SK Telecom has underperformed KT Corp by 12% over the last month. Foreign investors have been selling SK Tel & buying KT Corp. The price ratio is...

Brian Freitas

Toshiba (6502) - Now We Have the First Rounds Bids In, And We Wait, But It's Top of Range

Toshiba today announced a comprehensive deck with a Management Policy update, which is a very interesting read. They also announced they had...

Travis Lundy

TOPIX Rebalance: Flows at the Close

The second tranche of the FFW methodology change for the TOPIX Index will be implemented at the close of trading today. One way flow is ~JPY 745bn...

Brian Freitas

Still Bearish, But On Watch for Bear Market Rally; Buying Toshiba 6502-JP, Defensive Sectors

The $DAX and Hang Seng are reversing their downtrends while China $MCHI and China Internet $KWEB are currently testing their respective multi-month...

Vermilion Research

TOPIX May Rebalance - The BIG Flows at the Close MONDAY

The TOPIX Rebalance at end-May is upon us. ¥700+bn of buys and ¥700bn of sell flows at the close today (Friday). The big buys are NTT, Sony,...

Travis Lundy

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52-week Range

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