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>Some stocks have continued to underperform 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> and their peers and could be deleted from global passive portfolios next month.</li>
<li>Stocks that were expected to be deleted (but could now be safe) have outperformed 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> over the last couple of weeks.</li>
<li>There has been two-way flow in a lot of stocks with market participants increasing and covering short positions as the stock prices have moved around.</li>
</ul>


Some stocks have continued to underperform the Nikkei 225 (NKY INDEX) and their peers and could be deleted from global passive portfolios next month.
Stocks that were expected to be deleted (but could now be safe) have outperformed the Nikkei 225 (NKY INDEX) over the last couple of weeks.
There has been two-way flow in a lot of stocks with market participants increasing and covering short positions as the stock prices have moved around.


Japan - Increasing Shorts on Some Interesting* Stocks; Positioning Appears Light

Daiwa House Reit Investment / Event-Driven

<ul>
<li>There are a bunch of stocks that have underperformed 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> and their peers and could be deleted from global passive portfolios early next year.</li>
<li>The deletion from passive portfolios will lead to a liquidity event at the end of February where passive trackers will need to sell multiple days of ADV.</li>
<li>Shorts have started to increase on some of the stocks and there will be further positioning as we near the liquidity event.</li>
</ul>


There are a bunch of stocks that have underperformed the Nikkei 225 (NKY INDEX) and their peers and could be deleted from global passive portfolios early next year.
The deletion from passive portfolios will lead to a liquidity event at the end of February where passive trackers will need to sell multiple days of ADV.
Shorts have started to increase on some of the stocks and there will be further positioning as we near the liquidity event.


Japan - Increasing Shorts on Some Interesting Stocks

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The Nikkei 225 index closed up last week and it has a good probability to rise further this week: the MRM tool has identified the current pattern as "bullish".</li>
<li>
<strong>Resistance targets</strong> are located <strong>past 33500</strong>, the index could reach that target this week.</li>
<li>If the index rises for 3 weeks or more, it could breakout from the previous resistance range around 33700, and reach targets past 34000.</li>
</ul>


The Nikkei 225 index closed up last week and it has a good probability to rise further this week: the MRM tool has identified the current pattern as "bullish".

Resistance targets are located past 33500, the index could reach that target this week.
If the index rises for 3 weeks or more, it could breakout from the previous resistance range around 33700, and reach targets past 34000.


EQD | Nikkei 225 (NKY) WEEKLY Resistance Targets

<ul>
<li>The review period for the September rebalance of the S&amp;P/ASX family of indices ends on Friday. There will be a lot of changes across the family.</li>
<li>Hang Seng Indices will announce the changes to the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> and the HSCI after market close on Friday.</li>
<li>There were HUGE inflows to onshore China focused ETFs during the week with <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index</a> ETFs taking in the largest amounts.</li>
</ul>


The review period for the September rebalance of the S&amp;P/ASX family of indices ends on Friday. There will be a lot of changes across the family.
Hang Seng Indices will announce the changes to the Hang Seng Index, Hang Seng China Enterprises Index, Hang Seng TECH Index and the HSCI after market close on Friday.
There were HUGE inflows to onshore China focused ETFs during the week with CSI 300 Index, CSI 500 Index and SSE50 Index ETFs taking in the largest amounts.


Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nisshin-seifun-group-inc" target="_blank" data-smartkarma-citation="entities:640:1" rel="noopener">Nisshin Seifun Group</a>, <a href="https://www.smartkarma.com/entities/oji-holdings-corp" target="_blank" data-smartkarma-citation="entities:11348:1" rel="noopener">Oji Holdings</a>, <a href="https://www.smartkarma.com/entities/nippon-shinyaku-co-ltd" target="_blank" data-smartkarma-citation="entities:6634:1" rel="noopener">Nippon Shinyaku</a>, <a href="https://www.smartkarma.com/entities/cyberagent-inc" target="_blank" data-smartkarma-citation="entities:8197:1" rel="noopener">CyberAgent Inc</a>, <a href="https://www.smartkarma.com/entities/ngk-insulators-ltd" target="_blank" data-smartkarma-citation="entities:12580:1" rel="noopener">NGK Insulators</a>, <a href="https://www.smartkarma.com/entities/lixil-group-corp" target="_blank" data-smartkarma-citation="entities:454:1" rel="noopener">Lixil Group</a> and <a href="https://www.smartkarma.com/entities/sharp-corp" target="_blank" data-smartkarma-citation="entities:391:1" rel="noopener">Sharp Corp</a> have all underperformed 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> over the last 3-4 months.</li>
<li>The underperformance could lead to adjustments in global passive portfolios and liquidity events on some of the stocks.</li>
<li>Short interest has started to increase and there could be more pre-positioning yet to come over the next few weeks.</li>
</ul>



Nisshin Seifun Group, Oji Holdings, Nippon Shinyaku, CyberAgent Inc, NGK Insulators, Lixil Group and Sharp Corp have all underperformed the Nikkei 225 (NKY INDEX) over the last 3-4 months.
The underperformance could lead to adjustments in global passive portfolios and liquidity events on some of the stocks.
Short interest has started to increase and there could be more pre-positioning yet to come over the next few weeks.


Japan - Increase in Shorts on Some Interesting Stocks

Japan

Oji Holdings Corp manufactures paper, pulp, and processed paper goods, including news print, carbonless paper, wrapping and packaging paper, and paperboard. The Company also produces sanitary paper goods such as disposable diapers. Oji Paper has forests in Japan and overseas, and operates forestry, timber sales, and real estate businesses.

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Oji Holdings (3861 JP)

Japan - Increasing Shorts on Some Interesting* Stocks; Positioning Appears Light

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Brian Freitas

Japan - Increasing Shorts on Some Interesting Stocks

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EQD | Nikkei 225 (NKY) WEEKLY Resistance Targets

A tactical short-term WEEKLY analysis of the Nikkei 225 resistance levels: bullish pattern, the index can rise +1 week or more, but it will...

Nico Rosti

Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Japan - Increase in Shorts on Some Interesting Stocks

There are a bunch of stocks in Japan that have underperformed the NKY over the last few months and that could lead to a liquidity event due to the...

Brian Freitas

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