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>There are 15 stocks in Japan that will be sold by passive trackers at the close on 31 May.</li>
<li>Short interest has been increasing in these stocks over the last few months and there will be covering on implementation date.</li>
<li>Cumulative excess volume on all stocks has risen in the last couple of months though the pace of the increase has varied.</li>
</ul>


There are 15 stocks in Japan that will be sold by passive trackers at the close on 31 May.
Short interest has been increasing in these stocks over the last few months and there will be covering on implementation date.
Cumulative excess volume on all stocks has risen in the last couple of months though the pace of the increase has varied.


Japan - Another Big Round of Passive Selling

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Japan Petroleum Exploration / Event-Driven

<ul>
<li>Japanese companies are buying back more stock than ever before, and recent moves by the TSE and METI are effectively pushing for more.</li>
<li>The new goal is to lift PBR and ROE. The easiest way to lift ROE is reduce E. Low-PBR Cos with excess assets and cross-holdings (outbound and inbound) are targets.</li>
<li>In this insight I look at several possible rankings for potential large buyback targets.</li>
</ul>


Japanese companies are buying back more stock than ever before, and recent moves by the TSE and METI are effectively pushing for more.
The new goal is to lift PBR and ROE. The easiest way to lift ROE is reduce E. Low-PBR Cos with excess assets and cross-holdings (outbound and inbound) are targets.
In this insight I look at several possible rankings for potential large buyback targets.


JAPAN GOVERNANCE CHANGES II - Who Could Surprise on Buybacks? Quant Rankings

Japanese Equity Specialist, Ortus Advisors

Andrew Jackson

Japanese Equity Specialist

Ortus Advisors

Thematic (Sector/Industry)

<ul>
<li>Tech weakness in Japan to continue, following the profit taking lead out of the US with NVDA numbers on Wednesday.</li>
<li>Defence related may get a lift after yesterdays weakness, with Middle East tensions rising, Japan warding off a Chinese spy plane and ex-Defence Minister announcing candidacy for LDP leader.</li>
<li>Typhoon Shanshan is expected in Kyushu. Resulting weakness on related names is usually short-lived and largely retail investor driven, making reverse positioning into the moves the more attractive tactic.</li>
</ul>


Tech weakness in Japan to continue, following the profit taking lead out of the US with NVDA numbers on Wednesday.
Defence related may get a lift after yesterdays weakness, with Middle East tensions rising, Japan warding off a Chinese spy plane and ex-Defence Minister announcing candidacy for LDP leader.
Typhoon Shanshan is expected in Kyushu. Resulting weakness on related names is usually short-lived and largely retail investor driven, making reverse positioning into the moves the more attractive tactic.


Japan Morning Connection: Further Sector Rotation on the Cards as Risk-Off Mood for Tech Continues

<ul>
<li>Watch for a 'megaquake' reversal after a big rotation for names deemed to be winners/losers on Friday on heightened expectations for a major Nankai Trough earthquake over the w/e</li>
<li>Retail related should rebound sharply after a solid 1Q showing from 3099 <a href="https://www.smartkarma.com/entities/isetan-mitsukoshi-holdings-ltd" target="_blank" data-smartkarma-citation="entities:18871:1" rel="noopener">Isetan Mitsukoshi</a>, with several related names yet to rebound on concerns the stronger yen will curb tourist spending.</li>
<li>1911 <a href="https://www.smartkarma.com/entities/sumitomo-forestry-co-ltd" target="_blank" data-smartkarma-citation="entities:9769:1" rel="noopener">Sumitomo Forestry</a> business briefing Friday confirms the strength of its US housing business, with it likely to easily exceed its latest MTP.</li>
</ul>


Watch for a 'megaquake' reversal after a big rotation for names deemed to be winners/losers on Friday on heightened expectations for a major Nankai Trough earthquake over the w/e
Retail related should rebound sharply after a solid 1Q showing from 3099 Isetan Mitsukoshi, with several related names yet to rebound on concerns the stronger yen will curb tourist spending.
1911 Sumitomo Forestry business briefing Friday confirms the strength of its US housing business, with it likely to easily exceed its latest MTP.


Japan Morning Connection: 3099 JP, 1911 JP, 5803 JP

<ul>
<li>There are 44 adds/41 deletes for the JPX Nikkei 400 Index to bring the number of index constituents back to 400. There are stocks with multiple days ADV to trade.</li>
<li>Based on the adds, deletes and capping changes, we estimate one way turnover of 7.9% and a round-trip trade of JPY 880bn (US$6bn).</li>
<li>The adds have outperformed the deletes over the last year though that has been faded over the last couple of months. Breaking with history, there could be outperformance near-term.</li>
</ul>


There are 44 adds/41 deletes for the JPX Nikkei 400 Index to bring the number of index constituents back to 400. There are stocks with multiple days ADV to trade.
Based on the adds, deletes and capping changes, we estimate one way turnover of 7.9% and a round-trip trade of JPY 880bn (US$6bn).
The adds have outperformed the deletes over the last year though that has been faded over the last couple of months. Breaking with history, there could be outperformance near-term.


JPX Nikkei 400 Index Rebalance: A Bunch of Chunky Adds & US$6bn Trade

Japan

Shimizu Corporation is a general contractor operating nationwide and overseas. The Company builds residential, commercial, and institutional buildings. Shimizu also performs civil engineering works for roads and operates real estate businesses. The Company, through its subsidiaries, sells and leases construction materials and machinery.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Shimizu Corp (1803 JP)

Japan - Another Big Round of Passive Selling

The close tomorrow should see huge volumes trade on these stocks. Shorts will be covered and longs will be selectively put on.

Brian Freitas

JAPAN GOVERNANCE CHANGES II - Who Could Surprise on Buybacks? Quant Rankings

JAPAN GOVERNANCE: There is a buyback story coming. It will be big. Bigger than the past year or two, and it will continue. What to buy?

Travis Lundy

Japan Morning Connection: Further Sector Rotation on the Cards as Risk-Off Mood for Tech Continues

Tech weakness in Japan likely to persist. Defense stocks may see a boost amid rising tensions. Reverse position into Typhoon-related weakness.

Andrew Jackson

Japan Morning Connection: 3099 JP, 1911 JP, 5803 JP

Expect a 'megaquake' reversal in stock names post-rotation due to earthquake warnings, retail rebound likely after strong 3099 1Q showing,...

Andrew Jackson

JPX Nikkei 400 Index Rebalance: A Bunch of Chunky Adds & US$6bn Trade

There are 44 adds/41 deletes for the JPX Nikkei 400 Index resulting in a one-way turnover of 7.9% and a round-trip trade of JPY 880bn (US$6bn)....

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Japan - Another Big Round of Passive Selling

The close tomorrow should see huge volumes trade on these stocks. Shorts will be covered and longs will be selectively put on.

Brian Freitas

JAPAN GOVERNANCE CHANGES II - Who Could Surprise on Buybacks? Quant Rankings

JAPAN GOVERNANCE: There is a buyback story coming. It will be big. Bigger than the past year or two, and it will continue. What to buy?

Travis Lundy

Japan Morning Connection: Further Sector Rotation on the Cards as Risk-Off Mood for Tech Continues

​Tech weakness in Japan likely to persist. Defense stocks may see a boost amid rising tensions. Reverse position into Typhoon-related weakness.

Andrew Jackson

Japan Morning Connection: 3099 JP, 1911 JP, 5803 JP

​Expect a 'megaquake' reversal in stock names post-rotation due to earthquake warnings, retail rebound likely after strong 3099 1Q showing,...

Andrew Jackson

JPX Nikkei 400 Index Rebalance: A Bunch of Chunky Adds & US$6bn Trade

There are 44 adds/41 deletes for the JPX Nikkei 400 Index resulting in a one-way turnover of 7.9% and a round-trip trade of JPY 880bn (US$6bn)....

Brian Freitas

Tech weakness in Japan likely to persist. Defense stocks may see a boost amid rising tensions. Reverse position into Typhoon-related weakness.

Expect a 'megaquake' reversal in stock names post-rotation due to earthquake warnings, retail rebound likely after strong 3099 1Q showing,...