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 2022 based on trading data as of end-March 2022.</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 2022 based on trading data as of end-March 2022.


JPX-Nikkei 400 Rebalance 2022: Leaderboard End-Mar 2022

<ul>
<li>JPX-Nikkei 400 is composed of common stocks listed in 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.</li>
<li>Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-January 2022.</li>
</ul>


JPX-Nikkei 400 is composed of common stocks listed in 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.
Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-January 2022.


JPX-Nikkei 400 Rebalance 2022: Leaderboard End-Jan 2022

<div><p>JPX-Nikkei 400 is composed of common stocks whose main market is the TSE1, TSE2, JASDAQ, and Mothers sections (which will become the Prime Market, Standard Market, or Growth Market next April) of the Tokyo Stock Exchange. This is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents selected based on several factors including market capitalization, trading value, operating profits, and ROE.</p></div><div><p>A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. This review is conducted using the final business day of June as the base date. </p></div><div><p>Quiddity provides quantitative research on pre-event basket strategies surrounding this Index Rebalance event and others. Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-October 2021.</p></div>

JPX-Nikkei 400 is composed of common stocks whose main market is the TSE1, TSE2, JASDAQ, and Mothers sections (which will become the Prime Market, Standard Market, or Growth Market next April) of the Tokyo Stock Exchange. This is a free-float-adjusted market-value-weighted (capped) index composed of 400 constituents selected based on several factors including market capitalization, trading value, operating profits, and ROE.A periodic review is conducted by the Index providers, the JPX Group and Nikkei Inc, in August every year. This review is conducted using the final business day of June as the base date. Quiddity provides quantitative research on pre-event basket strategies surrounding this Index Rebalance event and others. Below is a look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-October 2021.

JPX-Nikkei 400 Rebalance 2022: Leader Board End-Oct 2021

'Quantamental' Japan Specialist, LightStream Research

Campbell Gunn

'Quantamental' Japan Specialist

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.

Thematic (Sector/Industry)

<p style="text-align: center;"><strong>• LARGE CAP RESULTS - 9th APRIL •</strong></p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/199/934/original/2021-04-11_07-45-16.png?1618170004" class="editor-image img-responsive" data-smartkarma-image-id="199934"></figure></section><p><strong>RESULTS </strong>- Again, less than half of the 60 results announcements from Friday scored positively. Of the largest-cap stocks reporting, <a href="https://www.smartkarma.com/entities/aeon-co-ltd" target="_blank" data-smartkarma-citation="entities:3:1" rel="noopener">Aeon (8267 JP)</a> is still mired in net losses and is underperforming most of its listed subsidiaries. <a href="https://www.smartkarma.com/entities/yaskawa-electric-corp" target="_blank" data-smartkarma-citation="entities:2458:1" rel="noopener">Yaskawa Electric (6506 JP)</a> saw its first quarterly year-on-year sales gain since Y19-Q1 and is forecasting (see below) a return to near-double-digit operating margins this year. For more, see <a href="https://www.smartkarma.com/profiles/mio-kato" target="_blank" data-smartkarma-citation="accounts:713" rel="noopener">Mio's </a><a href="https://www.smartkarma.com/insights/yaskawa-is-sigma-x-going-to-drive-large-margin-gains" target="_blank" data-smartkarma-citation="insights:50190" rel="noopener">Yaskawa – Is Sigma-X Going to Drive Large Margin Gains?</a>.  Amongst mid-cap construction machinery companies, the divergence between <a href="https://www.smartkarma.com/entities/takeuchi-mfg-co-ltd" target="_blank" data-smartkarma-citation="entities:15344:1" rel="noopener">Takeuchi Mfg (6432 JP)</a> and <a href="https://www.smartkarma.com/entities/giken-ltd" target="_blank" data-smartkarma-citation="entities:8955:1" rel="noopener">Giken (6289 JP)</a> is notable.     </p><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/199/937/original/image_41476225521618176041754.png?1618176043" class="editor-image img-responsive" data-smartkarma-image-id="199937"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/199/938/original/image_43430948031618176155426.png?1618176156" class="editor-image img-responsive" data-smartkarma-image-id="199938"></figure><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/199/939/original/image_15842165641618176543024.png?1618176544" class="editor-image img-responsive" data-smartkarma-image-id="199939"></figure><p></p><p style="text-align: center;"><strong>• LARGE CAP FORECASTS/REVISIONS - 9th APRIL •</strong></p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/199/936/original/2021-04-11_07-45-32.png?1618170242" class="editor-image img-responsive" data-smartkarma-image-id="199936"></figure></section><p><strong>FORECASTS/REVISIONS</strong> - Just 65% of the annual revisions announced were positive, with Yasukawa the leading large-cap. In contrast to its results, Aeon is expecting to beat its listed grocery chain subsidiaries - all of whom are forecasting declines in profits. </p>

• LARGE CAP RESULTS - 9th APRIL •RESULTS - Again, less than half of the 60 results announcements from Friday scored positively. Of the largest-cap stocks reporting, Aeon (8267 JP) is still mired in net losses and is underperforming most of its listed subsidiaries. Yaskawa Electric (6506 JP) saw its first quarterly year-on-year sales gain since Y19-Q1 and is forecasting (see below) a return to near-double-digit operating margins this year. For more, see Mio's Yaskawa – Is Sigma-X Going to Drive Large Margin Gains?.  Amongst mid-cap construction machinery companies, the divergence between Takeuchi Mfg (6432 JP) and Giken (6289 JP) is notable.     • LARGE CAP FORECASTS/REVISIONS - 9th APRIL •FORECASTS/REVISIONS - Just 65% of the annual revisions announced were positive, with Yasukawa the leading large-cap. In contrast to its results, Aeon is expecting to beat its listed grocery chain subsidiaries - all of whom are forecasting declines in profits. 

🇯🇵 JAPAN • Results & Revisions 04/​​​​​09 - Aeon, Giken & Takeuchi

Doing bespoke work since 2002....., Custom Products Group

Patrick Hansen

Doing bespoke work since 2002.....

Custom Products Group

Custom Products was started 14 years ago at Lehman Brothers by current co-founder Patrick Hansen, CFA. After 3 years at Lehman, Patrick moved the team to Macquarie Securities where Simon Rigney (co-founder) joined. 3 years ago we took Custom Products independent. 

Our core strength can be summed up three words. 1- Customization - we have very little off the shelf products and most work is done on a one on one bespoke basis. 2- Speed - We pride ourselves in our ability to get requests back to the client very quickly. 3- Confidentiality - We do not redistribute. There is no grace period where we wait a week and then mass blast. Any request stops with that client.

<p>We went and backtested the seasonality of the different factors and found that names with a high Beta to TOPIX tend to underperform in June. As you can see from the chart below, in June Beta has an average negative 18% information coefficient (IC). Looking at just the most recent performance and in June of 2016 the IC for Beta was negative 41%. </p><h2>Historical Factor Performance in June </h2><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/027/438/original/5.png?1496762253" class="editor-image img-responsive" data-smartkarma-image-id="27438"></figure><div class="content-caption">Source: Custom Products</div><div style="text-align: center;" class="content-caption">
<strong>Please contact us if you would like more information on how we calculated the Information</strong>…</div>

We went and backtested the seasonality of the different factors and found that names with a high Beta to TOPIX tend to underperform in June. As you can see from the chart below, in June Beta has an average negative 18% information coefficient (IC). Looking at just the most recent performance and in June of 2016 the IC for Beta was negative 41%. Historical Factor Performance in June Source: Custom Products
Please contact us if you would like more information on how we calculated the Information…

High Beta Names Do Not Do Well in June....

Japan

Takeuchi Mfg. Co., Ltd. manufactures and sells construction machinery.  The Company's product line includes hydraulic mini-shovels, crawler carriers, and mixers.  The Company also operates overseas through sales subsidiaries in the United States, the United Kingdom, and France.

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Takeuchi Mfg (6432 JP)

JPX-Nikkei 400 Rebalance 2022: Leaderboard End-Mar 2022

A look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-March 2022.

Janaghan Jeyakumar, CFA

JPX-Nikkei 400 Rebalance 2022: Leaderboard End-Jan 2022

A look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-January 2022.

Janaghan Jeyakumar, CFA

JPX-Nikkei 400 Rebalance 2022: Leader Board End-Oct 2021

In this insight, we take a look at the potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading...

Janaghan Jeyakumar, CFA

🇯🇵 JAPAN • Results & Revisions 04/09 - Aeon, Giken & Takeuchi

RESULTS - Again, less than half of the 60 results announcements from Friday scored positively. Of the largest-cap stocks reporting, Aeon (8267 JP)...

Campbell Gunn

High Beta Names Do Not Do Well in June....

We went and backtested the seasonality of the different factors and found that names with a high Beta to TOPIX tend to underperform in June. As you...

Custom Products Group

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

JPX-Nikkei 400 Rebalance 2022: Leaderboard End-Mar 2022

A look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-March 2022.

Janaghan Jeyakumar, CFA

JPX-Nikkei 400 Rebalance 2022: Leaderboard End-Jan 2022

A look at potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading data as of end-January 2022.

Janaghan Jeyakumar, CFA

JPX-Nikkei 400 Rebalance 2022: Leader Board End-Oct 2021

In this insight, we take a look at the potential Inclusions and Removals for the JPX-Nikkei 400 Rebalance to come in August 2022 based on trading...

Janaghan Jeyakumar, CFA

🇯🇵 JAPAN • Results & Revisions 04/​​​​​09 - Aeon, Giken & Takeuchi

RESULTS - Again, less than half of the 60 results announcements from Friday scored positively. Of the largest-cap stocks reporting, Aeon (8267 JP)...

Campbell Gunn

High Beta Names Do Not Do Well in June....

We went and backtested the seasonality of the different factors and found that names with a high Beta to TOPIX tend to underperform in June. As you...

Custom Products Group

🇯🇵 JAPAN • Results & Revisions 04/09 - Aeon, Giken & Takeuchi