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 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>There are 38 adds/36 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 4.35% and a two-way trade of JPY 461bn (US$3.24bn).</li>
<li>There are a few stocks that will have same way flow from other index trackers within a few weeks of the JPX Nikkei 400 Index rebalance.</li>
</ul>


There are 38 adds/36 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 4.35% and a two-way trade of JPY 461bn (US$3.24bn).
There are a few stocks that will have same way flow from other index trackers within a few weeks of the JPX Nikkei 400 Index rebalance.


JPX Nikkei 400 Index Rebalance: Some Big Impact Names

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

Our weight of the evidence approach leads us to believe the market remains in the early stages of a broad-based advance, meaning a buy-the-dip mentality is warranted. While we want to acknowledge that the potential for a US-China tariff escalation remains a risk for the market, we believe this is likely to be the case for the foreseeable future. In our December International Strategy, we highlight various themes which lead to our positive outlook, including actionable trade ideas in technology, health care and manufacturing.

Our weight of the evidence approach leads us to believe the market remains in the early stages of a broad-based advance, meaning a buy-the-dip mentality is warranted. While we want to acknowledge that the potential for a US-China tariff escalation remains a risk for the market, we believe this is likely to be the case for the foreseeable future. In our December International Strategy, we highlight various themes which lead to our positive outlook, including actionable trade ideas in technology, health care and manufacturing.

Global Equities Headed Up and to the Right: Technology, Health Care Leading

TSE Tokyo Price Index TOPIX / Technical Analysis

Despite EAFE’s YTD outperformance relative to EM, EAFE and EM returns have generally been equal since August, shown by the stalemate in the EAFE vs. EM ratio. The U.S. dollar (DXY) is currently trading near support within the 16-17 month uptrend channel. Technicals suggest the most likely scenario is for the DXY uptrend to continue and for support to hold -- which would likely result in EAFE reasserting as leadership.  In this publication we highlight attractive investment themes and individual ideas across developed markets, with special attention given to Japan, Germany, Sweden, Italy, Spain, and Switzerland.

Despite EAFE’s YTD outperformance relative to EM, EAFE and EM returns have generally been equal since August, shown by the stalemate in the EAFE vs. EM ratio. The U.S. dollar (DXY) is currently trading near support within the 16-17 month uptrend channel. Technicals suggest the most likely scenario is for the DXY uptrend to continue and for support to hold -- which would likely result in EAFE reasserting as leadership.  In this publication we highlight attractive investment themes and individual ideas across developed markets, with special attention given to Japan, Germany, Sweden, Italy, Spain, and Switzerland.

Developed Markets Strategy: Stick with Japan

Global equities are now breaking out to new highs amid positive technical developments -- something we noted was increasingly likely in last week’s Int’l Compass. These breakouts and other technical developments highlighted below argue that this is the beginning of a new leg higher. Now is the time to be playing offense. In today’s report we highlight our favorite setups within Industrials, spanning the Vermilion international Manufacturing, Services, and Transportation Sectors.

Global equities are now breaking out to new highs amid positive technical developments -- something we noted was increasingly likely in last week’s Int’l Compass. These breakouts and other technical developments highlighted below argue that this is the beginning of a new leg higher. Now is the time to be playing offense. In today’s report we highlight our favorite setups within Industrials, spanning the Vermilion international Manufacturing, Services, and Transportation Sectors.

Global Equity Strategy: Global Equities Beginning a New Leg Higher

Japan

TODA CORPORATION is a general contractor operating nationwide and overseas. The Company builds institutional, commercial, and residential buildings such as schools, hospitals, and hotels.  Toda also constructs infrastructure including water and sewage facilities, dams, and airports.  Additionally, the Company operates real estate businesses.

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Toda Corp (1860 JP)

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

JPX Nikkei 400 Index Rebalance: Some Big Impact Names

There are 38 adds and 36 deletes for the JPXNK400 Index. The adds have outperformed the deletes and there is a fair bit to trade on a lot of...

Brian Freitas

Global Equities Headed Up and to the Right: Technology, Health Care Leading

Our weight of the evidence approach leads us to believe the market remains in the early stages of a broad-based advance, meaning a buy-the-dip...

Vermilion Research

Developed Markets Strategy: Stick with Japan

Despite EAFE’s YTD outperformance relative to EM, EAFE and EM returns have generally been equal since August, shown by the stalemate in the EAFE...

Vermilion Research

Global Equity Strategy: Global Equities Beginning a New Leg Higher

Global equities are now breaking out to new highs amid positive technical developments -- something we noted was increasingly likely in last week’s...

Vermilion Research

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