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

NTT (Nippon Telegraph & Telephone) / Event-Driven

<ul>
<li>On 7 April, the JPX announced the changes to the Free Float Weights (FFW) for the TOPIX Index. There are some big changes due to the updated FFW methodology.</li>
<li>From April to June, we see a one-way turnover of 2.87% and a one-way trade of ¥2,285bn. Some stocks have opposite way flows in different months.</li>
<li>Stocks with inflows outperformed stocks with outflows from Oct-Dec 2021 before giving up all the gains. These stocks have started to outperform and could continue outperforming over the next quarter.</li>
</ul>


On 7 April, the JPX announced the changes to the Free Float Weights (FFW) for the TOPIX Index. There are some big changes due to the updated FFW methodology.
From April to June, we see a one-way turnover of 2.87% and a one-way trade of ¥2,285bn. Some stocks have opposite way flows in different months.
Stocks with inflows outperformed stocks with outflows from Oct-Dec 2021 before giving up all the gains. These stocks have started to outperform and could continue outperforming over the next quarter.


TOPIX FFW Transition - Big Flows from April to 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>Global equity indexes have staged impressive rallies from oversold levels, and certain hard-hit areas in Europe (STOXX600 Technology, Industrial Goods &amp; Services, and Chemicals Sectors) display bullish short-term price reversals.</li>
<li>We view this as a potential signal that the lows may have been established for this correction, but we need to see more upside follow-through.</li>
<li>Regardless, we want to stick with Sectors and stocks that have remained technically attractive throughout this pullback, not on areas that are just now spiking from oversold levels within downtrends.</li>
</ul>


Global equity indexes have staged impressive rallies from oversold levels, and certain hard-hit areas in Europe (STOXX600 Technology, Industrial Goods &amp; Services, and Chemicals Sectors) display bullish short-term price reversals.
We view this as a potential signal that the lows may have been established for this correction, but we need to see more upside follow-through.
Regardless, we want to stick with Sectors and stocks that have remained technically attractive throughout this pullback, not on areas that are just now spiking from oversold levels within downtrends.


Value Remains Leadership; Actionable Ideas: Energy, Financials, Industrials, and Materials

Silver Point

Thomas J. Monaco

Independent Insight Provider

Silver Point is a boutique research firm that focuses on the broader financial services sector, with a particular focus on troubled institutions globally. 

Asia Ex Japan

Thematic (Sector/Industry)

• Related Party Risk: Related parties have incentives to push American Life and Security (ALS) way out on the credit risk curve to enhance investment yield;• Layering of Structured Products:Addition of structured products and other illiquid securities raise stress test concerns; and • Significant Risks:Numerous other investment risks suggest investment manager needs reining in, along with additional checks for related parties.

• Related Party Risk: Related parties have incentives to push American Life and Security (ALS) way out on the credit risk curve to enhance investment yield;• Layering of Structured Products:Addition of structured products and other illiquid securities raise stress test concerns; and • Significant Risks:Numerous other investment risks suggest investment manager needs reining in, along with additional checks for related parties. 

Equity Bottom-Up

*Outclassed By US Counterparts:Goldman Sachs &amp; Co. (GS.US) [Goldman], in typically fashion, always to seems to have the best information at the earliest possible instance, and as a result were able to act early and decisively – coming through the Archegos liquidations thus far relatively unscathed.  Other prime brokers, including Credit Suisse Group (CSGN.VX) [Credit Suisse] which didn’t have close to the full Archegos Capital Management picture, were caught with their pants down in what was supposed to be an orderly unwind descended into chaos; and  *Capital Implications Are Significant At Credit Suisse:The problem for Credit Suisse is the potential peak level of losses that likely will cause it to breach regulatory triggers. Several factors must still be adjusted from consensus forecasts: CHF 2.0 bn from Greensill (not including Sanjeev Gupta/GFG’ Liberty Commodities insolvency filing); CHF 2.0 bn Mozambique debt scandal; and the potential CHF 7.0 bn Archegos exposure.  In addition, operational risk weightings/capital requirements are likely to increase. In aggregate, we find that Credit Suisse’s CET1 would decline to 10.8% against the likely increased CET1 target and intimates a potential capital raise, dividend cut, and share buyback suspension.

*Outclassed By US Counterparts:Goldman Sachs &amp; Co. (GS.US) [Goldman], in typically fashion, always to seems to have the best information at the earliest possible instance, and as a result were able to act early and decisively – coming through the Archegos liquidations thus far relatively unscathed.  Other prime brokers, including Credit Suisse Group (CSGN.VX) [Credit Suisse] which didn’t have close to the full Archegos Capital Management picture, were caught with their pants down in what was supposed to be an orderly unwind descended into chaos; and  *Capital Implications Are Significant At Credit Suisse:The problem for Credit Suisse is the potential peak level of losses that likely will cause it to breach regulatory triggers. Several factors must still be adjusted from consensus forecasts: CHF 2.0 bn from Greensill (not including Sanjeev Gupta/GFG’ Liberty Commodities insolvency filing); CHF 2.0 bn Mozambique debt scandal; and the potential CHF 7.0 bn Archegos exposure.  In addition, operational risk weightings/capital requirements are likely to increase. In aggregate, we find that Credit Suisse’s CET1 would decline to 10.8% against the likely increased CET1 target and intimates a potential capital raise, dividend cut, and share buyback suspension.

Credit Suisse Group – Capital Raise Likely Coming

*Taking It On The Chin…Again:Having finally seen enough of this feckless global investment bank, S&amp;P Global Ratings has finally come around (took you long enough) and downgraded its outlook on all Credit Suisse entities to negative from stable. Putting S&amp;P over the edge was Credit Suisse’ exposure to Archegos Capital Management (Archegos) share liquidation as a result of margin calls whereby the bank is amongst the most exposed;  and*Ratings Agency Concerns: While Credit Suisse seems to be in competition with Deutsche Bank (DBK.GY) as the world’s most poorly managed bank, we find it incredulous that its actually S&amp;P calling out Credit Suisse for risk management. There are too many market participants have very little discipline, and to make matters worse, central banks have been all too happy to remove the moral hazard involved with excessive risk taking. In our view, the credit ratings agency model is permanently broken as waterfall risks in various corporates, rated pools and tranches have become increasingly significant with the markets unable to self-regulate and regulators either unable to regulate (or told not to regulate).

*Taking It On The Chin…Again:Having finally seen enough of this feckless global investment bank, S&amp;P Global Ratings has finally come around (took you long enough) and downgraded its outlook on all Credit Suisse entities to negative from stable. Putting S&amp;P over the edge was Credit Suisse’ exposure to Archegos Capital Management (Archegos) share liquidation as a result of margin calls whereby the bank is amongst the most exposed;  and*Ratings Agency Concerns: While Credit Suisse seems to be in competition with Deutsche Bank (DBK.GY) as the world’s most poorly managed bank, we find it incredulous that its actually S&amp;P calling out Credit Suisse for risk management. There are too many market participants have very little discipline, and to make matters worse, central banks have been all too happy to remove the moral hazard involved with excessive risk taking. In our view, the credit ratings agency model is permanently broken as waterfall risks in various corporates, rated pools and tranches have become increasingly significant with the markets unable to self-regulate and regulators either unable to regulate (or told not to regulate). 

Credit Suisse Group – Hit Parade Continues

Japan

MS&AD Insurance Group Holdings, Inc. is a holding company established through reorganization of Mitsui Sumitomo Insurance Company, Limited.  The Group writes marine, fire, casualty, automobile, life, and allied insurance policies. MS&AD Insurance Group also operates financial services and agencies.

Sompo Holdings, Inc, is a holding company established through the integration of Sompo Japan Insurance Inc. and NIPPONKOA Insurance Company Limited. Through subsidiaries, the Company provides non-life insurance including marine, fire, and automobile, as well as life insurance.

The Dai-ichi Life Insurance Company Ltd. underwrites and sells life, health and annuity insurance to groups and individuals. The Company offers a wide variety of insurance products to suit different needs, ranging from children's school tuition to emergency funds for the elderly.

T&D Holdings, Inc. is a holding company established through the merger of Taiyo Life Insurance, Daido Life Insurance, and T&D Financial Life Insurance. The Company manages life insurance operations for its subsidiaries.

Japan Post Insurance Co. Ltd. operates life insurance business. The Company offers whole life insurance, education endowment, ordinary endowment, medical insurance, and special endowment insurance. Japan Post Insurance provides services for individuals and businesses throughout Japan.

LIFENET INSURANCE COMPANY provides a wide range of life insurance products and services. The company mainly provides the products and services through the internet. The company also provides asset management services.

Anicom Holdings, Inc. is a holding company which was established through the merger of Anicom Insurance, Inc., Anicom Frontier, Inc., Anicom Pafe, Inc. The Company provides health insurance policies for pets and operates insurance agency through internet, personal visiting. Anicom Holdings also researches and provides pet business information.

Dream Incubator Inc. nurtures venture companies.  The Company supports companies by providing strategic insights and other consulting services.

Advance Create Co., Ltd operates insurance agency through newspaper advertising, internet, visiting, telemarketing.  The Company operates consulting and advertising services.

SBI Insurance Group Co., Ltd. operates as an insurance company. The Company offers life, non-life, short-term, and other insurance products. SBI Insurance Group provides its services in Japan.

American International Group, Inc. is an international insurance organization serving commercial, institutional and individual customers. AIG provides property-casualty insurance, life insurance and retirement services.

MetLife, Inc. provides individual insurance, employee benefits and financial services with operations throughout the United States and the regions of Latin America, Europe, and Asia Pacific. The Company's products include life insurance, annuities, automobile and homeowners insurance, retail banking and other financial services to individuals as well as group insurance.

China Life Insurance Company Ltd. offers a wide range of life, accident, and health insurance products and services.

China Pacific Insurance (Group) Company, Ltd. is an integrated insurance services provider. The Company offers life and property insurance products through its subsidiaries.

Arthur J. Gallagher & Co. and its subsidiaries provide insurance brokerage, risk management, employee benefit, and other related services to clients in the United States and abroad. The Company's principal activity is the negotiation and placement of insurance for its clients. Gallagher also specializes in furnishing risk management services.

Aon PLC is a professional services provider. The Company is comprised of risk and insurance brokerage consulting. Aon's services include helping manage risk for clients, negotiating and placing insurance risk with other carriers, and advising clients related to health and benefits, retirement, compensation, strategic human capital, and human resource outsourcing.

The Travelers Companies, Inc. provides commercial and personal property and casualty insurance products and services to businesses, government units, associations, and individuals.

Ping An Insurance (Group) Company of China Limited provides a variety of insurance service in China.  The Company writes property, casualty, and life insurance.  Ping An Insurance also offers financial services.

Chubb Limited operates as a property and casualty insurance company. The Company provides commercial and personal property, casualty, and personal accident and supplemental health insurance, reinsurance, and life insurance to a diverse group of clients.

Prudential Financial, Inc. provides financial services throughout the United States and several locations worldwide. The Company offers a variety of products and services, including life insurance, mutual funds, annuities, pension, and retirement related services, as well as administration and asset management.

Tokio Marine Holdings, Inc., through subsidiaries, offers property, casualty and life insurance, and asset management services.

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

Tokio Marine Holdings (8766 JP)

TOPIX FFW Transition - Big Flows from April to June

Changes to the Topix FFW methodology will result in a turnover of 2.87% & trade of ¥2,285bn from April to June. There is a lot to trade on some...

Brian Freitas

Value Remains Leadership; Actionable Ideas: Energy, Financials, Industrials, and Materials

We are sticking with Sectors and stocks that have remained technically sound throughout this correction, not on areas that are just now spiking...

Vermilion Research

Midwest Holding - Johnny Hedge Fund

MIDWEST HOLDING: Related parties have pushed ALS out on the risk curve; structured products/illiquid securities raise stress test concerns; and ...

Thomas J. Monaco

Credit Suisse Group – Capital Raise Likely Coming

CREDIT SUISSE GROUP: Credit Suisse didn’t have close to the full family office picture. Potential aggregate losses likely will cause it to breach...

Thomas J. Monaco

Credit Suisse Group – Hit Parade Continues

CREDIT SUISSE GROUP: S&P Global Ratings has finally downgraded its outlook on all Credit Suisse entities to negative resultant over its exposure to...

Thomas J. Monaco

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)