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>
<a href="https://www.smartkarma.com/entities/oriental-land-co-ltd" target="_blank" data-smartkarma-citation="entities:13517:1" rel="noopener">Oriental Land (4661 JP)</a>, <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723 JP)</a>, <a href="https://www.smartkarma.com/entities/japan-airlines-co-ltd" target="_blank" data-smartkarma-citation="entities:1184:1" rel="noopener">Japan Airlines (9201 JP)</a> will replace <a href="https://www.smartkarma.com/entities/toyobo-co-ltd" target="_blank" data-smartkarma-citation="entities:6187:1" rel="noopener">Toyobo (3101 JP)</a>, <a href="https://www.smartkarma.com/entities/nippon-light-metal-holdings" target="_blank" data-smartkarma-citation="entities:1485:1" rel="noopener">Nippon Light Metal (5703 JP)</a>, <a href="https://www.smartkarma.com/entities/toho-zinc-co-ltd" target="_blank" data-smartkarma-citation="entities:2796:1" rel="noopener">Toho Zinc (5707 JP)</a> in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>.</li>
<li>Estimated one-way turnover at the rebalance is 1.08% and will result in a round-trip trade of JPY 412.8bn (US$3.16bn) at the close on 31 March.</li>
<li>There has been recent pre-positioning on the stocks as well as movement in short interest over the last couple of months.</li>
</ul>



Oriental Land (4661 JP), Renesas Electronics (6723 JP), Japan Airlines (9201 JP) will replace Toyobo (3101 JP), Nippon Light Metal (5703 JP), Toho Zinc (5707 JP) in the Nikkei 225.
Estimated one-way turnover at the rebalance is 1.08% and will result in a round-trip trade of JPY 412.8bn (US$3.16bn) at the close on 31 March.
There has been recent pre-positioning on the stocks as well as movement in short interest over the last couple of months.


Nikkei 225 Index Rebalance: Passives Trade on Friday

<ul>
<li>SGX has launched futures on the Nikkei Climate 1.5°C Target Index. The index is based on the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei225</a> and uses screens to remove stocks that do not meet certain criteria.</li>
<li>The Nikkei Climate 1.5°C Target Index has a high degree of overlap and correlation and low tracking error with 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>. </li>
<li>With increased interest in Climate/ESG investing, market participants can use the SGX-listed futures to get the same risk/reward characteristics as the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei225</a> with atleast 50% lower Greenhouse Gas emission intensity.</li>
</ul>


SGX has launched futures on the Nikkei Climate 1.5°C Target Index. The index is based on the Nikkei225 and uses screens to remove stocks that do not meet certain criteria.
The Nikkei Climate 1.5°C Target Index has a high degree of overlap and correlation and low tracking error with the Nikkei 225 (NKY INDEX). 
With increased interest in Climate/ESG investing, market participants can use the SGX-listed futures to get the same risk/reward characteristics as the Nikkei225 with atleast 50% lower Greenhouse Gas emission intensity.


SGX Nikkei 225 Climate PAB Futures: A Cleaner Way to Invest in Japan

Japan Specialist

Mark Chadwick

Thematic (Sector/Industry)

<ul>
<li>OVERSEAS. SPX reclaims 4000 level with 2nd day of gains; 8/11 SPX sectors up as VIX collapses; Fed Decision Day on Wed-Expect No surprises; INTEL headwinds on China curbs </li>
<li>JAPAN.  NKY Futs +0.6% vs Cash; USDJPY 132. 4; Japan set to rally after the Spring  transition break;US accepts Japan's EV subsidy appeal=+ve auto parts; More inflation support from govt. </li>
<li>NUGGET. Asahi Kasai - M&amp;A Gone Bad, Writedown, Struggles Remain. Future profitability of the LiB Separator business in question. </li>
</ul>


OVERSEAS. SPX reclaims 4000 level with 2nd day of gains; 8/11 SPX sectors up as VIX collapses; Fed Decision Day on Wed-Expect No surprises; INTEL headwinds on China curbs 
JAPAN.  NKY Futs +0.6% vs Cash; USDJPY 132. 4; Japan set to rally after the Spring  transition break;US accepts Japan's EV subsidy appeal=+ve auto parts; More inflation support from govt. 
NUGGET. Asahi Kasai - M&amp;A Gone Bad, Writedown, Struggles Remain. Future profitability of the LiB Separator business in question. 


Good Morning Japan |SPX Reclaims 4000! NUGGET: Asahi Kasei-M&A Gone Bad, Writedown, Struggles Remain

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

TSE Tokyo Price Index TOPIX / Event-Driven

<ul>
<li>Every year it's the same trade. But it isn't really. But it kinda is. This year it is Wednesday and Thursday. There are risks to the analysis - notably allocation.</li>
<li>But, ceteris paribus, it is still possibly a ¥1,580,876,450,407 buying spree to take place on one day into the close later this month. Or something close to it.</li>
<li>And for a two-day period, over the last ten years, the average return is 1.60% on these two days with a 9:1 win ratio. Lots of angles here.</li>
</ul>


Every year it's the same trade. But it isn't really. But it kinda is. This year it is Wednesday and Thursday. There are risks to the analysis - notably allocation.
But, ceteris paribus, it is still possibly a ¥1,580,876,450,407 buying spree to take place on one day into the close later this month. Or something close to it.
And for a two-day period, over the last ten years, the average return is 1.60% on these two days with a 9:1 win ratio. Lots of angles here.


The BIG March 2023 "Wednesday Thursday Trade"

<ul>
<li>Three years ago I wrote a <a href="https://www.smartkarma.com/insights/the-activism-at-tbs-there-s-a-history-and-there-is-new-activity-but-don-t-hold-your-breath" target="_blank" rel="noopener">piece</a> about the history of activism at <a href="https://www.smartkarma.com/entities/tokyo-broadcasting-system" target="_blank" data-smartkarma-citation="entities:12981:1" rel="noopener">Tokyo Broadcasting System (9401 JP)</a>, suggesting it was not expensive but activist gains might be hard won.</li>
<li>Yesterday, TBS announced it would sell strategic cross-holdings to raise cash for investment, as per its Medium-Term Management Plan 2023, and its full-year forecast Net Profit would rise 75%.</li>
<li>That tells you what you need to know, and it guides you to the value within. </li>
</ul>


Three years ago I wrote a piece about the history of activism at Tokyo Broadcasting System (9401 JP), suggesting it was not expensive but activist gains might be hard won.
Yesterday, TBS announced it would sell strategic cross-holdings to raise cash for investment, as per its Medium-Term Management Plan 2023, and its full-year forecast Net Profit would rise 75%.
That tells you what you need to know, and it guides you to the value within. 


TBS (9401) Selling Cross-Holdings But Don't Hold Your Breath

Japan

Tokyo Electron Limited manufactures and sells industrial electronics products, such as semiconductor manufacturing machines, computer system, and electronic components.  The Company products are sold in US, Taiwan, and others as well as in Japan.

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Tokyo Electron (8035 JP)

Nikkei 225 Index Rebalance: Passives Trade on Friday

Oriental Land, Renesas, JAL replace Toyobo, Nippon Light Metal, Toho Zinc. Estimated one-way turnover at the rebalance is 1.08% resulting in a...

Brian Freitas

SGX Nikkei 225 Climate PAB Futures: A Cleaner Way to Invest in Japan

With increased interest in Climate investing, market participants can use the SGX listed futures to get a similar risk/reward as the Nikkei225 with...

Brian Freitas

Good Morning Japan |SPX Reclaims 4000! NUGGET: Asahi Kasei-M&A Gone Bad, Writedown, Struggles Remain

Japan is poised to rally after the Spring transition, as its stocks have taken a hit during the recent risk-off period. This has created many...

Mark Chadwick

The BIG March 2023 "Wednesday Thursday Trade"

This year, there is a US$12bn buy to do on 29 March at the close. Historically, performance is pretty good both on a 2-day period, then slumps....

Travis Lundy

TBS (9401) Selling Cross-Holdings But Don't Hold Your Breath

TBS has likely just sold a few to several hundred million dollars of crossholdings. But that is a one-off to finance investments. There is still no...

Travis Lundy

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