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/tokyo-metro-co-ltd" target="_blank" data-smartkarma-citation="entities:40930:1" rel="noopener">Tokyo Metro (9023 JP)</a> had a blockbuster listing yesterday, finishing the day 45% higher. That took the estimated div yield down from 3.33% (at the IPO price) to 2.3%.</li>
<li>One expected index inclusion will not take place due to insufficient information on IPO allocations and that leads to a much lower free float than expected.</li>
<li>That inclusion will now be deferred to June; BUT there could be two other (bigger) index inclusions on the cards prior to that.</li>
</ul>



Tokyo Metro (9023 JP) had a blockbuster listing yesterday, finishing the day 45% higher. That took the estimated div yield down from 3.33% (at the IPO price) to 2.3%.
One expected index inclusion will not take place due to insufficient information on IPO allocations and that leads to a much lower free float than expected.
That inclusion will now be deferred to June; BUT there could be two other (bigger) index inclusions on the cards prior to that.


Tokyo Metro (9023 JP): One Miss; A Bigger Index Inclusion Coming?

<ul>
<li>
<a href="https://www.smartkarma.com/entities/tokyo-metro-co-ltd" target="_blank" data-smartkarma-citation="entities:40930:1" rel="noopener">Tokyo Metro (9023 JP)</a> priced its IPO at the top end (JPY 1200/share), raised JPY 348.6bn (US$2.3bn) and the company is valued at JPY 697bn (US$4.62bn).</li>
<li>The stock starts to trade today, and the grey market is indicating an open 20% higher. Not surprising considering that the IPO was heavily oversubscribed.</li>
<li>Even at a price of JPY 1440/share, the estimated dividend yield is 2.78% and that should keep the stock supported. Index inclusions will result in more buying next week.</li>
</ul>



Tokyo Metro (9023 JP) priced its IPO at the top end (JPY 1200/share), raised JPY 348.6bn (US$2.3bn) and the company is valued at JPY 697bn (US$4.62bn).
The stock starts to trade today, and the grey market is indicating an open 20% higher. Not surprising considering that the IPO was heavily oversubscribed.
Even at a price of JPY 1440/share, the estimated dividend yield is 2.78% and that should keep the stock supported. Index inclusions will result in more buying next week.


Tokyo Metro (9023 JP): Listing Tomorrow; Div Yield and Index Flows Should Take It Higher

<ul>
<li>The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.</li>
<li>Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.</li>
<li>With a big overlap and similar characteristics as the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 Index</a>, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.</li>
</ul>


The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.
Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.
With a big overlap and similar characteristics as the KOSPI 200 Index, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.


Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Thematic (Sector/Industry)

<ul>
<li>Precious Metals and the associated equities have been a high-conviction investment idea for us in 2024</li>
<li>Gold is up 32% YTD and a representative index of gold miners is up 39%</li>
<li>Should we take the money and run? Is it over?</li>
</ul>


Precious Metals and the associated equities have been a high-conviction investment idea for us in 2024
Gold is up 32% YTD and a representative index of gold miners is up 39%
Should we take the money and run? Is it over?


As Good as Gold – Take the Money and Run?

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

Royal Bank Of Canada / Technical Analysis

<ul>
<li>The SPX is breaking out after several months of consolidation. Same with the MSCI ACWI index. We are upgrading our outlook on global equities (MSCI ACWI) to bullish.</li>
<li>Breakouts could mean other countries are getting ready to break out, but the U.S. (S&amp;P 500) remains our only country overweight</li>
<li>Moreover, major indexes in the next two largest global equity markets (Europe and Japan) remain below critical resistances of 5000-5120 on the EURO STOXX 50 and 2740-2820 on the TOPIX.</li>
</ul>


The SPX is breaking out after several months of consolidation. Same with the MSCI ACWI index. We are upgrading our outlook on global equities (MSCI ACWI) to bullish.
Breakouts could mean other countries are getting ready to break out, but the U.S. (S&amp;P 500) remains our only country overweight
Moreover, major indexes in the next two largest global equity markets (Europe and Japan) remain below critical resistances of 5000-5120 on the EURO STOXX 50 and 2740-2820 on the TOPIX.


S&P 500 and MSCI ACWI Breaking Out; Upgrading MSCI ACWI to Bullish; Buys in Services, Financials

Japan

The TOPIX, also known as the Tokyo Stock Price Index, is a capitalization-weighted index of all companies listed on the First Section of the Tokyo Stock Exchange. The index is supplemented by the subindices of the 33 industry sectors. The index calculation excludes temporary issues and preferred stocks, and has a base value of 100 as of January 4, 1968.

TSE Tokyo Price Index TOPIX (TPX INDEX)

Tokyo Metro (9023 JP): One Miss; A Bigger Index Inclusion Coming?

Tokyo Metro could drop today following the disappointment around Fast Entry later this month. But that will increase the forecast div yield. There...

Brian Freitas

Tokyo Metro (9023 JP): Listing Tomorrow; Div Yield and Index Flows Should Take It Higher

Tokyo Metro lists tomorrow and the grey market is indicating a 20-25% higher open. The div yield is attractive even at the higher price. Index...

Brian Freitas

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

As Good as Gold – Take the Money and Run?

2024 has been a strong year for precious metals and associated equities, with gold up 32% YTD and gold miners up 39%. The question now is whether...

Rikki Malik

S&P 500 and MSCI ACWI Breaking Out; Upgrading MSCI ACWI to Bullish; Buys in Services, Financials

$SPX and MSCI $ACWI Breaking Out; Upgrading Outlook on ACWI and SPX to Bullish as of last Fridays close above 5783; Buys in Services, Financials;...

Vermilion Research

Tokyo Metro (9023 JP): One Miss; A Bigger Index Inclusion Coming?

Tokyo Metro could drop today following the disappointment around Fast Entry later this month. But that will increase the forecast div yield. There...

Brian Freitas

Tokyo Metro (9023 JP): Listing Tomorrow; Div Yield and Index Flows Should Take It Higher

Tokyo Metro lists tomorrow and the grey market is indicating a 20-25% higher open. The div yield is attractive even at the higher price. Index...

Brian Freitas

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

As Good as Gold – Take the Money and Run?

​2024 has been a strong year for precious metals and associated equities, with gold up 32% YTD and gold miners up 39%. The question now is whether...

Rikki Malik

S&P 500 and MSCI ACWI Breaking Out; Upgrading MSCI ACWI to Bullish; Buys in Services, Financials

$SPX and MSCI $ACWI Breaking Out; Upgrading Outlook on ACWI and SPX to Bullish as of last Fridays close above 5783; Buys in Services, Financials;...

Vermilion Research

2024 has been a strong year for precious metals and associated equities, with gold up 32% YTD and gold miners up 39%. The question now is whether...