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>At the October rebalance, there are 970 stocks that will have a lower FFW while 114 stocks will have a higher FFW. 493 stocks will undergo a Phased Weight Reduction.</li>
<li>Estimated one-way turnover is 2.54% resulting in a one-way trade of ¥1.815tn. 500 stocks have over 4 days ADV to trade, 100 stocks have over 9 days ADV to trade.</li>
<li>Setting the threshold at +/-US$50m to trade, the stocks with inflows have outperformed the stocks with outflows by 6.5% over the last four months.</li>
</ul>


At the October rebalance, there are 970 stocks that will have a lower FFW while 114 stocks will have a higher FFW. 493 stocks will undergo a Phased Weight Reduction.
Estimated one-way turnover is 2.54% resulting in a one-way trade of ¥1.815tn. 500 stocks have over 4 days ADV to trade, 100 stocks have over 9 days ADV to trade.
Setting the threshold at +/-US$50m to trade, the stocks with inflows have outperformed the stocks with outflows by 6.5% over the last four months.


TOPIX October Rebalance: BIG One With ¥1.8tn a Side to Trade

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Today, <a href="https://www.smartkarma.com/entities/hitachi-maxell-ltd" target="_blank" data-smartkarma-citation="entities:2484:1" rel="noopener">Maxell Ltd (6810 JP)</a> announced its new MTMP "MEX26 - Commit to Value (CorporateValue,ProfitGrowth)" with lots of consultant-speak and corporate homily.</li>
<li>But they present a capital investment plan, and a capital return plan. These may interest investors. The buyback is the same size as 2019 and 2022. They popped and faded.</li>
<li>Todays tidbits were all announced during the lunch break today, and the stock popped 6% in the PM session on the news.</li>
</ul>


Today, Maxell Ltd (6810 JP) announced its new MTMP "MEX26 - Commit to Value (CorporateValue,ProfitGrowth)" with lots of consultant-speak and corporate homily.
But they present a capital investment plan, and a capital return plan. These may interest investors. The buyback is the same size as 2019 and 2022. They popped and faded.
Todays tidbits were all announced during the lunch break today, and the stock popped 6% in the PM session on the news.


Maxell (6810) Launches New MTMP, A "TSE 'ATIMAoCoC&SP'" Notice, And A Buyback

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

<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, adjusted every year in August.</li>
<li>We look at the rankings of the potential ADDs/DELs every month for the next rebal, based on most recent trading data. </li>
<li>Every month we provide trade suggestions. The last three months have seen market-neutral returns of +3.0%, +6.5%, +3.2% respectively for the one-month periods. A new trade is suggested below.</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, adjusted every year in August.
We look at the rankings of the potential ADDs/DELs every month for the next rebal, based on most recent trading data. 
Every month we provide trade suggestions. The last three months have seen market-neutral returns of +3.0%, +6.5%, +3.2% respectively for the one-month periods. A new trade is suggested below.


Quiddity JPX-Nikkei 400 Rebal 2024: End-Mar 2024 Estimates and Another Trade Reco

<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 rankings of the potential ADDs/DELs every month.</li>
<li>Below is a look at potential ADDs/DELs for the JPX-Nikkei 400 index rebal event to come in August 2024 based on trading data as of end-January 2024.</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 rankings of the potential ADDs/DELs every month.
Below is a look at potential ADDs/DELs for the JPX-Nikkei 400 index rebal event to come in August 2024 based on trading data as of end-January 2024.


Quiddity JPX-Nikkei 400 Rebal 2024: End-Jan 2024

<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 rankings of the potential ADDs/DELs every month.</li>
<li>Below is a look at potential ADDs/DELs for the JPX-Nikkei 400 Index Rebal to come in August 2024 based on trading data as of end-December 2023.</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 rankings of the potential ADDs/DELs every month.
Below is a look at potential ADDs/DELs for the JPX-Nikkei 400 Index Rebal to come in August 2024 based on trading data as of end-December 2023.


Quiddity JPX-Nikkei 400 Rebal 2024: End-Dec 2023

Japan

ZEON CORPORATION produces synthetic rubbers, latex, and resins.  The Company's products are used as tires and other auto parts, and materials for electronic components.

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Zeon Corp (4205 JP)

TOPIX October Rebalance: BIG One With ¥1.8tn a Side to Trade

Lower FFWs on 970 stocks and higher FFWs on 114 stocks will result in one-way turnover of 2.52% leading to a one-way trade of ¥1.8tn at the close...

Brian Freitas

Maxell (6810) Launches New MTMP, A "TSE 'ATIMAoCoC&SP'" Notice, And A Buyback

Maxell (6810) is roughly unchanged since its re-IPO 10yrs ago and since Taiyo Pacific bought 10+% in 2016-2019. The company has now announced a new...

Travis Lundy

Quiddity JPX-Nikkei 400 Rebal 2024: End-Mar 2024 Estimates and Another Trade Reco

There are 43 Potential ADDs and 44 Potential DELs (unique names) presented in the current Quiddity Leaderboard. The high conviction DELs basket...

Janaghan Jeyakumar, CFA

Quiddity JPX-Nikkei 400 Rebal 2024: End-Jan 2024

Four weeks ago, I suggested going SHORT DELs MED vs the JPX-Nikkei 400 index and since then the SHORTs have underperformed the index by ~3%. I...

Janaghan Jeyakumar, CFA

Quiddity JPX-Nikkei 400 Rebal 2024: End-Dec 2023

In the last 12 months, the current medium conviction DELs basket has seen its price rise sharply while its forward EPS expectations have declined....

Janaghan Jeyakumar, CFA

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