In today’s briefing:
- Nikkei 225 Index Rebalance: Mostly on Expected Lines
- Nikkei 225 Review Results: Nidec, SMC, Hoya IN
- KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation
- The Commodity Report #67
Nikkei 225 Index Rebalance: Mostly on Expected Lines
- The Nikkei 225 (NKY INDEX) September rebalance will be done in three parts due to the delisting of Shizuoka Bank (8355 JP) and the relisting of Shizuoka Financial Group (5831).
- Nidec Corp (6594 JP), SMC Corp (6273 JP) and Hoya Corp (7741 JP) replace Unitika Ltd (3103 JP), Oki Electric Industry (6703 JP) and Maruha Nichiro (1333 JP).
- Passive trackers need to buy over 10 days ADV on the adds and there is a large impact of the funding trade given the add/delete size difference.
Nikkei 225 Review Results: Nidec, SMC, Hoya IN
- The Nikkei Index Team announced the Nikkei 225 Annual Review today, days earlier than I expected. Nidec Corp (6594 JP), SMC Corp (6273 JP), Hoya Corp (7741 JP) are IN.
- Unitika Ltd (3103 JP), Maruha Nichiro (1333 JP), and Oki Electric Industry (6703 JP) are OUT. They did not go for my subjective choices to improve sector balance. Next time.
- The inclusion/exclusion events are staggered over 3 days out of four because of the deletion and re-inclusion of Shizuoka Bank (8355 JP) due to its formation of a holding company.
KOSPI Size Index Migration: Official Results & Trading Approach Towards Implementation
- The results are pretty much in line with the predictions, except for Hanwha Aerospace which made it to LARGE instead of Hyundai Marine & Fire Insurance.
- Assuming that ten names, including Hyundai Marine, were traded in a LONG/SHORT basket with equal weight, the yield from August 17 to the last close would have been 4.6%.
- I would still approach with an equal-weighted basket trading until this Thursday. This flow trading usually loses its effect rapidly after rebalancing. So, I wouldn’t carry it beyond this Thursday.
The Commodity Report #67
- Global food prices fell for the fifth month but remain at highly elevated levels.
- On a nominal basis, we’re basically now back to levels seen last time at the peak of the Arab Spring back in 2011.
- Meanwhile, we should keep in mind that we should keep an eye on the spread between farmers’ input costs for growing stuff and the selling prices based on the futures market.
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