Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

HK Type 4 license through Ballingal Investment Advisors Ltd. ("BIA" or "BIAL")

BACKGROUND
I have 20+yrs experience in Asia doing alternative strategies (i.e. non-delta1 non long-only) in fixed income, equity derivatives, and activist/catalyst/event-driven and long-short equity strategies with most of that time spent managing money. 

4 years in fixed income macro, 8 years running internal hedge fund and 4yrs investment banking at Citi in Japan, 3 years running an Asia multi-strat portfolio at a hedge fund, 4+yrs as an independent special situations analyst.

Pan-Asia Catalysts/Events

Global Equity Seasonality: Unsplendiferous Summer

Japan Stock Market Seasonality - Early Summer Sprites Turn to Late Summer Ogres

Japan Stock Market Seasonality - Late Q4 Is Indeed Good

Quiddity Advisors

Thematic (Sector/Industry)

Japan Consumer discretionary / Thematic (Sector/Industry)

<p>Ralph Waldo Emerson famously said...</p><blockquote><p>A foolish consistency is the <em>hobgoblin of little minds.</em></p></blockquote><p>With that in mind, I'll jump right in to talk about the consistency of small things. Like SmallCap vs LargeCap and Value vs Growth bias seasonality.</p><hr><p>This is a companion piece to <a href="https://www.smartkarma.com/insights/global-equity-seasonality-unsplendiferous-summer" target="_blank" data-smartkarma-citation="insights:11252">Global Equity Seasonality: Unsplendiferous Summer</a>, which notes a bit about the history of seasonality research on Smartkarma (dealing with Shemitah, SuperBowls, Presidential Cycles, and Q4 cycles in Japan, but looks at the seasonality of 24 global Fama-French portfolios, across regions, size, and bias.</p><h2>This insight looks at the DELTA-NEUTRAL factor win/loss ratios across these markets. </h2><ul><li>SmallCap Value vs SmallCap Growth</li><li>Bigcap Value vs BigCap Growth</li><li>SmallCap vs BigCap</li><li>Cross Region SmallCap vs BigCap</li><li>The bar charts allow you to visualize relative consistency of averages of global bias returns and vols.</li></ul><p><strong>The first table presents Win/Loss Ratios. </strong></p><ul><li>When the Win/Loss Ratio is below 50% (or at the pink end of the spectrum), it means the first listed underperforms the second listed. Example: in the second decile of the month of November showing 30%, on average, SmallCal Value beats SmallCap Growth 30% of the time (and Small Growth outperforms Small Value 70% of the time). </li><li>The top four sets are region-specific. The bottom 4 with blue backgrounds on the labels are cross-region.</li><li>In general June is OK for Value vs Growth and OK for Small vs Big in the US, and particularly in Japan. </li><li>Europe is the opposite on average.</li><li>In particular, in June, value beats growth and small beats big in Japan. Some of this may have to do with a rebalancing effect as studies have repeatedly shown there is ongoing and persistent alpha in smallcaps which show stronger revenue and OP forecasts than "consensus" - an effect which lasts 10-12 weeks. The base for that would have been May earnings announcements.</li><li>The end of July is bad for small and for value in most places.</li><li>Japan vs US and Japan vs Europe are great across biases and sizes into end June. This goes with the conclusions presented in the companion <a href="https://www.smartkarma.com/insights/global-equity-seasonality-unsplendiferous-summer" target="_blank" data-smartkarma-citation="insights:11252">Global Equity Seasonality: Unsplendiferous Summer</a> insight.</li></ul><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/027/314/original/20170605_GlobalEqFamaFrenchDeltaNeutral_WL.png?1496673730" class="editor-image img-responsive" data-smartkarma-image-id="27314"></figure><div style="text-align: left;" class="content-caption">data: Fama French data sets, TL</div><p></p><p><strong>Returns and variance are below the fold!    Conclusions at the end.</strong></p><div style="text-align: left;" class="content-caption">And my PSA for the many Insight Providers at <a href="https://www.smartkarma.com/insights" target="_blank">Smartkarma</a> who also deserve your attention, if you don't subscribe to Smartkarma, maybe you should. Hit the button below to try a free trial. </div>

Ralph Waldo Emerson famously said...A foolish consistency is the hobgoblin of little minds.With that in mind, I'll jump right in to talk about the consistency of small things. Like SmallCap vs LargeCap and Value vs Growth bias seasonality.This is a companion piece to Global Equity Seasonality: Unsplendiferous Summer, which notes a bit about the history of seasonality research on Smartkarma (dealing with Shemitah, SuperBowls, Presidential Cycles, and Q4 cycles in Japan, but looks at the seasonality of 24 global Fama-French portfolios, across regions, size, and bias.This insight looks at the DELTA-NEUTRAL factor win/loss ratios across these markets. SmallCap Value vs SmallCap GrowthBigcap Value vs BigCap GrowthSmallCap vs BigCapCross Region SmallCap vs BigCapThe bar charts allow you to visualize relative consistency of averages of global bias returns and vols.The first table presents Win/Loss Ratios. When the Win/Loss Ratio is below 50% (or at the pink end of the spectrum), it means the first listed underperforms the second listed. Example: in the second decile of the month of November showing 30%, on average, SmallCal Value beats SmallCap Growth 30% of the time (and Small Growth outperforms Small Value 70% of the time). The top four sets are region-specific. The bottom 4 with blue backgrounds on the labels are cross-region.In general June is OK for Value vs Growth and OK for Small vs Big in the US, and particularly in Japan. Europe is the opposite on average.In particular, in June, value beats growth and small beats big in Japan. Some of this may have to do with a rebalancing effect as studies have repeatedly shown there is ongoing and persistent alpha in smallcaps which show stronger revenue and OP forecasts than "consensus" - an effect which lasts 10-12 weeks. The base for that would have been May earnings announcements.The end of July is bad for small and for value in most places.Japan vs US and Japan vs Europe are great across biases and sizes into end June. This goes with the conclusions presented in the companion Global Equity Seasonality: Unsplendiferous Summer insight.data: Fama French data sets, TLReturns and variance are below the fold!    Conclusions at the end.And my PSA for the many Insight Providers at Smartkarma who also deserve your attention, if you don't subscribe to Smartkarma, maybe you should. Hit the button below to try a free trial. 

Delta-Neutral Global Equity Seasonality: Japan Beats Europe and US in Late June, Reverses in Jul/Aug