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

JAPAN PASSIVE:  The Nikkei 225 Baskets if BOJ Changes

Quiddity Advisors

Event-Driven

As discussed in <a href="https://www.smartkarma.com/insights/jpx-nikkei-400-rebalance-2018-edition" target="_blank" data-smartkarma-citation="insights:23054">JPX Nikkei 400 Rebalance - 2018 Edition</a> a bit over two weeks ago, the traditional JPX Nikkei 400 Rebalance events are not great trades unto themselves when taken from day before announcement through the rebalance event itself. They are usually much better longs in the year before announcement, and better fades in the two months after the rebalance. This year was no different in the run-up, and I see no reason to expect much different on the back end except for the remarkable sector rotation this year.The Effective Date of Periodic Review changes is 31 August so the trading event is 30 August at the close.The long/short performance (red line) of the event is tracking very closely to the average of the last four years (the dotted black line). <figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/062/038/original/Screen%20Shot%202018-08-29%20at%208.17.20%20PM.png?1535545105" class="editor-image img-responsive" data-smartkarma-image-id="62038"></figure><div style="text-align: left;" class="content-caption">data source: capitalIQ</div>Interestingly, this year volumes are running below 90d averages for 16 of the 26 inclusions and 19 out of 25 of the exclusions so for 70% of the names, there has been no excess volume. And only one of the top 5 inclusions by dollar value has seen excess volume meet expected passive buyer demand.Some names will see some large volume tomorrow.

As discussed in JPX Nikkei 400 Rebalance - 2018 Edition a bit over two weeks ago, the traditional JPX Nikkei 400 Rebalance events are not great trades unto themselves when taken from day before announcement through the rebalance event itself. They are usually much better longs in the year before announcement, and better fades in the two months after the rebalance. This year was no different in the run-up, and I see no reason to expect much different on the back end except for the remarkable sector rotation this year.The Effective Date of Periodic Review changes is 31 August so the trading event is 30 August at the close.The long/short performance (red line) of the event is tracking very closely to the average of the last four years (the dotted black line). data source: capitalIQInterestingly, this year volumes are running below 90d averages for 16 of the 26 inclusions and 19 out of 25 of the exclusions so for 70% of the names, there has been no excess volume. And only one of the top 5 inclusions by dollar value has seen excess volume meet expected passive buyer demand.Some names will see some large volume tomorrow.

Tokyo Kiraboshi Financial Group (7173 JP)

JPX Nikkei 400 Rebalance Event 30 Aug - Volumes Low So Far On Many Names

Recruit Holdings

JPX Nikkei 400 Rebalance Event 30 Aug - Volumes Low So Far On Many Names