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

Quiddity Advisors

Quantitative Analysis

<div>
<p>The TOPIX 2019 Free Float Weight Rebalance announcement was made on the 7th of October and the moves in the basket were limited as of halfway through but finished strongly.</p>
<p>We had predicted it as a near-$20bn trade for month end, and we were not disappointed. It appears we got more than that in terms of excess value traded on the day before, day of, and day after the rebalance. </p>
<p>This year's trade ended up better for the post-announcement speculators than I expected, with the Top50 Dollar Value Trades Average Portfolio performing best between the day after announcement through the end of the trade. </p>
<p>The Top40 Impact portfolio in terms of ADV was up 3.2% until the day before, then lost 3.7% on the day of the rebalance. </p>
<p>The Top40 Z-Score did acceptably well into the rebalance, underperforming the average of the top dollar trade, but has performed VERY well in the two days post-rebalance, indicating the "alpha" <em>may</em> come from the interplay in factors which creates the Z-score. We will be doing this portfolio construction for all future rebalances.</p>
</div><div><p>Comprehensive basket performance and excess volume measurements where it matters below.</p></div>


The TOPIX 2019 Free Float Weight Rebalance announcement was made on the 7th of October and the moves in the basket were limited as of halfway through but finished strongly.
We had predicted it as a near-$20bn trade for month end, and we were not disappointed. It appears we got more than that in terms of excess value traded on the day before, day of, and day after the rebalance. 
This year's trade ended up better for the post-announcement speculators than I expected, with the Top50 Dollar Value Trades Average Portfolio performing best between the day after announcement through the end of the trade. 
The Top40 Impact portfolio in terms of ADV was up 3.2% until the day before, then lost 3.7% on the day of the rebalance. 
The Top40 Z-Score did acceptably well into the rebalance, underperforming the average of the top dollar trade, but has performed VERY well in the two days post-rebalance, indicating the "alpha" may come from the interplay in factors which creates the Z-score. We will be doing this portfolio construction for all future rebalances.
Comprehensive basket performance and excess volume measurements where it matters below.

TOPIX FFW Rebalance Post-Mortem - Finished Strong