Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst with experience in fundamental and event-driven research in Frontier and Emerging markets. 

On Smartkarma, I mainly publish insights on index flow events in the Asia-Pacific region. This includes predicting regular and intra-review index changes and estimating upcoming passive flows. I also cover special situations such as mergers & acquisitions, equity offerings, buybacks, and other corporate restructuring events.

Pan-Asia Index Flows & Special Situations

TOPIX Inclusion Trade Summary: April 2021

TOPIX Index Upweights: The Big April Basket 2022 (Pre-Event)

The TOPIX Liquidity Factor Adjustment - Still a Trade To Do

TOPIX April-End Rebalance - The OTHER Trades

TOPIX Index Upweights: The Big April Basket 2021

Gravity Works As WeWork Doesn't; Now Plan B

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

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<p>The Tokyo Stock Exchange (TSE) calculates Free-Float Weight (FFW) for each listed company and uses this value as a key component of TOPIX Index Calculation. For companies with "low liquidity" the FFW will be multiplied by a fixed liquidity factor ("LF") of 0.75 to derive the final FFW used for index calculation.</p>
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<p>In <a href="https://www.smartkarma.com/insights/topix-index-upweights-the-big-april-basket-2021" target="_blank" data-smartkarma-citation="insights:49660" rel="noopener">TOPIX Index Upweights: The Big April Basket 2021</a>, I discussed how the Tokyo Stock Exchange reviews this Liquidity Factor every April and highlighted 50 names (the "Big April Basket 2021") that could potentially have their liquidity factors removed in this April's review. As discussed in <a href="https://www.smartkarma.com/insights/topix-upweights-big-april-basket-2021-pre-event-is-a-win-now-the-event-leg" target="_blank" data-smartkarma-citation="insights:50084" rel="noopener">TOPIX Upweights: Big April Basket 2021 Pre-Event Is a WIN! Now the Event-Leg!</a>, 48 out of these 50 names were correct translating to a hit ratio of 96% and an equally-weighted basket of these 50 names outperformed TOPIX by +3.8% in 8 trading days from 30th March to 8th April 2021 (the day after the official results were announced). </p>
<p>Below is a look at how the basket has performed since then and what that could mean for the remainder of the trade that was originally planned to end on 28th April 2021. </p>
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The Tokyo Stock Exchange (TSE) calculates Free-Float Weight (FFW) for each listed company and uses this value as a key component of TOPIX Index Calculation. For companies with "low liquidity" the FFW will be multiplied by a fixed liquidity factor ("LF") of 0.75 to derive the final FFW used for index calculation.


In TOPIX Index Upweights: The Big April Basket 2021, I discussed how the Tokyo Stock Exchange reviews this Liquidity Factor every April and highlighted 50 names (the "Big April Basket 2021") that could potentially have their liquidity factors removed in this April's review. As discussed in TOPIX Upweights: Big April Basket 2021 Pre-Event Is a WIN! Now the Event-Leg!, 48 out of these 50 names were correct translating to a hit ratio of 96% and an equally-weighted basket of these 50 names outperformed TOPIX by +3.8% in 8 trading days from 30th March to 8th April 2021 (the day after the official results were announced). 
Below is a look at how the basket has performed since then and what that could mean for the remainder of the trade that was originally planned to end on 28th April 2021. 


TOPIX Upweights: Big April Basket 2021 Event-Leg Is Also a WIN. Finish Line Is Here!

Toshiba Corp

TOPIX Upweights: Big April Basket 2021 Event-Leg Is Also a WIN. Finish Line Is Here!