Travis Lundy

S&P500 Dec24 Rebalance: APO and WDAY IN; QRVO and AMTM Demoted - Travis Lundy S&P500/400/600 Index rebal names were announced Friday. APO + WDAY are the big S&P500 adds. QRVO and AMTM get demoted to 600. 17x/13x ADV for the ADDs, 3+x ADV for the sells. $10bn of funding trades.

The big flows for S&P500/400/600/Completion rebalance.

17x ADV (estimated) to buy on APO.
13x ADV (estimated) to buy on WDAY.
3-4x ADV to sell on QRVO and AMTM

$11bn of funding trade on S&P498
$11bn of reverse funding on S&P Completion -2
$5bn a side for $RSP.

The piece: skr.ma/UgLmN

I think he’s done. This is an effort to delay the inevitable lame duck status.

He’s done.

Koreanists Join the conversation

In light of the martial war declaration in South Korea, here are some people you should follow for informed analyses & news about the developing situation.

Koreanists: go.bsky.app/U3Nm5FX
Korea watchers: go.bsky.app/9SrguSU
Korean studies scholars: go.bsky.app/8nRZ5tp

+ @koreajoongangdaily.com

Though if someone asks me… this is a political fight not a natsec issue and it was A Bad Idea by a politician who feels he is cornered and thinks resorting to old style ‘politics’ has value (it doesn’t).

S Korea has seen martial law before but it doesn’t always end the same.

The big picture issues will be all over the geopol pundit timelines.

The nuances of how this works out are going to be domestically understood rather than Twitter/bsky experts.

Find the right expert.

(it ain’t me).

Fy23 GPIF Results and Portfolio Changes - Outlook for FY24 - Travis Lundy The GPIF reported its portfolio makeup Friday. Dom Bonds and Foreign Equities see ACTIVE weights up on outperformance. Allocs still middle of range ahead of new policy mix decision later this year.

I wrote about the prospects for higher equity allocs in July in my review/explanation of the GPIF allocations, policies, methods, and circumstances.

For @smartkarma subs...

Fy23 GPIF Results and Portfolio Changes - Outlook for FY24. Read more: skr.ma/G7y4o

solvent against future liabilities (which Brad Setzer noted are not explicit) for longer.

It is a reasonable "political goal", but it works, in return terms, with a stable USDJPY not a strong USDJPY.

*JAPAN WANTS TO LIFT GPIF REAL INVESTMENT RETURN TARGET TO 1.9%

This means less domestic bonds, more Japan and foreign equities.

The "political angle" here is to 'force' a higher target return, more risk, with the 'political goal' being to keep the GPIF

And you thought the used car premium got silly last time…

Keisei Elec (9009 JP) is bouncing hard today on a Toyo Keizai report that noted Japanese activist Murakami-san has bought a stake (under 1%).

Keisei is getting the boot from MSCI today. A bunch of HFs who had been short are getting a nice lesson in shareholder structure risk.

And as far as I can tell, Barron seems to have done a rug pull. Or tried to.

So… 7&i…

HK Connect SOUTHBOUND Flows (To 15 Nov 2024); Tech Bought, High-Div SOEs Sold or Ignored, Again - Travis Lundy SOUTHBOUND continues to be a big net buyer of HK stocks. It is possible investors are looking to cheap tech, possible they are looking to buybacks. Volumes high, net high. Tech continues to be bought.

Because it is the 16th of November (i.e. for no particular reason), I have removed the paywall on this week's summary of SOUTHBOUND flows.

There are tools to see positions and flows over time. Enjoy!

www.smartkarma.com/insights/hk-...

Tencent was the big net buy on the week for SOUTHBOUND. Alibaba and Xiaomi were #2 and #3.

Net buying by SOUTHBOUND in Info/Tech is decent recently, but still nothing like the froth of early 2021.

HK Connect SOUTHBOUND saw BIG buying this past week (previous week was big too) as HK stocks got shellacked on the week (HSI -6.3%, HSCEI -6.45%) and mainland blue chip indices were also hurt (CSI300, SSE50, SSE180 were -3.3%, -3.4%, -3.64%) and CSI 500 worse (-4.8%)

A/H Premium Tracker (To 15 Nov 2024): AH Premia Rise Sharply; Hs Shellacked Vs As In Most Sectors - Travis Lundy H/A Pairs got hurt badly this week - on average liquid Hs underperformed their As by 3.7% - as HK and China markets fell sharply after stimulus was not announced the week before.

Because it is the 16th of November, I have removed the paywall on this week's A/H Premium Tracker.

There are lots of tools to play around with. Please enjoy!

Hint, if clicking on a name to see the chart, unclick the one already clicked.

www.smartkarma.com/insights/a-h...

One can see Sinopec (386 HK) is at its cheapest in 52 weeks (the yellow dot in the premium range section in the first table) and also at its widest in 5yrs in terms of H vs A (A premium to H highest in 5yrs)

Somewhat strangely, intracorrelation of pairs is low recently (after spiking through the Sep hols) and pairwise volatility is also low (until this week).

The top chart below shows As have sharply outperformed Hs within their pairs recently. The second shows just how much it is on a rolling basis.

This past week in H-share/A-share pairs was something of a disaster.

Within the HK/mainland universe, H/A pairs saw H underperformance of 3.7% for the average liquid pair. Tech and Financials were especially hurt.

So… 7&i.

¥900bn of buybacks after the next 12mos over the following 24mos.

And that tells you where EPS will trend to in a few years’ time.

So after the first 12mos, Denso probably has another ¥540bn (at current price) to buy just from UnListedCo and TIC.

But… if they buy say ¥350-400bn a year, that puts Toyota Motors closer to a legal voting rights border problem. So they’d sell some too.

This buyback is ¥450bn. I expect there is

12mos. So ¥160bn would come from the public. That’s about 4% of ADV every day on a net basis.

But Toyota Group shareholders are selling crossholdings and that will likely include big holdings in a large unlisted Toyota Group member. And that member will have to sell its ¥300bn of Denso to fund it.

They also said financial crossholders had approached wanting to sell. That’s the P&C insurers. 1.2% or ~¥80bn.

Also today, TIC said it would sell its 185mm shares from Dec24 through Mar27. No method decided but as it is ¥400bn, it’ll probably be a 28mo VWAP trade. That’s about ¥160bn in the next

buybacks. Aisin did too. Toyota sold shares in insurers. The insurers sood shares in Toyota. Toyota sold KDDI.

Today, Denso announced a ¥450bn buyback over the next year. That’s 13% of ADV. Every day. And they suggested “If a major shareholder wants to sell, we’d accommodate” (up buyback size).

¥460bn selldown of its TIC (6201) stake. Basically a 30-month VWAP trade. Also in Q1, the FSA told P&C insurers they had to sell crossholdings. They own Toyota Group cos too. Then Denso sold a block of Renesas (6723) (more to go). Then there was an Aisin offering. TIC and Toyota Motors announced big

Aisin, Toyota Industries (TIC), and Toyota Motors did a multi-billion dollar secondary offering on fourth group musketeer, Denso (6902).

Denso initiated a ¥200bn buyback, and promised to sell down its Aisin and TIC holdings. It bought back the stock in 3mos, then in March it announced a 10-quarter

When Aisin (7259) announced a year ago September that it would sell all its cross-holdings eventually, it meant Toyota Group would go from capital governance recidivist to leader.

In November, a bunch of small sell downs occurred across the group. Then in late Nov23, the first big name selldown as