Page numbers for figures are given in italics, and for tables they are given in bold.

• 1M Price Momentum 120
• 12M Price Momentum 120
• 12M ROE Change 121

• 60D Volatility 121

• Abe, Shinzo 30, 147–148, 154
• Abenomics 23, 27–31, 35–39
  • bull market 33
  • corporate governance 43
  • ROE rise 130
  • technical indicators 109
• accessibility of market 133–136
• active funds 40, 72

• “aggressive fiscal policy” 28

• Amplitude‐adjusted CLI time series 6

• “announcement”, use of term 133
• “Apple Shock” 150

• arbitrage funds 83–84, 87
• arbitrage opportunities 34–35, 72
• arbitragers 72
• Asian Financial Crisis 8, 51
• asset allocation
  • GPIF 11, 37, 42, 74
  • pension funds 113–114
  • sector rotation 125
• asset under management 88
• at‐the‐money (ATM) options 79

• Bank of Japan (BoJ)
  • ETF purchases 46–47
  • GPIF connection 37–38
  • Kuroda Bazooka 31–35
  • NIRP introduction 49–50, 155
  • policy impact 29–30
  • QE campaign 8, 42
• bear markets 136
• Bernanke, Ben 33–34, 36
• beta 121, 127
• Black Monday 158
• Black‐Scholes model 68
• BoJ see Bank of Japan

• “bold monetary policy” 28

• Bollinger Bands 104–105, 159–161, 159
• bond‐like equities 42
• bonds, conversion feature 82–87
• book value 103
• bottom of the market 93–109

• “bubble” market 6, 51–52, 61, 100, 163, 165

• Buffet Indicator 100–101, 163
• bull market
  • Abenomics 33
  • arbitrage opportunities 34–35
  • factor analysis 119
  • FX rate 57–58
  • G7 OECD CLI 29
  • GPIF 43
  • seasonality 30
  • share buybacks 130
  • volatility 41

• “buy‐at‐RSI=20 and sell‐at‐RSI=80” strategy 104
• “buy and hold” strategy 11
• “buy‐low‐and‐sell‐high” strategy 118
• “buy” market 5
• “buy‐on‐the‐dip” strategy 96–97, 106–107
• “buy” signal
  • Bollinger Bands 160
  • TOPIX trade 6, 8, 18–19

• call option 83–84
• call/put ratio 89–90
• CAPE calculation 107–108
• capital spending 50
• cash equities 34–35, 72
• cash‐rich companies 129–130
• CBs (convertible bonds) 82–87
• central banks 52–53, 98

• “change in profit forecast” factor 118

• charts 101–102
• China
  • collapse of equity market 88–89, 148
  • G7 OECD CLI 10
  • tourist traffic 125
  • US–China trade war 148–150, 164
• China Syndrome 139
• CLI see composite leading indicators
• close‐to‐close trades 161
• commodity trading advisor (CTA) funds 96
• composite leading indicators (CLI) 3–14
  • see also OECD CLI
• consumer attitude index 50–51
• consumption tax/VAT hikes 36–38, 51–52, 61
• convertible arbitrage funds 83–84, 87
• convertible bonds (CBs) 82–87
• corporate governance 43–45
• corporate investors 113–114, 128, 129
• corporate taxes 148
• correlation coefficient 60, 96–97
• country asset allocation 113–114
• CTA (commodity trading advisor) funds 96
• currency crises 38
• currency–equity correlation 56–57, 59
• currency factor 152
• currency traders 58
• cyclical companies 60
• cyclical sector 124
• cyclical stocks 62–63
• Cyclically‐Adjusted Price‐to‐Earnings Ratio (CAPE) calculation 107–108
• Cypriot financial crisis 31–32

• Daiwa Securities Group example 80
• debt 130
• defensive factor, dividends 131
• defensive sector 124
• defensive stocks 92, 95
• deflation 53, 98

• δ‐hedge activity 78–79, 81, 83, 85–86, 88

• Democratic Party of Japan 28–30
• derivatives
  • definition 67
  • topics 65–92
• deviation from average formula 5, 67–68
• Diffusion Index (DI) 14–17
• dividend yield, P/B ratio 118
• dividends 131–133, 132
• domestic corporate investors 113–114
• downside volatility 69

• early redemption clause 85
• earnings forecasts 59
• earnings momentum 121
• earnings per share (EPS) 82–87, 121, 132, 132
• earnings yield spread 157, 157
• earthquake damage impact 137–143
• ECB (European Central Bank) 38–39
• economic data, OECD CLI 7
• economic indicators 97–101
• economic reality, FED policy 56
• Economy Watchers' DI 14–17
• election politics
  • Japan 29–30, 154, 165–166
  • US 60–64, 69, 150
• enterprise value/earnings before interest, taxes, depreciation, and amortization (EV/EBITDA) 102–103
• environment, social, governance (ESG) concept 44–45
• EPS see earnings per share
• ESG (environment, social, governance) concept 44–45
• ETFs see Exchange Traded Funds
• Euro crises 31–32, 49
• European Central Bank (ECB) 38–39
• EV/EBITDA valuation 102–103
• Exchange Traded Funds (ETFs) 37, 46–47, 87–89
• execution traders 76
• export companies 58–59

• factor analysis 116–124, 120, 129
• factor rotations 123–124
• fair value 102
• far‐term volatility 71
• Fast Retailing stock 74

• “fear index” 90

• FED see Federal Reserve Board
• federal fund rate (FFR) 53, 54, 151, 155
• Federal Reserve Board (FED)
  • currency–equity correlation 57
  • FFR target rise 151
  • interest rates 149, 155
  • monetary/quantitative easing 33–34, 36–37, 42, 163
  • policy impact 28–29, 52–56, 98–99
• FFR see federal fund rate
• FIF ratio see free float ratio
• financial crisis, 87, 1998
  • see also global financial crisis
• Financial Services Agency (FSA) 43
• fiscal policy, US 61
• fixed‐income instruments 82–87
• forecasting volatility 70–71
• foreign exchange (FX) rate 28, 53–54, 56–60
• foreign investors 11–12, 47, 113–116, 154
  • see also overseas companies
• free float (FIF) ratio 76–77, 135–136
• FSA (Financial Services Agency) 43
• Fukushima nuclear accident 28, 137–143

• “future value” 71

• futures 34–35, 71–72
• FX rate see foreign exchange rate

• G7 economy 29–30
• G7 OECD CLI 3
  • Chinese influence 10
  • elements of 12–13
  • foreign investors 11–12
  • peaks and troughs calculation 7
  • time series 3, 4–5, 6
  • TOPIX trade 6, 7
  • US presidential elections 63
  • VAT hike 38
  • weights 3, 4–5
  • “win ratio” 13
• GDP (Gross Domestic Product) growth 10, 61
• global financial crisis 10, 92, 102, 109
• Goldilocks Market 155, 158, 165–166

• “governance” concept 44
  • see also corporate governance

• government bonds 48
• Government Pension Investment Fund (GPIF) 8, 11, 37–38, 39–43, 74
• Great East Japan Earthquake 28, 137–143
• Greeks sensitivities 78
• Gross Domestic Product (GDP) growth 10, 61

• “growth policy” 28

• Halloween effect 20, 149, 162
• heavily weighted stocks 60
• hedge funds 21, 58, 96, 113–115
• hedge ratio 79
• hedging activity/hedgers 71–72, 78–82, 83–88
• high‐volatility stocks 41
• historical time series 15–16
• historical volatility 68, 70–71
• housing markets 50

• implied volatility 68, 70–71, 91
• in‐the‐money (ITM) options 79
• index constituent stocks 96
• index funds 71, 72–77, 79
• index rebalancing rules 74–76
• inflation 49–50, 53, 98, 107, 156
• Institute of Supply Management Purchasing Managers Index see ISMPMI
• institutional investors 43, 57, 116–117
• insurance companies 49, 143
• interest rates
  • equity market and 155–158
  • FED policy 53, 55
  • NIRP 37–51
  • present value 71
  • spread 48–49, 54
  • US 149, 155
• internet bubble 8, 10
• inverse ETFs 87–89
• ISMPMI 17–20
  • 2017‐18 153–155, 153
  • market tops/bottoms 97–98
  • US economic downturn 32, 36
• issuance of convertible bonds 82–83
• ITM (in‐the‐money) options 79

• J‐Real Estate Investment Trusts (J‐REIT) 37, 46
• Jobs Act, US 148, 154, 163
• jumps
  • implied volatility 70, 91
  • share prices 85

• Kakei Gakuen scandal 147
• KAX index 49

• “knock‐in barrier” 77, 79–81
• “knock‐out barrier” 77, 81

• Koizumi Bull Market 57
• Koizumi, Junichiro 29–30, 57–58
• Korean Peninsula 147
  • see also North Korea
• Kuroda Bazooka 23, 31–35, 37
• Kuroda, Haruhiko 31–32

• large‐cap stock splits 134
• LDP see Liberal Democratic Party
• leading indicators 3–14
  • see also OECD CLI
• Lehman Brothers 90–91
• leveraged ETFs 87–89
• Liberal Democratic Party (LDP) 10, 28–30, 154, 165–166
• life insurance 49
• liquidity, index funds 76
• listed options 78
• long‐call position 79, 84
• long‐dated interest rates 156
• long option position, convertible bonds 87

• “Long Return” signal 8

• long‐term equity holders 76–77
• long‐term interest rates 48–49
• low‐volatility stocks 41–43
• Lumentum Holdings 150

• macro indicators 1–23
• management entities' purchases 46
• mandatory conversion clause 86
• manufacturing data 14, 16, 18, 150–151
• market bottoms 93–109
• market capitalization 121, 130, 136
• market crashes, volatility 70
• market movers 111–143
• market sentiment 123–124
• market tops 93–109
• Markit US data release 150–151
• mass mentality effect 20–21
• maturity, convertible bonds 84–85
• media reports 41, 43, 139
• momentum factors 117, 119–122
• monetary base growth 57
• monetary/quantitative easing 8, 32–39, 42, 52, 163
  • Bank of Japan 32–34, 46
  • tapering policy 33, 35–36
• Morgan Stanley Capital International indices see MSCI indices
• Moritomo scandal 147
• MSCI indices 41–45, 44, 55–56, 73
• MSCI Japan ESG Leaders Index 43–45, 44
• MSCI Japan Index 44, 73
• MSCI Japan Minimum Volatility Index 41–42
• MSCIUSA ESG Index 45

• natural disasters 136–143
• near‐term volatility forecasting 70–71
• negative interest rate policy (NIRP) 47–51, 155
• Nikkei 225
  • 60‐day Bollinger Bands 159–160, 159
  • 2004‐2006 57
  • 2005 rise 29
  • 2012‐2013 performance 32, 33, 35
  • average volatility 68–69
  • correlation spikes 97
  • election effects 154
  • factor analysis 117
  • movement due to natural disasters 140, 140
  • percentage decline 106–107
  • S&P 500 comparison 151–154, 152
  • seasonality 21, 22, 162
  • tracking error 73–74
  • trading by OECD CLI 6
  • treasury yield 156–158, 156
  • underlying assets 88
  • see also TOPIX index
• Nikkei put/call ratio 89
• NIRP see negative interest rate policy
• Nixon, Richard 64, 147
• Noda, Yoshihiko 29

• “noise” 67, 167

• Nomura Holdings example 80, 88
• North Korea 147, 154
• nuclear accident impact 137–143

• OECD CLI 3–14
  • economic reality measure 56
  • Economy Watchers' DI contrast 17
  • factor analysis 121–122
  • foreign investment effects 115
  • ISMPMI comparison 19
  • market tops/bottoms 97–98
  • seasonality 162–164, 163
  • “threshold value” 16
  • time series 15, 18
  • US presidential elections 63, 64
  • see also G7 OECD CLI
• oil crises 64
• oil price 12, 38
• option‐imbedded instruments 77–79
• option skew 90
• options
  • call option 83–84
  • market volatility 68
  • terminology 77
• Organization of Economic Co‐operation and Development Composite Leading Indicators see OECD CLI
• out‐of‐the‐money (OTM) options 79
• over‐the‐counter market 78, 89
• overseas companies 59–60
  • see also foreign investors

• “oversold” market 155

• P/B see price‐to‐book ratio
• P/E see price‐to‐earnings ratio
• passive funds 40, 72–73, 75–76
• payout ratio, dividends 131
• PCF (price‐to‐cash flow ratio) 121
• pension funds 73, 75, 113–114
  • see also Government Investment Pension Fund

• “Period” signal 8

• policy impact 25–64
• policy indicators 97–101
• policy rates 52
• portfolio management 41
• portfolio review 39
• positive surprises 19–20
• power companies 143

• “present value” 71

• presidential elections, US 60–64, 69
• price momentum factors 120–121
• price‐to‐book ratio (P/B) 102–103, 107–109, 117–118
• price‐to‐cash flow ratio (PCF) 121
• price‐to‐earnings ratio (P/E) 102–103, 107–108, 118, 121
• profit, market bottoms 95
• put‐imbedded instruments 77–78, 79
• put/call ratio 89–90

• QE see quantitative easing/monetary easing
• quality factors 117, 119
• quantitative easing/monetary easing
  • Bank of Japan 32–34, 46
  • ECB policy 38–39
  • FED policy 37, 42, 52, 163
  • tapering policy 33, 35–36
  • TOPIX losses 8

• railway companies 127
• real estate investment trusts (REITs) 37, 46
• real estate sector 143

• “real‐time” data points 7–8

• rebalance trades 74–76
• recap CBs 83
• regional asset allocation 113–114
• REITs see real estate investment trusts
• relative strength index (RSI) 104, 160–161
• retail investors 78, 113
• return on asset (ROA) 118–119, 132
• return on equity (ROE) 118–119, 121, 127–128, 130, 132
• reverse splits 133, 134
• reversion factors 119–120
• risk‐off investors 58, 60, 156
• risk‐on investors 58, 60
• risk‐parity funds 42, 96, 115
• ROA see return on asset
• ROE see return on equity
• RSI see relative strength index
• Russian ruble sell‐off 38, 51

• S&P 500 Index 54
  • 2017‐18 155
  • earnings yield spread 157, 157
  • Nikkei 225 comparison 151–154, 152
  • volatility 90
• seasonality 20–23
  • adjustments 15–18
  • bull markets 30
  • Economy Watchers' DI 15–16
  • factor returns 118, 120, 122–125, 127
  • ISMPMI 17–18
  • OECD CLI 162–164, 163
  • share buybacks 129
• sector bias 136
• sector‐neutral approach 117
• sector‐relative P/E 121
• sector rotation 124–127, 126
• securities firms 78, 80

• “sell” market 5
• “Sell in May” 20, 21, 23
• “sell” signal
  • Bollinger Bands 160
  • correlation coefficient 97
  • TOPIX trade 6, 18–19

• selling momentum 122
• sensitivity, options value 78
• share buybacks 127–130
• share prices
  • convertible bonds 83, 85–86
  • free float factors 135
  • oil price correlation 38
  • stock splits 133, 134, 135
  • valuation 103
• shares–CBs relationship 82
• short‐dated interest rates 156
• short position, convertible bonds 83, 86–87

• “Short Return” 8

• short‐term equity holders 76–77
• short‐term interest rates 48–49

• σ standard deviation 105

• single‐stock options 84
• skew, put/call ratio 90
• small‐cap stock splits 134

• “smart beta” indices 41
• “social” concept, ESG 44

• speculators' trade 71
• spikes 70, 91–92, 96
• spread, interest rates 48–49, 54, 157–158
• Standard & Poor's 500 Index see S&P 500 Index
• standard deviation 67–68, 105
• stock movements 96
• stock performance, seasonality 127
• stock splits 133–136

• “strike” 77, 79

• structured products 77–82
• suckerfish investors 75, 77
• supply‐demand imbalance 70–71
• surprises 19–20, 69

• tapering monetary easing 33, 35–36
• Tax Cuts and Jobs Act, US 148, 154, 163
• tax hikes 36–38, 51–52, 61
• technical factors 117
• technical indicators 34, 101–109, 159–162
• Three Mile Island accident 139, 141

• “threshold value” 16

• Tokyo Price Index see TOPIX index/futures
• top‐down investment style 113
• top of the market 93–109
• topical performers 127
• TOPIX index/futures
  • 7‐year Average P/B 109
  • 2011 sector performance 142, 143
  • 2018 onwards 164
  • backtest 12
  • capital spending 50
  • consumption tax hike 36
  • deviation from moving average formula 5
  • ETF purchases 46–47
  • G7 OECD CLI trade 6, 7
  • GPIF management 40
  • inverse/leveraged ETFs 88
  • ISMPMI trade 18, 19
  • “Long/Short Return” 8
  • OECD CLI trade 6, 7, 9
  • P/E and P/B ratios 107, 108
  • passive funds tracking 73
  • peaks and troughs calculation 7
  • seasonality adjustment 16
  • “Sell in May” 20, 21
  • see also Nikkei 225
• Toraku ratio 105–106, 106, 160–161
• Toshiba 44–45
• tourist traffic 125
• TPP (Trans‐Pacific Partnership) 62–63
• tracking error, index funds 73–74, 76
• Trans‐Pacific Partnership (TPP) 62–63
• treasury yield 156–158, 156–157
• Trump, Donald/”Trump factor” 62–64, 69, 147–148, 150, 163, 166

• underlying asset price 78–81, 84, 87–88
• unemployment rate 99
• United States see US…
• upside volatility 69
• US 10‐year treasury yield 156–158, 156–157
• US–China trade war 148–150, 164
• US economy
  • deceleration 2013 34
  • FED interest rates 55
  • FFR 53, 54
  • interest rates 55, 149, 155
  • ISMPMI indicator 19, 32, 36
• US equity market
  • “bubbles” 165
  • “buy and hold” strategy 11
  • OECD CLI signal 8, 10
  • oil crises 64
  • seasonality 162–164
  • Tax Cuts and Jobs Act effects 154
• US FX rate–Japan links 28
• US presidential elections 60–64, 69
• US security threats 147, 154
• USDJPY–Nikkei correlation 152

• valuations 101–109
• value added tax see VAT/consumption tax hikes
• value factors 116–118, 122, 131
• value stocks 41
• VAT/consumption tax hikes 36–38, 51–52, 61
• VIX Index 90–92, 91, 106–107, 115, 161–162, 161
• volatility 67–71
  • foreign investors 115
  • GPIF 40–43
  • as indicator 95–97
  • ISMPMI time series 18–20
  • momentum factors 121
  • VIX Index 90–92
• volatility spikes 70, 91–92, 96

• Wanzhou, Meng 150
• Watergate scandal 64, 147

• “win ratio” 8, 13, 16, 19, 21, 22

• y effect 84–86, 88
• Yellen, Janet 36
• yen carry trades 54
• yield spreads 157–158
• yields, long‐term 49