Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>There were a few rebalance announcements in the last week and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index rebalances were implemented at the close on Friday.</li>
<li>There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.</li>
<li>Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a>. </li>
</ul>


There were a few rebalance announcements in the last week and the SSE STAR50 (STAR50 INDEX) and STAR100 Index rebalances were implemented at the close on Friday.
There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.
Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

<ul>
<li>There is 1 change for the S&amp;P/ASX20 Index, 2 changes for the S&amp;P/ASX100 Index, 4 changes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX200 INDEX</a> and 14 adds/10 deletes for the S&amp;P/ASX300 Index in March.</li>
<li>The largest impact is expected on the changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> while flows are large among changes to the S&amp;P/ASX 20 Index and S&amp;P/ASX 100 Index too.</li>
<li>There has been a steady increase in cumulative excess volume for most stocks but there are a few where there has been a spike recently.</li>
</ul>


There is 1 change for the S&amp;P/ASX20 Index, 2 changes for the S&amp;P/ASX100 Index, 4 changes for the S&amp;P/ASX200 INDEX and 14 adds/10 deletes for the S&amp;P/ASX300 Index in March.
The largest impact is expected on the changes to the S&amp;P/ASX 200 (AS51 INDEX) while flows are large among changes to the S&amp;P/ASX 20 Index and S&amp;P/ASX 100 Index too.
There has been a steady increase in cumulative excess volume for most stocks but there are a few where there has been a spike recently.


S&P/​​​​ASX Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The results for the March 2024 index rebal event for ASX indices were announced after the close on Friday 1st March 2024.</li>
<li>There is one change for ASX 20, two changes for ASX 100, and four changes for ASX 200.</li>
<li>There are 14 ADDs and 10 DELs for ASX 300 and while most of these are small-size flow names some of them have more than 15x ADV to trade.</li>
</ul>


The results for the March 2024 index rebal event for ASX indices were announced after the close on Friday 1st March 2024.
There is one change for ASX 20, two changes for ASX 100, and four changes for ASX 200.
There are 14 ADDs and 10 DELs for ASX 300 and while most of these are small-size flow names some of them have more than 15x ADV to trade.


Quiddity ASX Mar 24 Index Rebal: Many High-Impact Names

<ul>
<li>In this insight, we take a look at the potential index changes for ASX 300, 200, 100, 50, and 20 in the run-up to the March 2024 index review.</li>
<li>I expect one change for ASX 20, one change for ASX 100, and five changes for ASX 200 including a surprise deletion due to long term suspension of a stock.</li>
<li>The official index changes will be announced after the close on Friday 1st March 2024.</li>
</ul>


In this insight, we take a look at the potential index changes for ASX 300, 200, 100, 50, and 20 in the run-up to the March 2024 index review.
I expect one change for ASX 20, one change for ASX 100, and five changes for ASX 200 including a surprise deletion due to long term suspension of a stock.
The official index changes will be announced after the close on Friday 1st March 2024.


Quiddity Leaderboard ASX Mar 24: Five ASX 200 Changes Possible Including One Surprise

<ul>
<li>
<a href="https://www.smartkarma.com/entities/cie-de-saint-gobain" target="_blank" data-smartkarma-citation="entities:21547:1" rel="noopener">Cie De Saint-Gobain (SGO FP)</a> has approached <a href="https://www.smartkarma.com/entities/csr-ltd" target="_blank" data-smartkarma-citation="entities:17380:1" rel="noopener">CSR Ltd (CSR AU)</a> with a non-binding indicative offer to acquire all of CSR's shares at A$9/share via a scheme of arrangement.</li>
<li>At the last close of CSR (pre-trading halt) the gross spread to the offer price is 13.21%. That will close significantly once the stock resumes trading.</li>
<li>Given the large premium to the last close, at a price higher than the highest high, and support from the CSR Board, the deal should go through.</li>
</ul>



Cie De Saint-Gobain (SGO FP) has approached CSR Ltd (CSR AU) with a non-binding indicative offer to acquire all of CSR's shares at A$9/share via a scheme of arrangement.
At the last close of CSR (pre-trading halt) the gross spread to the offer price is 13.21%. That will close significantly once the stock resumes trading.
Given the large premium to the last close, at a price higher than the highest high, and support from the CSR Board, the deal should go through.


CSR Ltd (CSR AU): Saint-Gobain's A$9/Share Offer

Australia

Audinate Group Limited develops software. The Company offers digital media networking solutions in commercial installed systems, live sound, broadcasting, houses of worship, corporate systems, professional recording, and transportation. Audinate Group serves customers worldwide.

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Audinate (AD8 AU)

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

S&P/ASX Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning

There are 38 constituent changes across the index family. There are big flows and impacts for a bunch of stocks. Short interest is high on the...

Brian Freitas

Quiddity ASX Mar 24 Index Rebal: Many High-Impact Names

On average, the ADDs have 11x ADV to buy and DELs have 8x ADV to sell. The ADDs could outperform the DELs over the next two weeks.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ASX Mar 24: Five ASX 200 Changes Possible Including One Surprise

The ASX index changes will be announced on 1st March 2024. Long-term suspension name Leo Lithium is a potential DEL in March 2024 from the ASX...

Janaghan Jeyakumar, CFA

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Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

S&P/​​​​ASX Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning

There are 38 constituent changes across the index family. There are big flows and impacts for a bunch of stocks. Short interest is high on the...

Brian Freitas

Quiddity ASX Mar 24 Index Rebal: Many High-Impact Names

On average, the ADDs have 11x ADV to buy and DELs have 8x ADV to sell. The ADDs could outperform the DELs over the next two weeks.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ASX Mar 24: Five ASX 200 Changes Possible Including One Surprise

The ASX index changes will be announced on 1st March 2024. Long-term suspension name Leo Lithium is a potential DEL in March 2024 from the ASX...

Janaghan Jeyakumar, CFA

CSR Ltd (CSR AU): Saint-Gobain's A$9/Share Offer

Saint-Gobain has approached CSR with a non-binding indicative offer to acquire all CSR shares at A$9/share. The trend of Construction Materials...

Brian Freitas

S&P/ASX Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning