Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>The theory is that stocks which are down hard FY-to-date by end-April end up being good sells because Australians will harvest their losses into end-June. </li>
<li>The idea is then to buy those oversold names and hold them for 30-40 trading days. That has worked 10 out of the last 12 years hedged vs ASX200.</li>
<li>This year, the "sold-down" list is very heavily weighted to miners. They have continued to fall since end-June so it's down. But hedged vs a basket of miners? It's up.</li>
</ul>


The theory is that stocks which are down hard FY-to-date by end-April end up being good sells because Australians will harvest their losses into end-June. 
The idea is then to buy those oversold names and hold them for 30-40 trading days. That has worked 10 out of the last 12 years hedged vs ASX200.
This year, the "sold-down" list is very heavily weighted to miners. They have continued to fall since end-June so it's down. But hedged vs a basket of miners? It's up.


Tax-Loss Selling In Australia 2024: Trade Reversed Is Tale of Two Hedges, Time To Unwind

<ul>
<li>The original trade was discussed at end-April in <a href="https://www.smartkarma.com/insights/tax-loss-selling-in-australia-2024-historical-analysis-and-a-trade-basket" target="_blank" data-smartkarma-citation="insights:139337" rel="noopener">Tax-Loss Selling in Australia 2024 - Historical Analysis and A Trade Basket</a> then updated <a href="https://www.smartkarma.com/insights/tax-loss-selling-in-australia-2024-a-trade-basket-updated" target="_blank" rel="noopener">here</a> and <a href="https://www.smartkarma.com/insights/tax-loss-selling-in-australia-2024-the-may-basket-april-basket-2-3-to-6-3-rtn" target="_blank" rel="noopener">here</a>. </li>
<li>That has done OK. The LIQUID basket has delta neutral performance of +8.4% over 2mos; LIQUID+LESSLIQUID +7.2%; If one did a mixed basket (3x L+LL + 1x Illiquids) it's +8.6%.</li>
<li>Now it is time to reverse the trade, buying the basket you were short, and running it against index for the next 6-8 weeks.</li>
</ul>


The original trade was discussed at end-April in Tax-Loss Selling in Australia 2024 - Historical Analysis and A Trade Basket then updated here and here. 
That has done OK. The LIQUID basket has delta neutral performance of +8.4% over 2mos; LIQUID+LESSLIQUID +7.2%; If one did a mixed basket (3x L+LL + 1x Illiquids) it's +8.6%.
Now it is time to reverse the trade, buying the basket you were short, and running it against index for the next 6-8 weeks.


Tax-Loss Selling In Australia 2024 - Time To Reverse The Trade (7.2-8.6% Rtn in Two Months So Far)

David Blennerhassett

<ul>
<li>Back on the 9th October, <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd (RIO AU)</a> reached an agreement to buy <a href="https://www.smartkarma.com/entities/arcadium-lithium-plc" target="_blank" data-smartkarma-citation="entities:40438:1" rel="noopener">Arcadium Lithium (LTM AU/ALTM US)</a> for US$5.85/share (~A$8.70/share), a ~90% premium to undisturbed.</li>
<li>The proxy statement is now out, with a Scheme Meeting scheduled for 23 December. The transaction is expected to close in mid-2025. The long stop is the 9th October 2025.</li>
<li>Trading wide-ish at a gross spread of 11.9%, reflecting the timing to secure regulatory approvals - notably from China - as opposed the Offer Price being viewed as opportunistic.</li>
</ul>


Back on the 9th October, Rio Tinto Ltd (RIO AU) reached an agreement to buy Arcadium Lithium (LTM AU/ALTM US) for US$5.85/share (~A$8.70/share), a ~90% premium to undisturbed.
The proxy statement is now out, with a Scheme Meeting scheduled for 23 December. The transaction is expected to close in mid-2025. The long stop is the 9th October 2025.
Trading wide-ish at a gross spread of 11.9%, reflecting the timing to secure regulatory approvals - notably from China - as opposed the Offer Price being viewed as opportunistic.


Rio Tinto/Arcadium: Trading Wide Ahead Of 23rd Dec Vote

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

<ul>
<li>Solactive has announced the constituent changes for the Global Lithium Index. There are 3 adds and 3 deletes with implementation at the close on 31 October.</li>
<li>Estimated one-way turnover is 13.8% and will result in a one-way trade of US$174m. There are a few stocks with over 1x ADV to trade.</li>
<li>The index is not very widely tracked and there could be big moves in some stocks over the next few days - especially where there is multiple days ADV.</li>
</ul>


Solactive has announced the constituent changes for the Global Lithium Index. There are 3 adds and 3 deletes with implementation at the close on 31 October.
Estimated one-way turnover is 13.8% and will result in a one-way trade of US$174m. There are a few stocks with over 1x ADV to trade.
The index is not very widely tracked and there could be big moves in some stocks over the next few days - especially where there is multiple days ADV.


Solactive Global Lithium Index Rebalance: 28% Turnover & US$350m Trade

<ul>
<li>
<a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd (RIO AU)</a> has reached an agreement to buy <a href="https://www.smartkarma.com/entities/arcadium-lithium-plc" target="_blank" data-smartkarma-citation="entities:40438:1" rel="noopener">Arcadium Lithium (LTM AU)</a>/<a href="https://www.smartkarma.com/entities/arcadium-lithium-plc-2f9bfa3a-65a7-41f9-a157-e59603846420" target="_blank" data-smartkarma-citation="entities:40439:1" rel="noopener">(ALTM US)</a> for US$5.85/share (~A$8.70/share), a ~90% premium to the October 4th closing price of $US3.08/share.</li>
<li>Terms remain below where Arcadium was trading back in January of this year. But it is perhaps disingenuous to call the Offer Price opportunistic. More a counter-cyclical move.</li>
<li>The Scheme Offer is subject to a 75% shareholder vote and minimal regulatory approvals. The transaction is expected to close in mid-2025. The long stop is the 9th October 2025.</li>
</ul>



Rio Tinto Ltd (RIO AU) has reached an agreement to buy Arcadium Lithium (LTM AU)/(ALTM US) for US$5.85/share (~A$8.70/share), a ~90% premium to the October 4th closing price of $US3.08/share.
Terms remain below where Arcadium was trading back in January of this year. But it is perhaps disingenuous to call the Offer Price opportunistic. More a counter-cyclical move.
The Scheme Offer is subject to a 75% shareholder vote and minimal regulatory approvals. The transaction is expected to close in mid-2025. The long stop is the 9th October 2025.


Rio Tinto/Arcadium: More Brine To Compliment Rocks

Australia

Core Lithium Ltd operates as a mineral exploration company. The Company explores and mines finniss lithium resources. Core Lithium serves customers in Australia.

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Core Lithium Ltd (CXO AU)

Tax-Loss Selling In Australia 2024: Trade Reversed Is Tale of Two Hedges, Time To Unwind

This trade worked very well in May and June. As a pure basket against ASX200, it has worked badly (-4.5%) since end-June. Hedged partially with a...

Travis Lundy

Tax-Loss Selling In Australia 2024 - Time To Reverse The Trade (7.2-8.6% Rtn in Two Months So Far)

Many of the stocks in the most beaten-down list are Australia-listed lithium producers. Some down today. Others in Asia are down today too. If one...

Travis Lundy

Rio Tinto/Arcadium: Trading Wide Ahead Of 23rd Dec Vote

This looks done. Trading at a 11.9%/20.5% gross/annualised return, assuming mid 2025 completion. That looks attractive. The key risk is one of...

David Blennerhassett

Solactive Global Lithium Index Rebalance: 28% Turnover & US$350m Trade

There are 3 adds/3 deletes for the Solactive Global Lithium Index resulting in an estimated one-way turnover of 13.8% and in a one-way trade of...

Brian Freitas

Rio Tinto/Arcadium: More Brine To Compliment Rocks

This looks done.Trading at a 6.1%/8.6% gross/annualised return using mid 2025 completion. That's okay. Not super attractive. Additionally, run a...

David Blennerhassett

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