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>
<a href="https://www.smartkarma.com/entities/seven-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:803:1" rel="noopener">Seven Group Holdings (SVW AU)</a>'s holding in <a href="https://www.smartkarma.com/entities/boral-ltd" target="_blank" data-smartkarma-citation="entities:1487:1" rel="noopener">Boral Ltd (BLD AU)</a> continues to increase and that could lead to an index change at the June rebalance, if not earlier.</li>
<li>The <a href="https://www.smartkarma.com/entities/silver-lake-resources-ltd" target="_blank" data-smartkarma-citation="entities:6529:1" rel="noopener">Silver Lake Resources (SLR AU)</a>/ <a href="https://www.smartkarma.com/entities/red-5-ltd" target="_blank" data-smartkarma-citation="entities:7940:1" rel="noopener">Red 5 Ltd (RED AU)</a> merger could lead to an index change early June.</li>
<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>'s acquisition of <a href="https://www.smartkarma.com/entities/csr-ltd" target="_blank" data-smartkarma-citation="entities:17380:1" rel="noopener">CSR Ltd (CSR AU)</a> could lead to another index change just ahead of the regular June rebalance.</li>
</ul>



Seven Group Holdings (SVW AU)'s holding in Boral Ltd (BLD AU) continues to increase and that could lead to an index change at the June rebalance, if not earlier.
The Silver Lake Resources (SLR AU)/ Red 5 Ltd (RED AU) merger could lead to an index change early June.

Cie De Saint-Gobain (SGO FP)'s acquisition of CSR Ltd (CSR AU) could lead to another index change just ahead of the regular June rebalance.


ASX200 Index Rebalance Preview: Potential Changes Prior to the June Rebalance

<ul>
<li>With the review period complete, we take a look at the potential index changes at the June rebalance as well as potential index inclusions due to M&amp;A.</li>
<li>Timing is key for the ad hoc inclusions 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> with an ad hoc inclusion being announced prior to the regular announcement.</li>
<li>Passive trackers will need to buy 1.3-27x ADV on the expected adds and have 0.8-4.7x ADV to sell on the expected deletes. Shorts have built up on the potential deletes.</li>
</ul>


With the review period complete, we take a look at the potential index changes at the June rebalance as well as potential index inclusions due to M&amp;A.
Timing is key for the ad hoc inclusions to the S&amp;P/ASX 200 (AS51 INDEX) with an ad hoc inclusion being announced prior to the regular announcement.
Passive trackers will need to buy 1.3-27x ADV on the expected adds and have 0.8-4.7x ADV to sell on the expected deletes. Shorts have built up on the potential deletes.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Regular & Ad Hoc Changes in June

<ul>
<li>With three-quarters of the review period complete, there could be a bunch of changes across the S&amp;P/ASX family of indices in June.</li>
<li>The <a href="https://www.smartkarma.com/entities/red-5-ltd" target="_blank" data-smartkarma-citation="entities:7940:1" rel="noopener">Red 5 Ltd (RED AU)</a> / <a href="https://www.smartkarma.com/entities/silver-lake-resources-ltd" target="_blank" data-smartkarma-citation="entities:6529:1" rel="noopener">Silver Lake Resources (SLR AU)</a> merger could lead to an ad hoc change prior to the implementation of the June rebalance.</li>
<li>There will be 1.6-25 days of ADV to buy from passives in the inclusions while the impact on the deletions will range between 0.8-11 days of ADV.</li>
</ul>


With three-quarters of the review period complete, there could be a bunch of changes across the S&amp;P/ASX family of indices in June.
The Red 5 Ltd (RED AU) / Silver Lake Resources (SLR AU) merger could lead to an ad hoc change prior to the implementation of the June rebalance.
There will be 1.6-25 days of ADV to buy from passives in the inclusions while the impact on the deletions will range between 0.8-11 days of ADV.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to June

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Oct 4th (reported today) which has an aggregated short interest worth USD27.1bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Ampol, Domino'S Pizza Enterprises, BHP, Fortescue.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Oct 4th (reported today) which has an aggregated short interest worth USD27.1bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Ampol, Domino'S Pizza Enterprises, BHP, Fortescue.


ASX Short Interest Weekly (Oct 4th): Ampol, Domino'S Pizza Enterprises, BHP, Fortescue

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Aug 2nd (reported today) which has an aggregated short interest worth USD20.4bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Aug 2nd (reported today) which has an aggregated short interest worth USD20.4bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium.


ASX Short Interest Weekly (Aug 2nd): Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium

Australia

Deep Yellow Limited is an advanced stage uranium exploration company progressing its core Namibian projects.

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Deep Yellow Ltd (DYL AU)

ASX200 Index Rebalance Preview: Potential Changes Prior to the June Rebalance

Upcoming M&A activity will result in ad hoc inclusions to the ASX200 prior to the June rebal. There could be 2-3 adds in the first few weeks of...

Brian Freitas

S&P/ASX Index Rebalance Preview: Regular & Ad Hoc Changes in June

There should be changes for the ASX20, ASX100, ASX200 in June. Timing of the ASX200 inclusions is key with 2 M&A events leading to ad hoc...

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes from Now to June

Performance has been mixed across the various indices but could start moving the right way as we near the end of the review period and there is...

Brian Freitas

ASX Short Interest Weekly (Oct 4th): Ampol, Domino'S Pizza Enterprises, BHP, Fortescue

We analyzed ASX short interest report for the past week and highlight short interest changes in Ampol, Domino'S Pizza Enterprises, BHP, Fortescue.

Ke Yan, CFA, FRM

ASX Short Interest Weekly (Aug 2nd): Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium

We analyzed ASX short interest report for the past week and highlight short interest changes in Westgold Resourc, Seek, Paladin Energy, Fortescue,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ASX200 Index Rebalance Preview: Potential Changes Prior to the June Rebalance

Upcoming M&A activity will result in ad hoc inclusions to the ASX200 prior to the June rebal. There could be 2-3 adds in the first few weeks of...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Regular & Ad Hoc Changes in June

There should be changes for the ASX20, ASX100, ASX200 in June. Timing of the ASX200 inclusions is key with 2 M&A events leading to ad hoc...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to June

Performance has been mixed across the various indices but could start moving the right way as we near the end of the review period and there is...

Brian Freitas

ASX Short Interest Weekly (Oct 4th): Ampol, Domino'S Pizza Enterprises, BHP, Fortescue

We analyzed ASX short interest report for the past week and highlight short interest changes in Ampol, Domino'S Pizza Enterprises, BHP, Fortescue.

Ke Yan, CFA, FRM

ASX Short Interest Weekly (Aug 2nd): Westgold Resourc, Seek, Paladin Energy, Fortescue, ANZ, Altium

We analyzed ASX short interest report for the past week and highlight short interest changes in Westgold Resourc, Seek, Paladin Energy, Fortescue,...

Ke Yan, CFA, FRM

S&P/ASX Index Rebalance Preview: Regular & Ad Hoc Changes in June

S&P/ASX Index Rebalance Preview: Potential Changes from Now to June