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>The review period for the March rebalance ends in a couple of weeks. There could be one deletion from the index and a bunch of capping changes.</li>
<li>The index changes will lead to a one-way turnover of 2.2% resulting in a one-way trade of A$13m. There are two stocks with over A$3m to trade.</li>
<li>With market participants expecting lower interest rates, there has been short covering on a lot of the REITs in the last few months.</li>
</ul>


The review period for the March rebalance ends in a couple of weeks. There could be one deletion from the index and a bunch of capping changes.
The index changes will lead to a one-way turnover of 2.2% resulting in a one-way trade of A$13m. There are two stocks with over A$3m to trade.
With market participants expecting lower interest rates, there has been short covering on a lot of the REITs in the last few months.


MVIS Australia A-REITs Index Rebalance Preview: ASK Looks Like a Delete

<ul>
<li>There are no constituent changes for the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> in December but there are float and capping changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/abacus-storage-king" target="_blank" data-smartkarma-citation="entities:39857:1" rel="noopener">Abacus Storage King (ASK AU)</a> is the biggest sell and is due to a drop in float, a reversal of the excessively high float assigned at the September rebalance.</li>
<li>Estimated one-way turnover is 4.5% and will result in a one-way trade of A$26m. There are a few stocks with over 1x ADV to trade.</li>
</ul>


There are no constituent changes for the Vaneck Vectors Australian Property ETF (MVA AU) in December but there are float and capping changes.

Abacus Storage King (ASK AU) is the biggest sell and is due to a drop in float, a reversal of the excessively high float assigned at the September rebalance.
Estimated one-way turnover is 4.5% and will result in a one-way trade of A$26m. There are a few stocks with over 1x ADV to trade.


MVIS Australia A-REITs Index Rebalance: ASKing for a Reversal

Listed Real Estate Asia, KT Capital Group

Jacob Cheng

Listed Real Estate Asia

KT Capital Group

Principal investments and advisory firm that focuses on connecting the CIS countries with East Asia.

Principal investments and advisory firm

Equity Bottom-Up

<ul>
<li>In this insight, we explore the potential trade idea to Long GMG and Short DXS, among Australia REITs</li>
<li>We propose this trade on the back of long-term attractive thematic and strong fundamentals of logistics sector and continued weakness of office sector, as well as company specific drivers</li>
<li>GMG focuses on logistics and is a fund manager, and will continue to be strong. DXS is primarily driven by Sydney office market, which is facing multiple headwinds</li>
</ul>


In this insight, we explore the potential trade idea to Long GMG and Short DXS, among Australia REITs
We propose this trade on the back of long-term attractive thematic and strong fundamentals of logistics sector and continued weakness of office sector, as well as company specific drivers
GMG focuses on logistics and is a fund manager, and will continue to be strong. DXS is primarily driven by Sydney office market, which is facing multiple headwinds


Australia Real Estate: Long Goodman Group GMG and Short DEXUS DXS Pair Trade

<ul>
<li>The changes at the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> September rebalance were announced on 4 September. The rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI was implemented on the same day.</li>
<li>The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.</li>
<li>After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.</li>
</ul>


The changes at the Nikkei 225 September rebalance were announced on 4 September. The rebalance of the HSI, HSCEI, HSTECH and HSCI was implemented on the same day.
The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.
After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

<ul>
<li>As expected, <a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> will be deleted from the MVIS Australia A-REIT Index at the close on 15 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> will also be deleted from 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> on the same day, so this increases the sell flow on the stock.</li>
<li>Estimated one-way turnover at the rebalance is 3.8% resulting in a one-way trade of A$23.8m. There are a few stocks with over 1x ADV to trade from passive trackers.</li>
</ul>


As expected, Abacus Group (ABG AU) will be deleted from the MVIS Australia A-REIT Index at the close on 15 September.

Abacus Group (ABG AU) will also be deleted from the S&amp;P/ASX 200 (AS51 INDEX) on the same day, so this increases the sell flow on the stock.
Estimated one-way turnover at the rebalance is 3.8% resulting in a one-way trade of A$23.8m. There are a few stocks with over 1x ADV to trade from passive trackers.


MVIS Australia A-REITs Index Rebalance: Abacus Group Deletion Means More Outflow

Australia

Dexus provides real estate services. The Company manages and invests in a portfolio of diversified properties, including office and industrial buildings, retail shopping centers, and car parks. Dexus serves customers in Australia and New Zealand.

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Dexus Property (DXS AU)

MVIS Australia A-REITs Index Rebalance Preview: ASK Looks Like a Delete

Abacus Storage King could be deleted from the MVIS Australia A-REITS Index in March. There will also be a bunch of capping changes. Estimated 1-way...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: ASKing for a Reversal

There are no constituent changes but there are float and capping changes. Estimated one-way turnover is 4.5% resulting in a one-way trade of A$26m....

Brian Freitas

Australia Real Estate: Long Goodman Group GMG and Short DEXUS DXS Pair Trade

We explore the pair trade idea to LONG Goodman and SHORT Dexus, on the back of strong fundamentals of the industrial sector and continued weakness...

Jacob Cheng

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

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

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Abacus Group Deletion Means More Outflow

Abacus Group will be deleted from the index; there is a surprising float increase on Abacus Storage King. That will add to or offset flows from...

Brian Freitas

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