Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The ES50 Index is one of the most highly-tracked and followed indices in Europe and the annual index review takes place in September every year.</li>
<li>This annual index rebal event usually results in some of the most significant index flow events in Europe every year, typically amounting to billions of dollars of flows.</li>
<li>In this insight, we take a look the names leading the race to become ADDs/DELs for the upcoming index review in September 2024.</li>
</ul>


The ES50 Index is one of the most highly-tracked and followed indices in Europe and the annual index review takes place in September every year.
This annual index rebal event usually results in some of the most significant index flow events in Europe every year, typically amounting to billions of dollars of flows.
In this insight, we take a look the names leading the race to become ADDs/DELs for the upcoming index review in September 2024.


Quiddity Leaderboard ES50 Sep 24: Engie Gets Closer to a US$1.1bn Index Inflow

<ul>
<li>The ES50 Index is one of the most highly-tracked indices in Europe and the annual index review takes place in September every year.</li>
<li>In this insight, we take a look at Quiddity's estimation of the latest ranks of potential ADDs and DELs for the upcoming index rebal event in September 2024.</li>
<li>The rankings will be finalized at the end of this week. Currently, we see one expected ADD/DEL but the expectations can change since there are three more trading days left.</li>
</ul>


The ES50 Index is one of the most highly-tracked indices in Europe and the annual index review takes place in September every year.
In this insight, we take a look at Quiddity's estimation of the latest ranks of potential ADDs and DELs for the upcoming index rebal event in September 2024.
The rankings will be finalized at the end of this week. Currently, we see one expected ADD/DEL but the expectations can change since there are three more trading days left.


Quiddity Leaderboard ES50 Sep 24: DSM Addition Unlikely; Engie Could Replace Kering (US$1bn+ Flows)

Quiddity Leaderboard ES50 Sep 24: US$1.1bn Index Inflow for Engie if Nokia's Rank Falls by ONE

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>We have been expecting near-term downside on ACWI-US and the S&amp;P 500 since our February 27 Int’l Compass, when both ACWI-US and the S&amp;P 500 displayed false breakouts.</li>
<li>Market dynamics have continued to deteriorate to the point where we don't see it as a buying opportunity, and we believe $115 support is not likely to hold on ACWI-US.</li>
<li>Therefore, we are cautious and would get defensive, as we believe the odds of a more prolonged downturn in global equities are rising.</li>
</ul>


We have been expecting near-term downside on ACWI-US and the S&amp;P 500 since our February 27 Int’l Compass, when both ACWI-US and the S&amp;P 500 displayed false breakouts.
Market dynamics have continued to deteriorate to the point where we don't see it as a buying opportunity, and we believe $115 support is not likely to hold on ACWI-US.
Therefore, we are cautious and would get defensive, as we believe the odds of a more prolonged downturn in global equities are rising.


Odds of a Prolonged Downturn Are Rising; We Are Cautious; Get Defensive

US-EU Index Rebalances / Quantitative Researcher, ORTEX

Dimitris Ioannidis

US-EU Index Rebalances / Quantitative Researcher

Global Financial Data and Analytics Platform

ORTEX

ORTEX is a global financial data and analytics platform providing real-time securities lending and short interest data, index rebalance data, holdings and insider transactions, trading signals, corporate actions and news,  stock machine learning and factor scores and other analytics. The majority of the data are downloadable and accessible through APIs.

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kering" target="_blank" data-smartkarma-citation="entities:21492:1" rel="noopener">Kering (KER FP)</a> is the main candidate for direct deletion as it is the only constituent below the exit threshold. Forecasted supply is $750m and 9.7 ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/dsm-firmenich-ag" target="_blank" data-smartkarma-citation="entities:43730:1" rel="noopener">DSM-Firmenich (DSFIR NA)</a> is the main candidate for addition replacing <a href="https://www.smartkarma.com/entities/kering" target="_blank" data-smartkarma-citation="entities:21492:1" rel="noopener">Kering (KER FP)</a> as it is the highest ranked non-constituent. Forecasted demand is $1.3bn and 22.5 ADV.</li>
<li>
<a href="https://www.smartkarma.com/entities/nokia-oyj" target="_blank" data-smartkarma-citation="entities:21754:1" rel="noopener">Nokia OYJ (NOKIA FH)</a> and <a href="https://www.smartkarma.com/entities/volkswagen-ag-2754ab9c-fd60-43d7-a087-b4ce4465a0eb" target="_blank" data-smartkarma-citation="entities:734:1" rel="noopener">Volkswagen (Pref) (VOW3 GR)</a> are only 2% above the exit threshold. Potential replacements are <a href="https://www.smartkarma.com/entities/engie-sa" target="_blank" data-smartkarma-citation="entities:21449:1" rel="noopener">Engie SA (ENGI FP)</a> and <a href="https://www.smartkarma.com/entities/argenx-se" target="_blank" data-smartkarma-citation="entities:28604:1" rel="noopener">Argenx SE (ARGX US)</a>.</li>
</ul>



Kering (KER FP) is the main candidate for direct deletion as it is the only constituent below the exit threshold. Forecasted supply is $750m and 9.7 ADV.

DSM-Firmenich (DSFIR NA) is the main candidate for addition replacing Kering (KER FP) as it is the highest ranked non-constituent. Forecasted demand is $1.3bn and 22.5 ADV.

Nokia OYJ (NOKIA FH) and Volkswagen (Pref) (VOW3 GR) are only 2% above the exit threshold. Potential replacements are Engie SA (ENGI FP) and Argenx SE (ARGX US).


EURO STOXX 50: Kering Out of Fashion with $750M Deletion. DSM-Firmenich In with $1.3B Addition.

France

Engie offers a full range of electricity, gas and associated energy and environment services throughout the world. The Company produces, trades, transports, stores and distributes natural gas, and offers energy management and climatic and thermal engineering services.

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Engie SA (ENGI FP)

Quiddity Leaderboard ES50 Sep 24: Engie Gets Closer to a US$1.1bn Index Inflow

If French energy company Engie gains 20% vs the other names in the next 4 months, it could become an ES50 add in September 2024 and that could...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ES50 Sep 24: DSM Addition Unlikely; Engie Could Replace Kering (US$1bn+ Flows)

The ES50 Sep 24 index review results will be announced later today. We see Kering (KER FP) as an expected DEL and Engie (ENGI FP) as an expected...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ES50 Sep 24: US$1.1bn Index Inflow for Engie if Nokia's Rank Falls by ONE

Nokia is ranked 60th in the final selection list according to our estimates. If Nokia falls to the 61st place, Nokia could be replaced by Engie in...

Janaghan Jeyakumar, CFA

Odds of a Prolonged Downturn Are Rising; We Are Cautious; Get Defensive

Odds of a Prolonged Downturn are Rising; We are Cautious; Get Defensive; $115 on ACWI-US Remains Key Level, and is at Risk of Breakdown. Actionable...

Vermilion Research

EURO STOXX 50: Kering Out of Fashion with $750M Deletion. DSM-Firmenich In with $1.3B Addition.

DSM-Firmenich (DSFIR NA) is forecasted to be added to SX5E with a demand of $1.3B as a replacement of Kering (KER FP) with a forecasted supply of...

Dimitris Ioannidis

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