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 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>There are a bunch of stocks that are constituents of the S&amp;P/ASX family of indices and could go private or merge prior to the next scheduled rebalance in December.</li>
<li>That will lead to ad hoc inclusions 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/ASX 200 (AS51 INDEX)</a> and could also lead to ad hoc inclusions for the S&amp;P/ASX 50 and S&amp;P/ASX 100 indices.</li>
<li>There is a fair amount of short interest on some of the potential inclusions and short covering due to index inclusion could take the stocks higher.</li>
</ul>


There are a bunch of stocks that are constituents of the S&amp;P/ASX family of indices and could go private or merge prior to the next scheduled rebalance in December.
That will lead to ad hoc inclusions for the S&amp;P/ASX 200 (AS51 INDEX) and could also lead to ad hoc inclusions for the S&amp;P/ASX 50 and S&amp;P/ASX 100 indices.
There is a fair amount of short interest on some of the potential inclusions and short covering due to index inclusion could take the stocks higher.


Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

<ul>
<li>There is 1 change for the S&amp;P/ASX100 Index, 5 adds/ 6 deletes 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/ASX 200 INDEX</a>, and 10 adds/ 8 deletes for the S&amp;P/ASX300 Index at the September rebalance.</li>
<li>There will be 4-14 days of ADV to trade on the S&amp;P/ASX100 Index and <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 INDEX</a> adds while the impact on the deletions is between 3-12 days of ADV.</li>
<li>On average, the adds 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> and S&amp;P/ASX 300 Index have outperformed the deletes over the last few months.</li>
</ul>


There is 1 change for the S&amp;P/ASX100 Index, 5 adds/ 6 deletes for the S&amp;P/ASX 200 INDEX, and 10 adds/ 8 deletes for the S&amp;P/ASX300 Index at the September rebalance.
There will be 4-14 days of ADV to trade on the S&amp;P/ASX100 Index and S&amp;P/ASX 200 INDEX adds while the impact on the deletions is between 3-12 days of ADV.
On average, the adds to the S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index have outperformed the deletes over the last few months.


S&P/​​​​ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

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 September 2023 review results for ASX indices were announced after the close on Friday 1st September 2023. </li>
<li>There will be 15 ADD names and 15 DELETE names across ASX 100, ASX 200, and ASX 300. Collectively, the ADDs could see one-way flow of roughly US$450mn. </li>
<li>Many names have a significant number of days to trade. Some of these names have seen a spike in short interest recently. This should be an interesting flow event.</li>
</ul>


The September 2023 review results for ASX indices were announced after the close on Friday 1st September 2023. 
There will be 15 ADD names and 15 DELETE names across ASX 100, ASX 200, and ASX 300. Collectively, the ADDs could see one-way flow of roughly US$450mn. 
Many names have a significant number of days to trade. Some of these names have seen a spike in short interest recently. This should be an interesting flow event.


Quiddity ASX Sep 23 Rebal: 15 Inflow/Outflow Names; Beware of Short Buildup; US$450mn One-Way

<ul>
<li>We forecast 26 changes across the ASX50 Index, ASX100 Index, <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> and ASX300 Index at the September rebalance.</li>
<li>The review period ends tomorrow, so most changes are high probability. Though there are some changes that will be up to the discretion of the index committee.</li>
<li>There will be a lot of stock to trade on the changes to the ASX200 and indices higher up the hierarchy. But there will be a lot of pre-positioning too.</li>
</ul>


We forecast 26 changes across the ASX50 Index, ASX100 Index, S&amp;P/ASX 200 (AS51 INDEX) and ASX300 Index at the September rebalance.
The review period ends tomorrow, so most changes are high probability. Though there are some changes that will be up to the discretion of the index committee.
There will be a lot of stock to trade on the changes to the ASX200 and indices higher up the hierarchy. But there will be a lot of pre-positioning too.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Adds Have Outperformed

Australia

Genesis Minerals Limited is an Australian-based mineral exploration company. The Company acquires commercially significant mineral deposits that can be brought into production.

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

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Quiddity ASX Sep 23 Rebal: 15 Inflow/Outflow Names; Beware of Short Buildup; US$450mn One-Way

The Inclusion/Exclusion events can be expected to take place at the close of Friday 15th September 2023. I would be Bullish Inflow Names and...

Janaghan Jeyakumar, CFA

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We forecast 26 changes across the ASX50, ASX100, ASX 200 and ASX300 indices at the September rebalance. There is big flow and impact on a lot of...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

There are 5 companies that are members of the S&P/ASX indices and could be delisted prior to the next rebalance in December. That could mean ad hoc...

Brian Freitas

S&P/​​​​ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

There are 30 changes for the SP/ASX index family in Sep. Most of the changes were expected but there are a few surprises. There is a lot to trade...

Brian Freitas

Quiddity ASX Sep 23 Rebal: 15 Inflow/Outflow Names; Beware of Short Buildup; US$450mn One-Way

The Inclusion/Exclusion events can be expected to take place at the close of Friday 15th September 2023. I would be Bullish Inflow Names and...

Janaghan Jeyakumar, CFA

S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Adds Have Outperformed

We forecast 26 changes across the ASX50, ASX100, ASX 200 and ASX300 indices at the September rebalance. There is big flow and impact on a lot of...

Brian Freitas

S&P/ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

S&P/ASX Index Rebalance Preview: Potential Adds Have Outperformed