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>There are 2 changes for the S&amp;P/ASX100 Index, 3 changes 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 16 adds/ 8 deletes for the S&amp;P/ASX300 Index.</li>
<li>The two big surprises are the inclusion of <a href="https://www.smartkarma.com/entities/guzman-y-gomez-limited" target="_blank" data-smartkarma-citation="entities:43656:1" rel="noopener">Guzman Y Gomez (GYG AU)</a> and <a href="https://www.smartkarma.com/entities/yancoal-australia-ltd" target="_blank" data-smartkarma-citation="entities:4145:1" rel="noopener">Yancoal Australia (YAL AU)</a> in 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/ASX300 Index.</li>
<li>The adds to the indices have outperformed the deletes over the last few months and there could be profit-taking in the next few days.</li>
</ul>


There are 2 changes for the S&amp;P/ASX100 Index, 3 changes for the S&amp;P/ASX 200 (AS51 INDEX) and 16 adds/ 8 deletes for the S&amp;P/ASX300 Index.
The two big surprises are the inclusion of Guzman Y Gomez (GYG AU) and Yancoal Australia (YAL AU) in the S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX300 Index.
The adds to the indices have outperformed the deletes over the last few months and there could be profit-taking in the next few days.


S&P/​​​​ASX Index Rebalance (Sep 2024): Two Big Surprises; Positioning Is Mixed

<ul>
<li>With 2 trading days left in the review period, there could be 30 adds/deletes across the S&amp;P/ASX family of indices in September.</li>
<li>Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes 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</a> and S&amp;P/ASX 300.</li>
<li>The forecast adds have hugely outperformed the forecast deletes. Borrow recall on the deletes and increased borrow availability on the adds could result in underperformance following announcement of the changes.</li>
</ul>


With 2 trading days left in the review period, there could be 30 adds/deletes across the S&amp;P/ASX family of indices in September.
Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the S&amp;P/ASX 200 and S&amp;P/ASX 300.
The forecast adds have hugely outperformed the forecast deletes. Borrow recall on the deletes and increased borrow availability on the adds could result in underperformance following announcement of the changes.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

<ul>
<li>With nearly 80% of the review period complete, there could be 28 adds/deletes across the S&amp;P/ASX family of indices in September.</li>
<li>There is a lot of stocks for passive trackers to trade on the index changes with the largest impacts on the potential changes 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>. </li>
<li>The potential adds have outperformed the potential deletions by a LOT over the last few months and continued positioning could lead to further gains.</li>
</ul>


With nearly 80% of the review period complete, there could be 28 adds/deletes across the S&amp;P/ASX family of indices in September.
There is a lot of stocks for passive trackers to trade on the index changes with the largest impacts on the potential changes to the S&amp;P/ASX 200 (AS51 INDEX). 
The potential adds have outperformed the potential deletions by a LOT over the last few months and continued positioning could lead to further gains.


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

<ul>
<li>There is one change for the ASX20, two for the ASX100, four 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 12 adds/ 9 deletes for the ASX300 Index at the March rebalance.</li>
<li>There will be between 7-20 days of ADV to trade on the ASX100 and ASX200 adds while the impact on the deletions is between 1-11 days of ADV.</li>
<li>The adds have outperformed the deletes on all indices over the last few months. Short interest has jumped on a lot of the large deletes.</li>
</ul>


There is one change for the ASX20, two for the ASX100, four for the S&amp;P/ASX 200 INDEX and 12 adds/ 9 deletes for the ASX300 Index at the March rebalance.
There will be between 7-20 days of ADV to trade on the ASX100 and ASX200 adds while the impact on the deletions is between 1-11 days of ADV.
The adds have outperformed the deletes on all indices over the last few months. Short interest has jumped on a lot of the large deletes.


S&P/​​​ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

<ul>
<li>We currently see 1 change for the ASX20 Index, 2 changes for the ASX100 Index, 4 changes for the ASX200 Index, 10 adds/7 deletes for the ASX300 Index in March.</li>
<li>On average, the potential adds to each of the indices have outperformed the potential deletes with the largest outperformance for the ASX300 Index.</li>
<li>Shorts have continued to increase positions on the potential deletes while covering their positions on the potential adds. We expect there are large pre-positions on some of the stocks now.</li>
</ul>


We currently see 1 change for the ASX20 Index, 2 changes for the ASX100 Index, 4 changes for the ASX200 Index, 10 adds/7 deletes for the ASX300 Index in March.
On average, the potential adds to each of the indices have outperformed the potential deletes with the largest outperformance for the ASX300 Index.
Shorts have continued to increase positions on the potential deletes while covering their positions on the potential adds. We expect there are large pre-positions on some of the stocks now.


S&P/​​​​​​​ASX Index Rebalance Preview: Review Period (Nearly) Complete

Australia

Terracom Ltd. is a miner in the coal industry. The Company produces coking coal for steel-producing customers. Guilford operates mines in South Gobi Mongolia, Queensland, Australia and Northern Galilee.

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Terracom Ltd (TER AU)

S&P/ASX Index Rebalance (Sep 2024): Two Big Surprises; Positioning Is Mixed

The index rebalances at the close today. Stocks have moved a lot over the last couple of weeks since announcements and some positioning will be...

Brian Freitas

S&P/ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

There could be 30 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes and...

Brian Freitas

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

There could be 28 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes by a...

Brian Freitas

S&P/ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

There are 19 adds and 16 deletes across the S&P/ASX family of indices. On the larger names, passives need to buy 7-20x ADV while selling between 1...

Brian Freitas

S&P/ASX Index Rebalance Preview: Review Period (Nearly) Complete

We forecast 1 change for the ASX20, 2 for the ASX100, 4 for the ASX 200 & 10 adds/7 deletes for the ASX300 in March. Adds have outperformed deletes...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/​​​​ASX Index Rebalance (Sep 2024): Two Big Surprises; Positioning Is Mixed

The index rebalances at the close today. Stocks have moved a lot over the last couple of weeks since announcements and some positioning will be...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

There could be 30 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes and...

Brian Freitas

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

There could be 28 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes by a...

Brian Freitas

S&P/​​​ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

There are 19 adds and 16 deletes across the S&P/ASX family of indices. On the larger names, passives need to buy 7-20x ADV while selling between 1...

Brian Freitas

S&P/​​​​​​​ASX Index Rebalance Preview: Review Period (Nearly) Complete

We forecast 1 change for the ASX20, 2 for the ASX100, 4 for the ASX 200 & 10 adds/7 deletes for the ASX300 in March. Adds have outperformed deletes...

Brian Freitas

S&P/ASX Index Rebalance (Sep 2024): Two Big Surprises; Positioning Is Mixed

S&P/ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

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

S&P/ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

S&P/ASX Index Rebalance Preview: Review Period (Nearly) Complete