Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/tassal-group-ltd" target="_blank" data-smartkarma-citation="entities:16234:1" rel="noopener">Tassal (TGR AU)</a>  and <a href="https://www.smartkarma.com/entities/nearmap-ltd" target="_blank" data-smartkarma-citation="entities:5142:1" rel="noopener">Nearmap Ltd (NEA AU)</a> could get deleted from ASX200 before the December Rebalance, triggering high-impact intra-review additions. There should be two changes in the Review itself.</li>
<li>
<a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a> is close to becoming an ASX 50 ADD and <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> is close to becoming an ASX 50 DEL in the December 2022 review.</li>
</ul>


In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.

Tassal (TGR AU)  and Nearmap Ltd (NEA AU) could get deleted from ASX200 before the December Rebalance, triggering high-impact intra-review additions. There should be two changes in the Review itself.

Pilbara Minerals (PLS AU) is close to becoming an ASX 50 ADD and Lendlease Group (LLC AU) is close to becoming an ASX 50 DEL in the December 2022 review.


S&P/​​​​​​ASX Quiddity Leaderboard Dec 22: Couple of High-Impact Intra-Review Changes Possible

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

<ul>
<li>The ACCC will not oppose the proposed acquisition of <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a> by Dye &amp; Durham removing a major hurdle. Other regulatory approvals are still pending.</li>
<li>If regulatory clearances are received in the next week and the Court approves the Scheme, <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a> will stop trading at the close on 15 September.</li>
<li>We estimate passive trackers across all indices will need to sell 35.53m shares (A$153m; 18 days of ADV) of <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a> at the close on 15 September.</li>
</ul>


The ACCC will not oppose the proposed acquisition of Link Administration (LNK AU) by Dye &amp; Durham removing a major hurdle. Other regulatory approvals are still pending.
If regulatory clearances are received in the next week and the Court approves the Scheme, Link Administration (LNK AU) will stop trading at the close on 15 September.
We estimate passive trackers across all indices will need to sell 35.53m shares (A$153m; 18 days of ADV) of Link Administration (LNK AU) at the close on 15 September.


Link Admin (LNK AU): ACCC Approval & Index Changes

Australian Strategic Materials / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sierra-rutile-holdings-limited" target="_blank" data-smartkarma-citation="entities:36235:1" rel="noopener">Sierra Rutile Holdings (SRX AU)</a> is a high probability delete from the index, while <a href="https://www.smartkarma.com/entities/australian-strategic-materials" target="_blank" data-smartkarma-citation="entities:30815:1" rel="noopener">Australian Strategic Materials (ASM AU)</a> is close to the deletion threshold.</li>
<li>
<a href="https://www.smartkarma.com/entities/sayona-mining-ltd" target="_blank" data-smartkarma-citation="entities:1589:1" rel="noopener">Sayona Mining (SYA AU)</a> is the highest ranked non-constituent while <a href="https://www.smartkarma.com/entities/tianqi-lithium-corporation" target="_blank" data-smartkarma-citation="entities:27789:1" rel="noopener">Tianqi Lithium (9696 HK)</a> only makes inclusion at the entire IPO raise.</li>
<li>Deletion from the index will require passive trackers to sell over 5 days of ADV on <a href="https://www.smartkarma.com/entities/australian-strategic-materials" target="_blank" data-smartkarma-citation="entities:30815:1" rel="noopener">Australian Strategic Materials (ASM AU)</a>. </li>
</ul>



Sierra Rutile Holdings (SRX AU) is a high probability delete from the index, while Australian Strategic Materials (ASM AU) is close to the deletion threshold.

Sayona Mining (SYA AU) is the highest ranked non-constituent while Tianqi Lithium (9696 HK) only makes inclusion at the entire IPO raise.
Deletion from the index will require passive trackers to sell over 5 days of ADV on Australian Strategic Materials (ASM AU). 


MVIS Global Rare Earth/​​​​Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

<ul>
<li>There is one change for the S&amp;P/ASX 100 Index, eight 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>, while there are 16 adds and 12 deletes for the S&amp;P/ASX 300 Index.</li>
<li>Passive trackers need to buy/sell a lot of stock for the ASX100 and ASX200 names. There appears to be large pre-positioning on the deletes.</li>
<li>
<a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a>'s privatisation may require an ad hoc inclusion prior to the implementation of the September rebalance - ACCC approval is key. </li>
</ul>


There is one change for the S&amp;P/ASX 100 Index, eight changes to the S&amp;P/ASX 200 (AS51 INDEX), while there are 16 adds and 12 deletes for the S&amp;P/ASX 300 Index.
Passive trackers need to buy/sell a lot of stock for the ASX100 and ASX200 names. There appears to be large pre-positioning on the deletes.

Link Administration (LNK AU)'s privatisation may require an ad hoc inclusion prior to the implementation of the September rebalance - ACCC approval is key. 


S&P/​​ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

<ul>
<li>
<a href="https://www.smartkarma.com/entities/core-lithium-ltd" target="_blank" data-smartkarma-citation="entities:14712:1" rel="noopener">Core Lithium Ltd (CXO AU)</a>, <a href="https://www.smartkarma.com/entities/lake-resources-nl" target="_blank" data-smartkarma-citation="entities:14597:1" rel="noopener">Lake Resources Nl (LKE AU)</a> and Piedmont Lithium ADR have been added to the MVIS Global Rare Earth/Strategic Metals Index. <a href="https://www.smartkarma.com/entities/avz-minerals-ltd" target="_blank" data-smartkarma-citation="entities:6148:1" rel="noopener">AVZ Minerals</a> has been deleted. </li>
<li>
<a href="https://www.smartkarma.com/entities/core-lithium-ltd" target="_blank" data-smartkarma-citation="entities:14712:1" rel="noopener">Core Lithium Ltd (CXO AU)</a> and <a href="https://www.smartkarma.com/entities/lake-resources-nl" target="_blank" data-smartkarma-citation="entities:14597:1" rel="noopener">Lake Resources Nl (LKE AU)</a> are <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> additions that will be also implemented at the close of trading on 17 June.</li>
<li>With only 4 trading days to implementation (Monday is a holiday), the stocks with significant days of ADV to trade could out(under)perform their peers and the market.</li>
</ul>



Core Lithium Ltd (CXO AU), Lake Resources Nl (LKE AU) and Piedmont Lithium ADR have been added to the MVIS Global Rare Earth/Strategic Metals Index. AVZ Minerals has been deleted. 

Core Lithium Ltd (CXO AU) and Lake Resources Nl (LKE AU) are S&amp;P/ASX 200 additions that will be also implemented at the close of trading on 17 June.
With only 4 trading days to implementation (Monday is a holiday), the stocks with significant days of ADV to trade could out(under)perform their peers and the market.


MVIS Global Rare Earth/Strategic Metals Index Rebalance: CXO & LKE Added; AVZ Out

Australia

ioneer Ltd produces lithium. The Company is an emerging lithium-boron supplier focused on developing the 100%-owned rhyolite ridge lithium-boron project in Nevada, United States. ioneer serves customers worldwide.

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ioneer (INR AU)

S&P/ASX Quiddity Leaderboard Dec 22: Couple of High-Impact Intra-Review Changes Possible

The list of names leading the race to become intra-review ASX 200 additions seems interesting. If M&A events cause ASX 200 deletions, some of these...

Janaghan Jeyakumar, CFA

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Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance: CXO & LKE Added; AVZ Out

CXO AU and LKE AU have been added to the REMX, while AVZ has been deleted. CXO and LKE are also adds to the ASX200 Index with both implementations...

Brian Freitas

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S&P/​​​​​​ASX Quiddity Leaderboard Dec 22: Couple of High-Impact Intra-Review Changes Possible

The list of names leading the race to become intra-review ASX 200 additions seems interesting. If M&A events cause ASX 200 deletions, some of these...

Janaghan Jeyakumar, CFA

Link Admin (LNK AU): ACCC Approval & Index Changes

With ACCC approval done, the focus shifts to the UK FCA approval. If all reg approvals are obtained, the stock will stop trading on 15 Sep. MND and...

Brian Freitas

MVIS Global Rare Earth/​​​​Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

Sierra Rutile is a high probability delete from the REMX in September. There is a possibility that ASM is deleted too. There is flow on the other...

Brian Freitas

S&P/​​ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

There are a lot of changes to the ASX200 and ASX300 indices with high impact. There are a few surprises, mainly in the ASX300. Shorts have surged...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance: CXO & LKE Added; AVZ Out

CXO AU and LKE AU have been added to the REMX, while AVZ has been deleted. CXO and LKE are also adds to the ASX200 Index with both implementations...

Brian Freitas

S&P/ASX Quiddity Leaderboard Dec 22: Couple of High-Impact Intra-Review Changes Possible

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

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