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>At the December rebalance, we expect changes to the S&amp;P/ASX 50 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 (AS51 INDEX)</a>. Announcement is on 2 December with implementation on 16 December.</li>
<li>If added 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>, passive trackers will need to buy over 9 days of ADV on <a href="https://www.smartkarma.com/entities/monadelphous-group-ltd" target="_blank" data-smartkarma-citation="entities:553:1" rel="noopener">Monadelphous (MND AU)</a> and <a href="https://www.smartkarma.com/entities/ioneer-ltd" target="_blank" data-smartkarma-citation="entities:10264:1" rel="noopener">ioneer Ltd (INR AU)</a>.</li>
<li>Shorts have dropped on nearly all potential adds and deletes over the last couple of months. With shorts at low levels, short covering will have limited impact at the rebalance.</li>
</ul>


At the December rebalance, we expect changes to the S&amp;P/ASX 50 Index and S&amp;P/ASX 200 (AS51 INDEX). Announcement is on 2 December with implementation on 16 December.
If added to the S&amp;P/ASX 200 (AS51 INDEX), passive trackers will need to buy over 9 days of ADV on Monadelphous (MND AU) and ioneer Ltd (INR AU).
Shorts have dropped on nearly all potential adds and deletes over the last couple of months. With shorts at low levels, short covering will have limited impact at the rebalance.


S&P/​​​​ASX Index Rebalance Preview: A Few High Impact Adds

<ul>
<li>Close to the 85% inclusion threshold, <a href="https://www.smartkarma.com/entities/core-lithium-ltd" target="_blank" data-smartkarma-citation="entities:14712:1" rel="noopener">Core Lithium Ltd</a> could be added to the MVIS Global Rare Earth/Strategic Metals Index in June. <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> is also close.</li>
<li>
<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 very close to the 98% deletion threshold. Even if it is not deleted, there will be passive selling due to capping changes.</li>
<li>Yesterday was the cutoff date for the June review, so today's steep fall in prices will not affect the ranking of the potential changes.</li>
</ul>


Close to the 85% inclusion threshold, Core Lithium Ltd could be added to the MVIS Global Rare Earth/Strategic Metals Index in June. Lake Resources Nl (LKE AU) is also close.

Australian Strategic Materials (ASM AU) is very close to the 98% deletion threshold. Even if it is not deleted, there will be passive selling due to capping changes.
Yesterday was the cutoff date for the June review, so today's steep fall in prices will not affect the ranking of the potential changes.


MVIS Global Rare Earth/​​​Strategic Metals Index Rebalance Preview: Stocks Plunge as Cutoff Passes

<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> could be added to the MVIS Global Rare Earth/Strategic Metals Index in June. <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> is the next highest ranked non-index constituent.</li>
<li>Irrespective of whether there are inclusions, there will be passive selling on <a href="https://www.smartkarma.com/entities/ioneer-ltd" target="_blank" data-smartkarma-citation="entities:10264:1" rel="noopener">ioneer Ltd (INR AU)</a> and <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> due to capping changes to the index constituents.</li>
<li>Inclusions to the index jump post announcement. The review cutoff date is 31 May, so weakness in the potential inclusions could be used to pre-position (if they outperform index constituents).</li>
</ul>



Core Lithium Ltd (CXO AU) could be added to the MVIS Global Rare Earth/Strategic Metals Index in June. Lake Resources Nl (LKE AU) is the next highest ranked non-index constituent.
Irrespective of whether there are inclusions, there will be passive selling on ioneer Ltd (INR AU) and Australian Strategic Materials (ASM AU) due to capping changes to the index constituents.
Inclusions to the index jump post announcement. The review cutoff date is 31 May, so weakness in the potential inclusions could be used to pre-position (if they outperform index constituents).


MVIS Global Rare Earth/​​Strategic Metals Index Rebalance Preview: Potential Adds & Capping Flows

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 March 2022 regular rebalance constituency changes for ASX 300, ASX 200, ASX 50, and ASX 20 were announced on 4th March 2022.</li>
<li>These constituency changes will be implemented at the close of 18th March 2022 (Friday) and will be effective from the open on 21st March 2022 (Monday). </li>
<li>Below is a discussion on the performance of these candidates so far and our expectation for the next few weeks.</li>
</ul>


The March 2022 regular rebalance constituency changes for ASX 300, ASX 200, ASX 50, and ASX 20 were announced on 4th March 2022.
These constituency changes will be implemented at the close of 18th March 2022 (Friday) and will be effective from the open on 21st March 2022 (Monday). 
Below is a discussion on the performance of these candidates so far and our expectation for the next few weeks.


S&P/ASX Indices: March 2022 Rebalance Update and Post-Inclusion Outlook

<ul>
<li>Hang Seng announced the results of the March rebalance post market close Friday. Two adds for the HSI, one set of changes for HSCEI, three sets for HSTECH.</li>
<li>An ad hoc rebalance was announced for the KOSDAQ150 following Osstem being designated an 'Administrative Issue'. In IPO world, we have LIC in India and SBI Sumishin NetBank coming up.</li>
<li>Friday was the review cutoff date for the March rebalance of the ASX200 Index. The ATO has provided Aventus with the tax ruling and that creates a timing issue.</li>
</ul>


Hang Seng announced the results of the March rebalance post market close Friday. Two adds for the HSI, one set of changes for HSCEI, three sets for HSTECH.
An ad hoc rebalance was announced for the KOSDAQ150 following Osstem being designated an 'Administrative Issue'. In IPO world, we have LIC in India and SBI Sumishin NetBank coming up.
Friday was the review cutoff date for the March rebalance of the ASX200 Index. The ATO has provided Aventus with the tax ruling and that creates a timing issue.


Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, S&P/ASX, SET50, LIC, SBI Sumishin, Crown

Australia

Jervois Mining Limited is a gold mining and mineral exploration company with exploration tenements located throughout Australia.  The Company's mineral activities includes copper, nickel and cobalt.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Jervois Mining (JRV AU)

S&P/ASX Index Rebalance Preview: A Few High Impact Adds

There could be two changes each for the ASX50 and ASX200 indices in December. There is a large impact expected on a couple of the adds while short...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Stocks Plunge as Cutoff Passes

Core Lithium could be added to the REMX in June. Lake Resources could miss out on index inclusion. ASM will be sold due to funding flows but is...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Potential Adds & Capping Flows

Core Lithium could be added to the REMX Index in June. Lake Resources is the next potential add. Both stocks are potential ASX200 adds in June....

Brian Freitas

S&P/ASX Indices: March 2022 Rebalance Update and Post-Inclusion Outlook

A discussion of the performance of the S&P/ASX Index Rebalance candidates for March 2022 and a look at the expectations for performance in the Post...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, S&P/ASX, SET50, LIC, SBI Sumishin, Crown

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

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/​​​​ASX Index Rebalance Preview: A Few High Impact Adds

There could be two changes each for the ASX50 and ASX200 indices in December. There is a large impact expected on a couple of the adds while short...

Brian Freitas

MVIS Global Rare Earth/​​​Strategic Metals Index Rebalance Preview: Stocks Plunge as Cutoff Passes

Core Lithium could be added to the REMX in June. Lake Resources could miss out on index inclusion. ASM will be sold due to funding flows but is...

Brian Freitas

MVIS Global Rare Earth/​​Strategic Metals Index Rebalance Preview: Potential Adds & Capping Flows

Core Lithium could be added to the REMX Index in June. Lake Resources is the next potential add. Both stocks are potential ASX200 adds in June....

Brian Freitas

S&P/ASX Indices: March 2022 Rebalance Update and Post-Inclusion Outlook

A discussion of the performance of the S&P/ASX Index Rebalance candidates for March 2022 and a look at the expectations for performance in the Post...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: HSI, HSCEI, HSTECH, HSCI, S&P/ASX, SET50, LIC, SBI Sumishin, Crown

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

Brian Freitas

S&P/ASX Index Rebalance Preview: A Few High Impact Adds

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Stocks Plunge as Cutoff Passes

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Potential Adds & Capping Flows