Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>The S&amp;P500 rebalance traded with appropriate-to-expectations volumes, but the path from announcement to actual event was somewhat surprising.</li>
<li>Historically, DELETEs underperform peers and index from announcement to event date, including an initial jump weaker. This time they saw initial strength, but fell hard on the last day.</li>
<li>"The trade" from here, statistically speaking, would be to buy the S&amp;P500 DELETEs (<a href="https://www.smartkarma.com/entities/leggett-platt-inc" target="_blank" data-smartkarma-citation="entities:15843:1" rel="noopener">Leggett &amp; Platt (LEG US)</a>, <a href="https://www.smartkarma.com/entities/hanesbrands-inc" target="_blank" data-smartkarma-citation="entities:13641:1" rel="noopener">Hanesbrands Inc (HBI US)</a>, and <a href="https://www.smartkarma.com/entities/western-union-co" target="_blank" data-smartkarma-citation="entities:16761:1" rel="noopener">Western Union Co (WU US)</a>) against index.</li>
</ul>


The S&amp;P500 rebalance traded with appropriate-to-expectations volumes, but the path from announcement to actual event was somewhat surprising.
Historically, DELETEs underperform peers and index from announcement to event date, including an initial jump weaker. This time they saw initial strength, but fell hard on the last day.
"The trade" from here, statistically speaking, would be to buy the S&amp;P500 DELETEs (Leggett &amp; Platt (LEG US), Hanesbrands Inc (HBI US), and Western Union Co (WU US)) against index.


S&P500 Rebalance Recap - Strange Path Ends As Expected.

<ul>
<li>S&amp;P DJI Global Indices on Friday announced the changes to the S&amp;P500, S&amp;P Midcap 400, and S&amp;P 600 to be implement at the close on 17 December. </li>
<li>There were no surprises and the whole exercise is one of rearranging the deckchairs. Stocks move up an index, or down an index, but nothing moves out of the three.</li>
<li>The proprietary S&amp;P data suggests little opportunity, but empirical data suggests otherwise, and as in most cases, the interesting trades are the smaller ones.</li>
</ul>


S&amp;P DJI Global Indices on Friday announced the changes to the S&amp;P500, S&amp;P Midcap 400, and S&amp;P 600 to be implement at the close on 17 December. 
There were no surprises and the whole exercise is one of rearranging the deckchairs. Stocks move up an index, or down an index, but nothing moves out of the three.
The proprietary S&amp;P data suggests little opportunity, but empirical data suggests otherwise, and as in most cases, the interesting trades are the smaller ones.


S&P500 Rebalance for December 2021 - Rearranging the Deckchairs

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Factset Research Systems Inc / Event-Driven

<ul>
<li>There are 3 stocks migrating from the S&amp;P500 to the S&amp;P400 and vice versa and another 3 stocks migrating from the S&amp;P600 to the S&amp;P400 and vice versa.</li>
<li>The impact of changes in the number of index shares for quite a few index constituents and the funding trade take the one-way trade size to US$18.5bn.</li>
<li>There appear to be pre-positions on some of the stocks. While the flow is large on many stocks, there are only a few that have over 2 days of ADV.</li>
</ul>


There are 3 stocks migrating from the S&amp;P500 to the S&amp;P400 and vice versa and another 3 stocks migrating from the S&amp;P600 to the S&amp;P400 and vice versa.
The impact of changes in the number of index shares for quite a few index constituents and the funding trade take the one-way trade size to US$18.5bn.
There appear to be pre-positions on some of the stocks. While the flow is large on many stocks, there are only a few that have over 2 days of ADV.


S&P500 Index Rebalance: Migrations Across the Indices

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Equity Capital Markets

Man Wah Holdings / Equity Capital Markets

<a href="https://www.smartkarma.com/entities/man-wah-holdings-ltd" target="_blank" data-smartkarma-citation="entities:15846:1" rel="noopener">Man Wah Holdings (1999 HK)</a> plans to raise around US$260m to expand manufacturing facilities in China and open stores.The stock has been doing well this year on the back of planned domestic retail expansion and analyst continue to remain bullish on the stock.

Man Wah Holdings (1999 HK) plans to raise around US$260m to expand manufacturing facilities in China and open stores.The stock has been doing well this year on the back of planned domestic retail expansion and analyst continue to remain bullish on the stock.

Man Wah Placement - Riding High on Planned Store Expansion

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

The U.S. market continues to flash mixed signals, most recently Utilities have shown a big climb in our relative strength rankings. Given mixed signals , our outlook remains neutral and we continue to expect further consolidation and volatility.  In today’s report we highlight concerning groups that illustrate areas of growing deterioration across the market. Concerning groups: TE-04 and TE-05 (Semiconductor Equipment, Large, Mid, and Small-Cap), CD-08 (Home Furnishings), and FN-25 (Asset Management &amp; Custody Banks, Mid-Cap).

The U.S. market continues to flash mixed signals, most recently Utilities have shown a big climb in our relative strength rankings. Given mixed signals , our outlook remains neutral and we continue to expect further consolidation and volatility.  In today’s report we highlight concerning groups that illustrate areas of growing deterioration across the market. Concerning groups: TE-04 and TE-05 (Semiconductor Equipment, Large, Mid, and Small-Cap), CD-08 (Home Furnishings), and FN-25 (Asset Management &amp; Custody Banks, Mid-Cap).

U.S. Equity Strategy: Upgrading Utilities; Downgrading Manufacturing

United States

Leggett & Platt, Incorporated manufactures a wide range of engineered products. The Company's products include components for bedding, furniture, and other residential furnishings, as well as office and institutional furnishings components, retail store fixtures, and displays, specialty wire products, and automotive seating suspension and lumbar systems.

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Leggett & Platt (LEG US)

S&P500 Rebalance Recap - Strange Path Ends As Expected.

S&P500 Rebalance Recap - performance ends as expected with unexpected path to last day. Volumes largely as tracking amounts would predict. The next...

Travis Lundy

S&P500 Rebalance for December 2021 - Rearranging the Deckchairs

The S&P announced its changes to the S&P500, S&P Midcap 400, and S&P Small 600 Indices. All names moving in and out of these indices are coming...

Travis Lundy

S&P500 Index Rebalance: Migrations Across the Indices

There are 3 migrations from the S&P400 to the S&P500 and vice versa and another 3 migrations from the S&P600 to the S&400 and vice versa. The one...

Brian Freitas

Man Wah Placement - Riding High on Planned Store Expansion

Man Wah Holdings (1999 HK) plans to raise around US$260m to expand manufacturing facilities in China and open new stores. The stock has nearly...

Sumeet Singh

U.S. Equity Strategy: Upgrading Utilities; Downgrading Manufacturing

The U.S. market continues to flash mixed signals, most recently Utilities have shown a big climb in our relative strength rankings. Given mixed...

Vermilion Research

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