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>
<a href="https://www.smartkarma.com/entities/cromwell-property-group" target="_blank" data-smartkarma-citation="entities:2780:1" rel="noopener">Cromwell Property (CMW AU)</a> is a deletion from the MVIS Australia A-REITS Index at the close on 16 December.</li>
<li>Passive trackers will need to sell 13.9m shares (5 days ADV) of <a href="https://www.smartkarma.com/entities/cromwell-property-group" target="_blank" data-smartkarma-citation="entities:2780:1" rel="noopener">Cromwell Property (CMW AU)</a> and there appears to be little to no pre-positioning on the stock.</li>
<li>There are a few other stocks that will have over 0.5 days of ADV to buy from passive trackers.</li>
</ul>



Cromwell Property (CMW AU) is a deletion from the MVIS Australia A-REITS Index at the close on 16 December.
Passive trackers will need to sell 13.9m shares (5 days ADV) of Cromwell Property (CMW AU) and there appears to be little to no pre-positioning on the stock.
There are a few other stocks that will have over 0.5 days of ADV to buy from passive trackers.


MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

<ul>
<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> will replace <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> in the S&amp;P/ASX 50 Index, while <a href="https://www.smartkarma.com/entities/monadelphous-group-ltd" target="_blank" data-smartkarma-citation="entities:553:1" rel="noopener">Monadelphous (MND AU)</a> will replace <a href="https://www.smartkarma.com/entities/st-barbara-ltd" target="_blank" data-smartkarma-citation="entities:3764:1" rel="noopener">St Barbara Ltd (SBM 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</a>.</li>
<li>The largest impact from passive trading will be 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> while the largest flow will be on <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>. </li>
<li>There appears to be significant short positioning on <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> as cumulative excess volume and short interest continue to rise.</li>
</ul>



Pilbara Minerals (PLS AU) will replace Lendlease Group (LLC AU) in the S&amp;P/ASX 50 Index, while Monadelphous (MND AU) will replace St Barbara Ltd (SBM AU) in the S&amp;P/ASX 200.
The largest impact from passive trading will be on Monadelphous (MND AU) while the largest flow will be on Pilbara Minerals (PLS AU). 
There appears to be significant short positioning on Lendlease Group (LLC AU) as cumulative excess volume and short interest continue to rise.


S&P/​​​ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

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 index changes for the S&amp;P ASX Index family for the December 2022 Rebalance were announced after the close on Friday 2nd December 2022.</li>
<li>There will be one ADD/DEL for the ASX 50 index and one ADD/DEL for the ASX 200 index.</li>
<li>In this insight, we take a closer look at our expectations for index flows and potential trading ideas.</li>
</ul>


The index changes for the S&amp;P ASX Index family for the December 2022 Rebalance were announced after the close on Friday 2nd December 2022.
There will be one ADD/DEL for the ASX 50 index and one ADD/DEL for the ASX 200 index.
In this insight, we take a closer look at our expectations for index flows and potential trading ideas.


S&P ASX Dec 22 Rebalance: MND Is the Top Pick

<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>The 6-month reference period for the December 2022 Rebalance is now complete.</li>
<li>I do not see any changes for ASX 20 or ASX 100. I see one ADD/DEL for ASX 50 and three ADDs/DELs for ASX 200.</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.
The 6-month reference period for the December 2022 Rebalance is now complete.
I do not see any changes for ASX 20 or ASX 100. I see one ADD/DEL for ASX 50 and three ADDs/DELs for ASX 200.


S&P/​​​​​​​​ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

<ul>
<li>Volatile stock prices could mean one change for the S&amp;P/ASX 50 Index and one change 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> at the December rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/atlas-arteria-ltd" target="_blank" data-smartkarma-citation="entities:14430:1" rel="noopener">Atlas Arteria (ALX AU)</a> could replace <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> in the S&amp;P/ASX 50 Index, while <a href="https://www.smartkarma.com/entities/monadelphous-group-ltd" target="_blank" data-smartkarma-citation="entities:553:1" rel="noopener">Monadelphous (MND AU)</a> could replace <a href="https://www.smartkarma.com/entities/st-barbara-ltd" target="_blank" data-smartkarma-citation="entities:3764:1" rel="noopener">St Barbara Ltd (SBM 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</a>.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/st-barbara-ltd" target="_blank" data-smartkarma-citation="entities:3764:1" rel="noopener">St Barbara Ltd (SBM AU)</a> has spiked in the last few weeks and there could be short covering ahead of implementation of the changes.</li>
</ul>


Volatile stock prices could mean one change for the S&amp;P/ASX 50 Index and one change for the S&amp;P/ASX 200 (AS51 INDEX) at the December rebalance.

Atlas Arteria (ALX AU) could replace Lendlease Group (LLC AU) in the S&amp;P/ASX 50 Index, while Monadelphous (MND AU) could replace St Barbara Ltd (SBM AU) in the S&amp;P/ASX 200.
Short interest on St Barbara Ltd (SBM AU) has spiked in the last few weeks and there could be short covering ahead of implementation of the changes.


S&P/​​​​​​ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

Australia

Lendlease Group designs, develops, and manages property and infrastructure assets. The Company constructs apartments, commercial buildings, government offices, retirement living, and educational facilities. Lendlease serves customers worldwide.

Price Gauge
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Lendlease Group (LLC AU)

MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

Cromwell Property is a deletion from the MVIS Australia A-REIT Index. Passive trackers need to sell 13.9m shares (5.1x ADV) of CMW but short...

Brian Freitas

S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

PLS replaces LLC in the ASX50; MND replaces SBM in the ASX200. Largest impact on MND, largest flow on PLS. Lots of pre-positioning on LLC and SBM...

Brian Freitas

S&P ASX Dec 22 Rebalance: MND Is the Top Pick

ASX 200 ADD Monadelphous seems to be the most interesting name. There could be ~12 days of volume to buy and historically ASX 200 ADDs have...

Janaghan Jeyakumar, CFA

S&P/ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

Among the Expected DELs, St Barbara and Smartgroup have significant short buildup. The ASX 50 Expected ADDs/DELs are fairly low-impact names. But...

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

With 3 days left in the review period, we forecast one change each for the ASX50 & ASX200 indices. The largest impact of passive trading will be on...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

Cromwell Property is a deletion from the MVIS Australia A-REIT Index. Passive trackers need to sell 13.9m shares (5.1x ADV) of CMW but short...

Brian Freitas

S&P/​​​ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

PLS replaces LLC in the ASX50; MND replaces SBM in the ASX200. Largest impact on MND, largest flow on PLS. Lots of pre-positioning on LLC and SBM...

Brian Freitas

S&P ASX Dec 22 Rebalance: MND Is the Top Pick

ASX 200 ADD Monadelphous seems to be the most interesting name. There could be ~12 days of volume to buy and historically ASX 200 ADDs have...

Janaghan Jeyakumar, CFA

S&P/​​​​​​​​ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

Among the Expected DELs, St Barbara and Smartgroup have significant short buildup. The ASX 50 Expected ADDs/DELs are fairly low-impact names. But...

Janaghan Jeyakumar, CFA

S&P/​​​​​​ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

With 3 days left in the review period, we forecast one change each for the ASX50 & ASX200 indices. The largest impact of passive trading will be on...

Brian Freitas

S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

S&P/ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

S&P/ASX Index Rebalance Preview: Shrinking Number of Changes in Dec