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/saigon-thuong-tin-commercial" target="_blank" data-smartkarma-citation="entities:650:1" rel="noopener">Saigon Thuong Tin Commercial (STB VN)</a> will be deleted from the MVIS Vietnam Index at the close of trading on 17 March.</li>
<li>One-Way turnover is 4.2% and the one-way trade is US$21m. There are two stocks where passive trackers need to buy over 1 day of ADV.</li>
<li>There have been big inflows to the <a href="https://www.smartkarma.com/entities/market-vectors-vietnam-etf" target="_blank" data-smartkarma-citation="entities:648:1" rel="noopener">Market Vectors Vietnam ETF (VNM US)</a> over the last three months as the index has traded near its lows.</li>
</ul>



Saigon Thuong Tin Commercial (STB VN) will be deleted from the MVIS Vietnam Index at the close of trading on 17 March.
One-Way turnover is 4.2% and the one-way trade is US$21m. There are two stocks where passive trackers need to buy over 1 day of ADV.
There have been big inflows to the Market Vectors Vietnam ETF (VNM US) over the last three months as the index has traded near its lows.


MVIS Vietnam Index Rebalance: One Deletion; Float & Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hagl-jsc" target="_blank" data-smartkarma-citation="entities:6632:1" rel="noopener">Hagl Jsc (HAG VN)</a> is an inclusion while An Phat Holdings (APH VN) and CEO Group (CEO VN) are deletes from the MVIS Vietnam Index at the September rebalance.</li>
<li>There are a lot of float and capping changes that will result in one-way turnover of 12% and a one-way trade of US$45m.</li>
<li>There are a lot of stocks that have over 1 day of ADV to trade and there could be opportunities to enter/exit positions on a move in the stocks.</li>
</ul>



Hagl Jsc (HAG VN) is an inclusion while An Phat Holdings (APH VN) and CEO Group (CEO VN) are deletes from the MVIS Vietnam Index at the September rebalance.
There are a lot of float and capping changes that will result in one-way turnover of 12% and a one-way trade of US$45m.
There are a lot of stocks that have over 1 day of ADV to trade and there could be opportunities to enter/exit positions on a move in the stocks.


MVIS Vietnam Index Rebalance: One Add, Two Deletes

<ul>
<li>There are 2 additions and 1 deletion for the MVIS Vietnam Index at the upcoming rebalance at the close on 17 June. Plus capping and float changes.</li>
<li>The adds are <a href="https://www.smartkarma.com/entities/saigon-hanoi-commercial" target="_blank" data-smartkarma-citation="entities:17575:1" rel="noopener">Saigon - Hanoi Commercial (SHB VN)</a> and <a href="https://www.smartkarma.com/entities/viet-nam-construction-impo" target="_blank" data-smartkarma-citation="entities:17309:1" rel="noopener">Viet Nam Construction &amp; Impo (VCG VN)</a>, while Tien Phong Securities (ORS VN) is the deletion.</li>
<li>The largest passive outflows are on <a href="https://www.smartkarma.com/entities/vingroup-jsc" target="_blank" data-smartkarma-citation="entities:13213:1" rel="noopener">Vingroup Jsc (VIC VN)</a>, <a href="https://www.smartkarma.com/entities/feng-tay-enterprise-co-ltd" target="_blank" data-smartkarma-citation="entities:18329:1" rel="noopener">Feng Tay Enterprise (9910 TT)</a> and <a href="https://www.smartkarma.com/entities/eclat-textile-company-ltd" target="_blank" data-smartkarma-citation="entities:13209:1" rel="noopener">Eclat Textile Company (1476 TT)</a>. </li>
</ul>


There are 2 additions and 1 deletion for the MVIS Vietnam Index at the upcoming rebalance at the close on 17 June. Plus capping and float changes.
The adds are Saigon - Hanoi Commercial (SHB VN) and Viet Nam Construction &amp; Impo (VCG VN), while Tien Phong Securities (ORS VN) is the deletion.
The largest passive outflows are on Vingroup Jsc (VIC VN), Feng Tay Enterprise (9910 TT) and Eclat Textile Company (1476 TT). 


MVIS Vietnam Index Rebalance: Two Adds, One Delete, Capping & Float Changes

Cross-Asset Strategist & Quantitative Analyst, Pennock Idea Hub

Cam Hui

Cross-Asset Strategist & Quantitative Analyst

Pennock Idea Hub

We are creators of independent equity research. The Pennock Idea Hub team are veterans of the investment industry. Much of our team has spent their careers at Merrill Lynch, Deutsche Bank, RBC Capital Markets and Wood Gundy. We have taken every aspect of research back to the studs and returned to first principles. The Pennock Idea Hub marries the interests of the sell and buy side. 

We offer the best research for institutional investors by:

-Only publishing research from veteran analysts
-Eliminate the inherent conflicts of the traditional sell and buy side relationship
-Ensure our team is always accessible; collaboration with clients nurtures our collective success

Cross-Asset & Quantitative Research

Cross Asset Strategy

<ul>
<li>We recently suggested a number of long/short pair trades, with inflation hedge vehicles forming the long portion of a number of pairs.</li>
<li>Inflation hedge factors have begun to underperform, and the subsequent performance of the pairs is revealing of the factors driving the current market environment.</li>
<li>We are inclined to give the long inflation hedge pairs the benefit of the doubt. They are being sold along in a panic liquidation where all correlations converge to 1.</li>
</ul>


We recently suggested a number of long/short pair trades, with inflation hedge vehicles forming the long portion of a number of pairs.
Inflation hedge factors have begun to underperform, and the subsequent performance of the pairs is revealing of the factors driving the current market environment.
We are inclined to give the long inflation hedge pairs the benefit of the doubt. They are being sold along in a panic liquidation where all correlations converge to 1.


Pairs Monitor: Are Correlations Converging to 1?

<ul>
<li>The U.S. equity market outlook is undergoing an unusual bifurcated condition.</li>
<li>Intermediate-Term technical indicators remain bearish but survey-based sentiment indicates crowded short conditions, which is contrarian bullish. </li>
<li>As long as our pairs trading factors remain in uptrends, we are inclined to remain cautious on the equity outlook.</li>
</ul>


The U.S. equity market outlook is undergoing an unusual bifurcated condition.
Intermediate-Term technical indicators remain bearish but survey-based sentiment indicates crowded short conditions, which is contrarian bullish. 
As long as our pairs trading factors remain in uptrends, we are inclined to remain cautious on the equity outlook.


The Canaries in the Bifurcated Market Coalmine

Vietnam

Market Vectors Vietnam ETF is an exchange traded fund incorporated in the USA. The Fund's objective is to replicate as closely as possible the price and yield performance of the Market Vectors Vietnam Index. The Fund invests at least 80% of its total assets in securities that comprise the Fund's benchmark index.

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Market Vectors Vietnam ETF (VNM US)

MVIS Vietnam Index Rebalance: One Deletion; Float & Capping Changes

There is one deletion from the index, plus a bunch of changes to float and capping factors. One-way turnover is 4.2% and passives need to buy over...

Brian Freitas

MVIS Vietnam Index Rebalance: One Add, Two Deletes

There is 1 addition and 2 deletions for the MVIS Vietnam Index. There are a lot of float and capping changes that will result in one-way turnover...

Brian Freitas

MVIS Vietnam Index Rebalance: Two Adds, One Delete, Capping & Float Changes

There are 2 adds, 1 delete, float and capping changes for the MVIS Vietnam Index to be implemented at the close on 17 June. One-way turnover is...

Brian Freitas

Pairs Monitor: Are Correlations Converging to 1?

Give long inflation hedge pairs the benefit of the doubt. In all likelihood, they are being sold along with other equity positions in a panic...

Cam Hui

The Canaries in the Bifurcated Market Coalmine

Intermediate technical indicators remain bearish but survey-based sentiment indicates crowded short conditions. Stay cautious as long as our pairs...

Cam Hui

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)