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>The changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a>, S&amp;P400 Index and S&amp;P600 Index will be announced after market close on Friday.</li>
<li>The conclusions of the market consultation to change the index weighting methodology for the Select Sector Indices to reduce concentration and avoid reverse turnover should also be announced.</li>
<li>Changes in the index weighting methodology will result in a round-trip trade of US$35bn across the Select Sector indices. The largest turnover is in the <a href="https://www.smartkarma.com/entities/consumer-staples-select-sector-spdr-fund" target="_blank" data-smartkarma-citation="entities:27536:1" rel="noopener">XLP</a> and <a href="https://www.smartkarma.com/entities/technology-select-sector-spdr" target="_blank" data-smartkarma-citation="entities:27543:1" rel="noopener">XLK</a>.</li>
</ul>


The changes to the S&amp;P 500 INDEX (SPX INDEX), S&amp;P400 Index and S&amp;P600 Index will be announced after market close on Friday.
The conclusions of the market consultation to change the index weighting methodology for the Select Sector Indices to reduce concentration and avoid reverse turnover should also be announced.
Changes in the index weighting methodology will result in a round-trip trade of US$35bn across the Select Sector indices. The largest turnover is in the XLP and XLK.


Select Sector Indices - Updated Flows as Round-Trip Trade Hits US$35bn

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

<ul>
<li>Large-Cap indexes (S&amp;P 500, Nasdaq 100, and DJI) remain bullish, all hitting new all-time highs last week while continuing to find short-term support at their respective 20-day MAs.</li>
<li>Mid-Caps (S&amp;P 400, Russell Mid-Cap) starting another leg higher following breakouts from 2-month consolidations. Small-caps (S&amp;P 600, Russell 2000) are likely to follow in the footsteps of large- and mid-caps.</li>
<li>Small-Cap indexes have been consolidating for 2.5 months following the historic rally from late-October to late-December 2023, a healthy sign. We expect they are gearing-up for another similar move higher.</li>
</ul>


Large-Cap indexes (S&amp;P 500, Nasdaq 100, and DJI) remain bullish, all hitting new all-time highs last week while continuing to find short-term support at their respective 20-day MAs.
Mid-Caps (S&amp;P 400, Russell Mid-Cap) starting another leg higher following breakouts from 2-month consolidations. Small-caps (S&amp;P 600, Russell 2000) are likely to follow in the footsteps of large- and mid-caps.
Small-Cap indexes have been consolidating for 2.5 months following the historic rally from late-October to late-December 2023, a healthy sign. We expect they are gearing-up for another similar move higher.


U.S. Dollar Rolling Over; Small-Caps to Follow Mid- And Large-Caps to New Highs; Buys in Cons. Disc.

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> and capping changes will result in a round-trip trade of US$17.7bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>There is over US$500m to trade in <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom (AVGO US)</a>, <a href="https://www.smartkarma.com/entities/tesla-inc" target="_blank" data-smartkarma-citation="entities:20279:1" rel="noopener">Tesla (TSLA US)</a>, <a href="https://www.smartkarma.com/entities/apollo-global-management-inc" target="_blank" data-smartkarma-citation="entities:28770:1" rel="noopener">Apollo Global Management (APO US)</a>, <a href="https://www.smartkarma.com/entities/amazon-com-inc" target="_blank" data-smartkarma-citation="entities:409:1" rel="noopener">Amazon.com Inc (AMZN US)</a> and <a href="https://www.smartkarma.com/entities/workday-inc-class-a" target="_blank" data-smartkarma-citation="entities:5660:1" rel="noopener">Workday Inc Class A (WDAY US)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom (AVGO US)</a> swings from a small net buy to a large net sell following the rally in the stock last week.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX and capping changes will result in a round-trip trade of US$17.7bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
There is over US$500m to trade in Broadcom (AVGO US), Tesla (TSLA US), Apollo Global Management (APO US), Amazon.com Inc (AMZN US) and Workday Inc Class A (WDAY US). 

Broadcom (AVGO US) swings from a small net buy to a large net sell following the rally in the stock last week.


Select Sector Indices and S&P Equal Weight Rebalance: US$17.7bn Round-Trip Trade Post Capping Cutoff

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> and capping changes will result in a round-trip trade of US$15.9bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>The Select Sector index trackers and <a href="https://www.smartkarma.com/entities/invesco-s-p-500-equal-weight-e" target="_blank" data-smartkarma-citation="entities:32932:1" rel="noopener">S&amp;P 500 Equal Weight</a> trackers will need to buy <a href="https://www.smartkarma.com/entities/apollo-global-management-inc" target="_blank" data-smartkarma-citation="entities:28770:1" rel="noopener">Apollo Global Management</a> and <a href="https://www.smartkarma.com/entities/workday-inc-class-a" target="_blank" data-smartkarma-citation="entities:5660:1" rel="noopener">Workday</a>, adding to the buying from <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> trackers.</li>
<li>The flows will change over the next week as stock prices move around and final capping is done after the close on 13 December.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX and capping changes will result in a round-trip trade of US$15.9bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
The Select Sector index trackers and S&amp;P 500 Equal Weight trackers will need to buy Apollo Global Management and Workday, adding to the buying from S&amp;P 500 INDEX trackers.
The flows will change over the next week as stock prices move around and final capping is done after the close on 13 December.


Select Sector Indices and S&P Equal Weight Rebalance: US$16bn Trade; More Buying for APO and WDAY

<ul>
<li>The S&amp;P 500 (SPX) is back to test YTD highs and important resistance in the 5670-5783 range. This is an important target/resistance area we have discussed for weeks.</li>
<li>Using the 2007 SPX topping analog suggests a 2% or less move above the prior all-time high set in July at 5670 before topping, which gives the 5783 number.</li>
<li>As long as SPX does not have a weekly close above 5783 we continue to recommend reducing risk and shifting to defensives,and this is the ideal time to do so.</li>
</ul>


The S&amp;P 500 (SPX) is back to test YTD highs and important resistance in the 5670-5783 range. This is an important target/resistance area we have discussed for weeks.
Using the 2007 SPX topping analog suggests a 2% or less move above the prior all-time high set in July at 5670 before topping, which gives the 5783 number.
As long as SPX does not have a weekly close above 5783 we continue to recommend reducing risk and shifting to defensives,and this is the ideal time to do so.


SPX Testing Resistance as Rate Cut Cycle Begins; SPX 5670-5783 Is Resistance, 2007 Analog on Track

United States

Materials Select Sector SPDR Trust is an exchange-traded fund incorporated in the USA.  The Fund's objective is to provide investment results that correspond to the performance of the Materials Select Sector Index.  The Index includes companies from the following industries: chemicals, construction materials, containers and packaging.

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Materials Select Sector SPDR (XLB US)

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Select Sector Indices and S&P Equal Weight Rebalance: US$16bn Trade; More Buying for APO and WDAY

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SPX Testing Resistance as Rate Cut Cycle Begins; SPX 5670-5783 Is Resistance, 2007 Analog on Track

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