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>There should be one deletion from the index in September. And there could be another deletion. And there will be capping changes for a few stocks.</li>
<li>The index changes will lead to a one-way turnover of 2.12% resulting in a one-way trade of A$13m. There is only one stock with over A$5m to trade.</li>
<li>Following the spinoff, <a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> and <a href="https://www.smartkarma.com/entities/abacus-storage-king" target="_blank" data-smartkarma-citation="entities:39857:1" rel="noopener">Abacus Storage King (ASK AU)</a> will be the lowest ranked index constituents and at risk of deletion from the index.</li>
</ul>


There should be one deletion from the index in September. And there could be another deletion. And there will be capping changes for a few stocks.
The index changes will lead to a one-way turnover of 2.12% resulting in a one-way trade of A$13m. There is only one stock with over A$5m to trade.
Following the spinoff, Abacus Group (ABG AU) and Abacus Storage King (ASK AU) will be the lowest ranked index constituents and at risk of deletion from the index.


MVIS Australia A-REITs Index Rebalance Preview: One Delete, One Close Delete & Capping

<ul>
<li>The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 16 June. There are no constituent changes, but there are float and capping changes.</li>
<li>Estimated one-way turnover at the rebalance is 2.7% resulting in a one-way trade of A$16.6m. There is limited impact on the index constituents.</li>
<li>The largest inflows are on <a href="https://www.smartkarma.com/entities/scentre-group" target="_blank" data-smartkarma-citation="entities:9538:1" rel="noopener">Scentre Group</a>, <a href="https://www.smartkarma.com/entities/homeco-daily-needs-reit" target="_blank" data-smartkarma-citation="entities:33526:1" rel="noopener">HomeCo Daily Needs REIT</a> and <a href="https://www.smartkarma.com/entities/shopping-centres-australasia" target="_blank" data-smartkarma-citation="entities:20100:1" rel="noopener">Region Re</a>, while the largest outflows are on <a href="https://www.smartkarma.com/entities/stockland" target="_blank" data-smartkarma-citation="entities:661:1" rel="noopener">Stockland</a>, <a href="https://www.smartkarma.com/entities/mirvac-group" target="_blank" data-smartkarma-citation="entities:20681:1" rel="noopener">Mirvac Group</a>, <a href="https://www.smartkarma.com/entities/dexus" target="_blank" data-smartkarma-citation="entities:403:1" rel="noopener">Dexus Property</a> and <a href="https://www.smartkarma.com/entities/goodman-group" target="_blank" data-smartkarma-citation="entities:959:1" rel="noopener">Goodman Group</a>.</li>
</ul>


The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 16 June. There are no constituent changes, but there are float and capping changes.
Estimated one-way turnover at the rebalance is 2.7% resulting in a one-way trade of A$16.6m. There is limited impact on the index constituents.
The largest inflows are on Scentre Group, HomeCo Daily Needs REIT and Region Re, while the largest outflows are on Stockland, Mirvac Group, Dexus Property and Goodman Group.


MVIS Australia A-REITs Index Rebalance: Float & Capping Changes

<ul>
<li>We do not expect any constituent changes in June (that could change though!). The only flows are likely to be from capping the constituents at 10% of the index weight.</li>
<li>Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m. There are two stocks with over A$5m to trade.</li>
<li>
<a href="https://www.smartkarma.com/entities/stockland" target="_blank" data-smartkarma-citation="entities:661:1" rel="noopener">Stockland (SGP AU)</a> will be the most affected stock with passive trackers needing to sell over 1 day of ADV. The stock has run up and shorts are increasing.</li>
</ul>


We do not expect any constituent changes in June (that could change though!). The only flows are likely to be from capping the constituents at 10% of the index weight.
Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m. There are two stocks with over A$5m to trade.

Stockland (SGP AU) will be the most affected stock with passive trackers needing to sell over 1 day of ADV. The stock has run up and shorts are increasing.


MVIS Australia A-REITs Index Rebalance Preview: Capping Changes & Flows

<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

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

<p>The Hang Seng, EURO STOXX 50, MSCI ACWI ex-US, and MSCI EAFE display bearish short-term inflections. Additionally, 10-year yields in the US and Germany are breaking down below key support. These deteriorating market dynamics raise concerns of a deeper pullback, however other indicators remain largely positive. As a result, we continue to see a mixed, but overall constructive market. Actionable themes highlighted in today's report include Health Care and Real Estate.</p>

The Hang Seng, EURO STOXX 50, MSCI ACWI ex-US, and MSCI EAFE display bearish short-term inflections. Additionally, 10-year yields in the US and Germany are breaking down below key support. These deteriorating market dynamics raise concerns of a deeper pullback, however other indicators remain largely positive. As a result, we continue to see a mixed, but overall constructive market. Actionable themes highlighted in today's report include Health Care and Real Estate.

Global Equity Strategy: Mixed Market Environment Continues As Yields Break Down

Australia

Mirvac Group is an integrated, diversified Australian property group comprising an investment portfolio and a development business. The Company's investment portfolio, Mirvac Property Trust, invests in and manages office, retail and industrial assets and the development business has exposure to both residential and commercial projects.

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Mirvac Group (MGR AU)

MVIS Australia A-REITs Index Rebalance Preview: One Delete, One Close Delete & Capping

There should be one deletion, could be another deletion, and some capping changes. One-way turnover is 2.12% resulting in a one-way trade of A$13m....

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Float & Capping Changes

There are no constituent changes in June but there are float & capping changes. Estimated one-way turnover at the rebalance is 2.7% resulting in a...

Brian Freitas

MVIS Australia A-REITs Index Rebalance Preview: Capping Changes & Flows

We do not see any constituent changes in June. Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m....

Brian Freitas

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

Global Equity Strategy: Mixed Market Environment Continues As Yields Break Down

The Hang Seng, EURO STOXX 50, MSCI ACWI ex-US, and MSCI EAFE display bearish short-term inflections and 10-year yields in the US and Germany are...

Vermilion Research

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