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>An ad hoc <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> rebalance will be implemented at the close on 17 October with <a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light &amp; Wonder (LNW AU)</a> replacing <a href="https://www.smartkarma.com/entities/united-malt-group-ltd" target="_blank" data-smartkarma-citation="entities:29116:1" rel="noopener">United Malt Group Ltd (UMG AU)</a>. </li>
<li>The rebalances of <a href="https://www.smartkarma.com/entities/wisdomtree-emerging-markets-146edc02-f8a5-4ac5-968b-5f0f7c89e476" target="_blank" data-smartkarma-citation="entities:32683:1" rel="noopener">Wisdomtree Emerging Markets (DEM US)</a>, <a href="https://www.smartkarma.com/entities/wisdomtree-em-small-cap" target="_blank" data-smartkarma-citation="entities:32679:1" rel="noopener">Wisdomtree Em Small Cap (DGS US)</a> and <a href="https://www.smartkarma.com/entities/wisdmtree-emerg-mkt-ex-st-ow" target="_blank" data-smartkarma-citation="entities:32798:1" rel="noopener">Wisdmtree Emerg Mkt Ex-St Ow (XSOE US)</a> will be implemented on 18 October.</li>
<li>There were net outflows from onshore China ETFs with inflows to larger cap ETFs and outflows mainly from the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> and CSI 1000 Index trackers.</li>
</ul>


An ad hoc S&amp;P/ASX 200 (AS51 INDEX) rebalance will be implemented at the close on 17 October with Light &amp; Wonder (LNW AU) replacing United Malt Group Ltd (UMG AU). 
The rebalances of Wisdomtree Emerging Markets (DEM US), Wisdomtree Em Small Cap (DGS US) and Wisdmtree Emerg Mkt Ex-St Ow (XSOE US) will be implemented on 18 October.
There were net outflows from onshore China ETFs with inflows to larger cap ETFs and outflows mainly from the CSI Smallcap 500 Index and CSI 1000 Index trackers.


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

<ul>
<li>At the October rebalance, Free Float Weight (FFW) will be reduced on 284 stocks and increased on 458 stocks. 43 stocks will be removed from Phased Weight Reduction.</li>
<li>Estimated one-way turnover is 1.77% resulting in a one-way trade of ¥1.45tn. 364 stocks have over 4 days ADV to trade, 97 stocks have over 8 days ADV to trade.</li>
<li>Over the last 6 months, the stocks with inflows (&gt;US$25m) have outperformed the stocks with outflows (&gt;US$25m) with most of the outperformance coming in the last three months.</li>
</ul>


At the October rebalance, Free Float Weight (FFW) will be reduced on 284 stocks and increased on 458 stocks. 43 stocks will be removed from Phased Weight Reduction.
Estimated one-way turnover is 1.77% resulting in a one-way trade of ¥1.45tn. 364 stocks have over 4 days ADV to trade, 97 stocks have over 8 days ADV to trade.
Over the last 6 months, the stocks with inflows (&gt;US$25m) have outperformed the stocks with outflows (&gt;US$25m) with most of the outperformance coming in the last three months.


TOPIX October 2023 Rebalance: Round Trip Trade of US$20bn; Upweights Outperform Downweights

Japan Specialist

Mark Chadwick

Thematic (Sector/Industry)

<ul>
<li>OVERSEAS: Dow Jones falls 0.2%, Yields surge ahead of Friday Jobs report, Nvidia up almost 3%</li>
<li>JAPAN: Nikkei futures -0.5% vs cash. Tankan (business sentiment) improved in the third quarter, particularly among big non-manufacturers, reaching levels not seen since 1991</li>
<li>JAPAN X: Three Japanese Shipping Giants join Hydrogen Supply Chain. Japan is well on its way to achieving its hydrogen targets</li>
</ul>


OVERSEAS: Dow Jones falls 0.2%, Yields surge ahead of Friday Jobs report, Nvidia up almost 3%
JAPAN: Nikkei futures -0.5% vs cash. Tankan (business sentiment) improved in the third quarter, particularly among big non-manufacturers, reaching levels not seen since 1991
JAPAN X: Three Japanese Shipping Giants join Hydrogen Supply Chain. Japan is well on its way to achieving its hydrogen targets


Ohayo Japan: US Big Tech Higher; Shipping Giants Join Hydrogen Supply Chain

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

EURO STOXX 50 Price EUR / Technical Analysis

<ul>
<li>Key support levels on global equity indexes (EURO STOXX 50, $ACWX, $EFA) are beginning to break as the U.S. dollar (DXY) and 10-year Treasury yield break above $105.70 and 4.35%.</li>
<li>This significantly increases the odds of a break below major $92-$93 support on $ACWI, and we would shift to a more cautious outlook only on a break below $92.</li>
<li>We shifted to overweight value within non-U.S. equities last week, and we are now also shifting to overweight small-caps within non-U.S. equities as well. Buys in Transportation, Communications, and HealthCare</li>
</ul>


Key support levels on global equity indexes (EURO STOXX 50, $ACWX, $EFA) are beginning to break as the U.S. dollar (DXY) and 10-year Treasury yield break above $105.70 and 4.35%.
This significantly increases the odds of a break below major $92-$93 support on $ACWI, and we would shift to a more cautious outlook only on a break below $92.
We shifted to overweight value within non-U.S. equities last week, and we are now also shifting to overweight small-caps within non-U.S. equities as well. Buys in Transportation, Communications, and HealthCare


Supports Starting to Break; Upgrading Non-U.S. Small-Caps to Overweight; Transports/Comm/HC Buys

Asian Equities Analyst, Logistics & Transport, Tracking Traffic

Daniel Hellberg

Asian Equities Analyst, Logistics & Transport

Tracking Traffic

Focusing on Asian logistics, transportation, and travel companies

Equity Bottom-Up

<ul>
<li>
Yes, carrier margins and returns in Q2/H1 plunged dramatically compared to 2022</li>
<li>
Yes, carrier margins and returns in Q2/H1 were quite good by historical standards</li>
<li>In this insight we provide context to help readers evaluate carrier performance in 2023</li>
</ul>



Yes, carrier margins and returns in Q2/H1 plunged dramatically compared to 2022

Yes, carrier margins and returns in Q2/H1 were quite good by historical standards
In this insight we provide context to help readers evaluate carrier performance in 2023


Evergreen Marine: 'H1 Earnings Plunged Dramatically Y/Y' | Also, 'H1 Earnings Were Pretty Damn Good'

Japan

Mitsui O.S.K. Lines, Ltd. provides marine transportation, warehousing, and cargo handling services.  The Company operates container ship, specialized carrier, oil tankers, and ferry.  Items transported include coal, iron ore, grain, logs, aluminum, cement, industrial salt, copper ore, wood chips, paper products, chemical products, gasoline and other petroleum products, LPG, and other cargoes.

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Mitsui O.S.K. Lines (9104 JP)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

TOPIX October 2023 Rebalance: Round Trip Trade of US$20bn; Upweights Outperform Downweights

There are FFW changes for 700+ stocks and changes to the Phased Weight Reduction list. Round trip trade is around US$20bn and there is over 8 days...

Brian Freitas

Ohayo Japan: US Big Tech Higher; Shipping Giants Join Hydrogen Supply Chain

Dow Jones drops, yields rise before Jobs report; Nikkei futures down; JapanX - Shipping majors join hydrogen supply chain.

Mark Chadwick

Supports Starting to Break; Upgrading Non-U.S. Small-Caps to Overweight; Transports/Comm/HC Buys

Support levels on global indexes (EURO STOXX 50, $ACWX, $EFA) beginning to break as $DXY and 10-year Treasury yield $TNX break above $105.70 and...

Vermilion Research

Evergreen Marine: 'H1 Earnings Plunged Dramatically Y/Y' | Also, 'H1 Earnings Were Pretty Damn Good'

Evergreen, Maersk, and ZIM have all reported H1 results. Yes, margins and returns were a fraction of what they were in 2021-22, but H123 earnings...

Tracking Traffic

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

TOPIX October 2023 Rebalance: Round Trip Trade of US$20bn; Upweights Outperform Downweights

There are FFW changes for 700+ stocks and changes to the Phased Weight Reduction list. Round trip trade is around US$20bn and there is over 8 days...

Brian Freitas

Ohayo Japan: US Big Tech Higher; Shipping Giants Join Hydrogen Supply Chain

​Dow Jones drops, yields rise before Jobs report; Nikkei futures down; JapanX - Shipping majors join hydrogen supply chain.

Mark Chadwick

Supports Starting to Break; Upgrading Non-U.S. Small-Caps to Overweight; Transports/Comm/HC Buys

Support levels on global indexes (EURO STOXX 50, $ACWX, $EFA) beginning to break as $DXY and 10-year Treasury yield $TNX break above $105.70 and...

Vermilion Research

Evergreen Marine: 'H1 Earnings Plunged Dramatically Y/Y' | Also, 'H1 Earnings Were Pretty Damn Good'

Evergreen, Maersk, and ZIM have all reported H1 results. Yes, margins and returns were a fraction of what they were in 2021-22, but H123 earnings...

Tracking Traffic

Dow Jones drops, yields rise before Jobs report; Nikkei futures down; JapanX - Shipping majors join hydrogen supply chain.