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 were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

<ul>
<li>
<a href="https://www.smartkarma.com/entities/gentrack-group-ltd" target="_blank" data-smartkarma-citation="entities:2752:1" rel="noopener">Gentrack (GTK NZ)</a> and <a href="https://www.smartkarma.com/entities/dorchester-pacific-ltd" target="_blank" data-smartkarma-citation="entities:1854:1" rel="noopener">Turners Automotive (TRA NZ)</a> will be added to the S&amp;P/NZX 50 Index while <a href="https://www.smartkarma.com/entities/synlait-milk-ltd" target="_blank" data-smartkarma-citation="entities:16298:1" rel="noopener">Synlait Milk (SML NZ)</a> and <a href="https://www.smartkarma.com/entities/pacific-edge-ltd" target="_blank" data-smartkarma-citation="entities:20261:1" rel="noopener">Pacific Edge (PEB NZ)</a> will be deleted.</li>
<li>There is a lot to trade on the stocks. The impact in terms of days of ADV appears high but historically there has been volume on implementation date.</li>
<li>The adds have jumped recently and there will be pre-positioning on the stocks. Not so much on the deletes.</li>
</ul>



Gentrack (GTK NZ) and Turners Automotive (TRA NZ) will be added to the S&amp;P/NZX 50 Index while Synlait Milk (SML NZ) and Pacific Edge (PEB NZ) will be deleted.
There is a lot to trade on the stocks. The impact in terms of days of ADV appears high but historically there has been volume on implementation date.
The adds have jumped recently and there will be pre-positioning on the stocks. Not so much on the deletes.


S&P/NZX 50 Index Rebalance: Two High Impact Changes Coming Up

New Zealand Professional Investment Services Firm, Forsyth Barr

Forsyth Barr

New Zealand Professional Investment Services Firm

We are proud to be a New Zealand owned firm, with 21 offices throughout the country and over 300 employees. We assist personal, institutional and corporate clients providing a full range of investment services.

Forsyth Barr is a foundation New Zealand Exchange firm (NZX) and accredited market participant. We have been confirmed by the Financial Markets Authority as a Qualifying Financial Entity (QFE).

Research is the cornerstone of our advice. We have one of New Zealand's leading teams of analysts. Our global affiliations ensure comprehensive research coverage of all major investment markets.

Equity Bottom-Up

<ul><li>The implementation of LCD, L35396 “Genetic Testing for Oncology” that would have resulted in Pacific Edge’s (PEB) CMS reimbursement ceasing on 17 July 2023 has been delayed</li><li>In the interim, PEB will continue to be reimbursed for its CMS tests (~77% of FY23 operating revenue) which is a clear near-term positive against prior expectations of a significant revenue reduction and business disruption (where the future reimbursement path was highly uncertain and potentially multiple years away).</li><li>Future decision timeframes are unknown and this decision does not mean the finalised LCD will be discontinued.</li></ul>

The implementation of LCD, L35396 “Genetic Testing for Oncology” that would have resulted in Pacific Edge’s (PEB) CMS reimbursement ceasing on 17 July 2023 has been delayedIn the interim, PEB will continue to be reimbursed for its CMS tests (~77% of FY23 operating revenue) which is a clear near-term positive against prior expectations of a significant revenue reduction and business disruption (where the future reimbursement path was highly uncertain and potentially multiple years away).Future decision timeframes are unknown and this decision does not mean the finalised LCD will be discontinued.

Pacific Edge (PEB): LCD Update – Signs of Life

<ul><li>Pacific Edge's (PEB) CMS reimbursement will cease effective 17 July 2023. Materiality is very high — our prior base case assumed CMS would represent ~70% of group revenue in FY24, ~60% in FY25, and ~50% thereafter.</li><li>Upon further details from the company, how CMS coverage returns and the timing of it remains highly uncertain — our impression is it will be multiple years away (but we acknowledge there is a range of outcomes).</li><li>Our rating is now NEUTRAL having been UNDER REVIEW and we introduce a probability weighted valuation framework (based off three scenarios) with a target price of NZ$0.16.</li></ul>

Pacific Edge's (PEB) CMS reimbursement will cease effective 17 July 2023. Materiality is very high — our prior base case assumed CMS would represent ~70% of group revenue in FY24, ~60% in FY25, and ~50% thereafter.Upon further details from the company, how CMS coverage returns and the timing of it remains highly uncertain — our impression is it will be multiple years away (but we acknowledge there is a range of outcomes).Our rating is now NEUTRAL having been UNDER REVIEW and we introduce a probability weighted valuation framework (based off three scenarios) with a target price of NZ$0.16.

<ul><li>LCD finalisation confirmed by PEB: Refer our recent research for more detail here.</li><li>Materiality is high: PEB disclosed that CMS represented ~NZ$15.3m of revenue in FY23 (13,800 commercial tests) – this is consistent with our estimate of NZ$15.6m and represents ~66% of FY23 revenue excluding interest income and currency. </li><li>PEB will undertake cost-out initiatives: This is no surprise and consistent with our expectations. </li></ul>

LCD finalisation confirmed by PEB: Refer our recent research for more detail here.Materiality is high: PEB disclosed that CMS represented ~NZ$15.3m of revenue in FY23 (13,800 commercial tests) – this is consistent with our estimate of NZ$15.6m and represents ~66% of FY23 revenue excluding interest income and currency. PEB will undertake cost-out initiatives: This is no surprise and consistent with our expectations. 

Pacific Edge (PEB): Medicare Response − Bad News Confirmed

New Zealand

Pacific Edge Ltd is a biomedical company specialising in the discovery and commercialisation of diagnostic and prognostic technology for the early detection and monitoring of cancer. The Company has completed successful trials in bladder cancer detection and colorectal cancer prognosis.

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Pacific Edge (PEB NZ)

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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

Brian Freitas

S&P/NZX 50 Index Rebalance: Two High Impact Changes Coming Up

As expected, Gentrack and Turners Auto will replace Synlait Milk and Pacific Edge in the NZX50 Index. The adds have jumped recently and there...

Brian Freitas

Pacific Edge (PEB): LCD Update – Signs of Life

The implementation of LCD, L35396 “Genetic Testing for Oncology” that would have resulted in Pacific Edge’s (PEB) CMS reimbursement ceasing on 17...

Forsyth Barr

Pacific Edge: CMiSery

Pacific Edge's (PEB) CMS reimbursement will cease effective 17 July 2023. Materiality is very high — our prior base case assumed CMS would...

Forsyth Barr

Pacific Edge (PEB): Medicare Response − Bad News Confirmed

Pacific Edge (PEB) has confirmed the finalisation of Novitas' Local Coverage Determination (LCD); Its response to the market this morning dit not...

Forsyth Barr

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