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>As expected, there are no adds or deletes for the MVIS Global Rare Earth/Strategic Metals Index at the December rebalance.</li>
<li>There are free float and capping changes that will be implemented at the close on 16 December.</li>
<li>One way turnover is estimated at 4.26% and will result in a one-way trade of US$31.5m.</li>
</ul>


As expected, there are no adds or deletes for the MVIS Global Rare Earth/Strategic Metals Index at the December rebalance.
There are free float and capping changes that will be implemented at the close on 16 December.
One way turnover is estimated at 4.26% and will result in a one-way trade of US$31.5m.


MVIS Global Rare Earth/​​Strategic Metals Index Rebalance: Float & Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a> will replace <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> in the S&amp;P/ASX 50 Index, while <a href="https://www.smartkarma.com/entities/monadelphous-group-ltd" target="_blank" data-smartkarma-citation="entities:553:1" rel="noopener">Monadelphous (MND AU)</a> will replace <a href="https://www.smartkarma.com/entities/st-barbara-ltd" target="_blank" data-smartkarma-citation="entities:3764:1" rel="noopener">St Barbara Ltd (SBM AU)</a> in the <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</a>.</li>
<li>The largest impact from passive trading will be on <a href="https://www.smartkarma.com/entities/monadelphous-group-ltd" target="_blank" data-smartkarma-citation="entities:553:1" rel="noopener">Monadelphous (MND AU)</a> while the largest flow will be on <a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a>. </li>
<li>There appears to be significant short positioning on <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> as cumulative excess volume and short interest continue to rise.</li>
</ul>



Pilbara Minerals (PLS AU) will replace Lendlease Group (LLC AU) in the S&amp;P/ASX 50 Index, while Monadelphous (MND AU) will replace St Barbara Ltd (SBM AU) in the S&amp;P/ASX 200.
The largest impact from passive trading will be on Monadelphous (MND AU) while the largest flow will be on Pilbara Minerals (PLS AU). 
There appears to be significant short positioning on Lendlease Group (LLC AU) as cumulative excess volume and short interest continue to rise.


S&P/​​​ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The index changes for the S&amp;P ASX Index family for the December 2022 Rebalance were announced after the close on Friday 2nd December 2022.</li>
<li>There will be one ADD/DEL for the ASX 50 index and one ADD/DEL for the ASX 200 index.</li>
<li>In this insight, we take a closer look at our expectations for index flows and potential trading ideas.</li>
</ul>


The index changes for the S&amp;P ASX Index family for the December 2022 Rebalance were announced after the close on Friday 2nd December 2022.
There will be one ADD/DEL for the ASX 50 index and one ADD/DEL for the ASX 200 index.
In this insight, we take a closer look at our expectations for index flows and potential trading ideas.


S&P ASX Dec 22 Rebalance: MND Is the Top Pick

<ul>
<li>In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.</li>
<li>The 6-month reference period for the December 2022 Rebalance is now complete.</li>
<li>I do not see any changes for ASX 20 or ASX 100. I see one ADD/DEL for ASX 50 and three ADDs/DELs for ASX 200.</li>
</ul>


In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.
The 6-month reference period for the December 2022 Rebalance is now complete.
I do not see any changes for ASX 20 or ASX 100. I see one ADD/DEL for ASX 50 and three ADDs/DELs for ASX 200.


S&P/​​​​​​​​ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

<ul>
<li>A Brookfield/MidOcean consortium has made a conditional, non-binding, indicative proposal to acquire 100% of the shares in <a href="https://www.smartkarma.com/entities/origin-energy-ltd" target="_blank" data-smartkarma-citation="entities:797:1" rel="noopener">Origin Energy (ORG AU)</a> at A$9/share in cash.</li>
<li>The offer values <a href="https://www.smartkarma.com/entities/origin-energy-ltd" target="_blank" data-smartkarma-citation="entities:797:1" rel="noopener">Origin Energy (ORG AU)</a>'s equity at A$15.5bn and is a 54.9% premium to the last close. The premium is over 50% even using longer term VWAPs.</li>
<li>There will be changes to the S&amp;P/ASX family of indices to maintain the number of index members. We will know more once an indicative timeline is published.</li>
</ul>


A Brookfield/MidOcean consortium has made a conditional, non-binding, indicative proposal to acquire 100% of the shares in Origin Energy (ORG AU) at A$9/share in cash.
The offer values Origin Energy (ORG AU)'s equity at A$15.5bn and is a 54.9% premium to the last close. The premium is over 50% even using longer term VWAPs.
There will be changes to the S&amp;P/ASX family of indices to maintain the number of index members. We will know more once an indicative timeline is published.


Origin Energy (ORG AU): Indicative Proposal from Brookfield & MidOcean; Index Implications

Australia

Pilbara Minerals Ltd. is a mineral exploration company. The Company owns mineral tenements in the west Pilbara region of Western Australia where it explores for iron ore, gold and base metals, particularly copper and nickel.

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Pilbara Minerals (PLS AU)

MVIS Global Rare Earth/Strategic Metals Index Rebalance: Float & Capping Changes

No adds/deletes for REMX in December. Free float and capping changes will be implemented at the close on 16 December resulting in one-way turnover...

Brian Freitas

S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

PLS replaces LLC in the ASX50; MND replaces SBM in the ASX200. Largest impact on MND, largest flow on PLS. Lots of pre-positioning on LLC and SBM...

Brian Freitas

S&P ASX Dec 22 Rebalance: MND Is the Top Pick

ASX 200 ADD Monadelphous seems to be the most interesting name. There could be ~12 days of volume to buy and historically ASX 200 ADDs have...

Janaghan Jeyakumar, CFA

S&P/ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

Among the Expected DELs, St Barbara and Smartgroup have significant short buildup. The ASX 50 Expected ADDs/DELs are fairly low-impact names. But...

Janaghan Jeyakumar, CFA

Origin Energy (ORG AU): Indicative Proposal from Brookfield & MidOcean; Index Implications

A Brookfield/MidOcean consortium has made an NBIO for Origin at A$9/share, a 54.9% premium to last. There is a high probability of this going...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

MVIS Global Rare Earth/​​Strategic Metals Index Rebalance: Float & Capping Changes

No adds/deletes for REMX in December. Free float and capping changes will be implemented at the close on 16 December resulting in one-way turnover...

Brian Freitas

S&P/​​​ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

PLS replaces LLC in the ASX50; MND replaces SBM in the ASX200. Largest impact on MND, largest flow on PLS. Lots of pre-positioning on LLC and SBM...

Brian Freitas

S&P ASX Dec 22 Rebalance: MND Is the Top Pick

ASX 200 ADD Monadelphous seems to be the most interesting name. There could be ~12 days of volume to buy and historically ASX 200 ADDs have...

Janaghan Jeyakumar, CFA

S&P/​​​​​​​​ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

Among the Expected DELs, St Barbara and Smartgroup have significant short buildup. The ASX 50 Expected ADDs/DELs are fairly low-impact names. But...

Janaghan Jeyakumar, CFA

Origin Energy (ORG AU): Indicative Proposal from Brookfield & MidOcean; Index Implications

A Brookfield/MidOcean consortium has made an NBIO for Origin at A$9/share, a 54.9% premium to last. There is a high probability of this going...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance: Float & Capping Changes

S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year

S&P/ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!