Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Equity Capital Markets

<ul>
<li>The S&amp;P/ASX A-REIT 200 Index has returned -22% in FY22, underperforming the ASX 200 Index by ~17% basis points.</li>
<li>REIT performance is typically negatively correlated with bond yield movements, however, long-dated government bond yields <em>may</em> be approaching their peak.</li>
<li>The asset deflation bear market in FY22 has improved the REIT valuation. A basket of REITs is currently at 0.8x, versus the five-year average of 1.05x, and 1.1x pre-Covid. </li>
</ul>


The S&amp;P/ASX A-REIT 200 Index has returned -22% in FY22, underperforming the ASX 200 Index by ~17% basis points.
REIT performance is typically negatively correlated with bond yield movements, however, long-dated government bond yields may be approaching their peak.
The asset deflation bear market in FY22 has improved the REIT valuation. A basket of REITs is currently at 0.8x, versus the five-year average of 1.05x, and 1.1x pre-Covid. 


Australia REITs:  Asset Deflation Bear Market

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

Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/waypoint-reit" target="_blank" data-smartkarma-citation="entities:22851:1" rel="noopener">Waypoint REIT (WPR AU)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> next week. There are float changes and capping changes too.</li>
<li>Estimated one-way turnover is 4.3% and will result in a round-trip trade of A$49m. There are 3 stocks with over 0.5x ADV to trade from passive trackers.</li>
<li>We had <a href="https://www.smartkarma.com/entities/waypoint-reit" target="_blank" data-smartkarma-citation="entities:22851:1" rel="noopener">Waypoint REIT (WPR AU)</a> as a delete in December, but the stock was not deleted from the index. We had it as a close delete this time.</li>
</ul>



Waypoint REIT (WPR AU) will be deleted from the Vaneck Vectors Australian Property ETF (MVA AU) next week. There are float changes and capping changes too.
Estimated one-way turnover is 4.3% and will result in a round-trip trade of A$49m. There are 3 stocks with over 0.5x ADV to trade from passive trackers.
We had Waypoint REIT (WPR AU) as a delete in December, but the stock was not deleted from the index. We had it as a close delete this time.


MV Australia A-REITs Index Rebalance: Waypoint REIT (WPR AU) Deleted

<ul>
<li>The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 20 December. There are no constituent changes, but there are float and capping changes.</li>
<li>Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of A$17m. There is limited impact on the index constituents.</li>
<li>The largest inflows are in <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall</a>, <a href="https://www.smartkarma.com/entities/gpt-group" target="_blank" data-smartkarma-citation="entities:168:1" rel="noopener">Gpt 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/region-re-ltd" target="_blank" data-smartkarma-citation="entities:20100:1" rel="noopener">Region RE</a> while the largest outflows will be from <a href="https://www.smartkarma.com/entities/goodman-group" target="_blank" data-smartkarma-citation="entities:959:1" rel="noopener">Goodman Group</a>, <a href="https://www.smartkarma.com/entities/scentre-group" target="_blank" data-smartkarma-citation="entities:9538:1" rel="noopener">Scentre Group</a> and <a href="https://www.smartkarma.com/entities/federation-centres" target="_blank" data-smartkarma-citation="entities:335:1" rel="noopener">Vicinity Centres</a>.</li>
</ul>


The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 20 December. There are no constituent changes, but there are float and capping changes.
Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of A$17m. There is limited impact on the index constituents.
The largest inflows are in Charter Hall, Gpt Group, Dexus Property and Region RE while the largest outflows will be from Goodman Group, Scentre Group and Vicinity Centres.


MV Australia A-REITs Index Rebalance: Only Float & Capping Changes

<ul>
<li>
<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 deleted from the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> in June. There are float changes and capping changes too.</li>
<li>Estimated one-way turnover is 3.33% and will result in a one-way trade of A$19m. There are a couple of stocks with over 1x ADV to trade.</li>
<li>There has been a recent spike in shorts on <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> but passive selling will be larger than the short interest.</li>
</ul>



Abacus Storage King (ASK AU) will be deleted from the Vaneck Vectors Australian Property ETF (MVA AU) in June. There are float changes and capping changes too.
Estimated one-way turnover is 3.33% and will result in a one-way trade of A$19m. There are a couple of stocks with over 1x ADV to trade.
There has been a recent spike in shorts on Abacus Storage King (ASK AU) but passive selling will be larger than the short interest.


MV Australia A-REITs Index Rebalance: Abacus Storage King Deleted (Finally!)

<ul>
<li>There were a few rebalance announcements in the last week and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index rebalances were implemented at the close on Friday.</li>
<li>There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.</li>
<li>Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a>. </li>
</ul>


There were a few rebalance announcements in the last week and the SSE STAR50 (STAR50 INDEX) and STAR100 Index rebalances were implemented at the close on Friday.
There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.
Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

Australia

Region RE Limited operates as a real estate investment trust. The Company focuses on investments in shopping centre, liquor retailers, and discount department stores. Region RE serves customers in Australia.

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Region RE (RGN AU)

Australia REITs: Asset Deflation Bear Market

The asset deflation bear market in FY22 has improved the overall REIT valuation. A basket of REITs is currently at 0.8x, versus the five-year...

David Blennerhassett

MV Australia A-REITs Index Rebalance: Waypoint REIT (WPR AU) Deleted

Waypoint REIT will be deleted from the MVA ETF next Friday and passives need to sell over 3.5x ADV in the stock. Estimated one-way turnover is 4.3%...

Brian Freitas

MV Australia A-REITs Index Rebalance: Only Float & Capping Changes

No constituent changes, but a few float and capping changes. Estimated one-way turnover at the rebalance is 2.9% resulting in a one-way trade of...

Brian Freitas

MV Australia A-REITs Index Rebalance: Abacus Storage King Deleted (Finally!)

Abacus Storage King (ASK) will be deleted from the MVA ETF at the close on 21 June. Estimated one-way turnover is 3.33% and will result in a one...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

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

Brian Freitas

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