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 are 3 changes for the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a>, 7 changes for the S&amp;P Midcap400 Index and 13 changes for the S&amp;P SmallCap600 Index at the June rebalance.</li>
<li>There is huge size to trade in <a href="https://www.smartkarma.com/entities/kkr-co-inc" target="_blank" data-smartkarma-citation="entities:27333:1" rel="noopener">KKR &amp; Co (KKR US)</a> and <a href="https://www.smartkarma.com/entities/crowdstrike-holdings-inc" target="_blank" data-smartkarma-citation="entities:28117:1" rel="noopener">Crowdstrike Holdings (CRWD US)</a> and both stocks were up big in the after-hours market.</li>
<li>There has been positioning in some stocks recently but stocks including <a href="https://www.smartkarma.com/entities/kkr-co-inc" target="_blank" data-smartkarma-citation="entities:27333:1" rel="noopener">KKR &amp; Co</a>, <a href="https://www.smartkarma.com/entities/rb-global-inc" target="_blank" data-smartkarma-citation="entities:25475:1" rel="noopener">RB Global</a> and <a href="https://www.smartkarma.com/entities/texas-pacific-land-corp" target="_blank" data-smartkarma-citation="entities:28693:1" rel="noopener">Texas Pacific Land</a> could see further positioning in the next week.</li>
</ul>


There are 3 changes for the S&amp;P 500 INDEX, 7 changes for the S&amp;P Midcap400 Index and 13 changes for the S&amp;P SmallCap600 Index at the June rebalance.
There is huge size to trade in KKR &amp; Co (KKR US) and Crowdstrike Holdings (CRWD US) and both stocks were up big in the after-hours market.
There has been positioning in some stocks recently but stocks including KKR &amp; Co, RB Global and Texas Pacific Land could see further positioning in the next week.


S&P500/400/600 Index Rebalance: Huge Size to Trade in a Few Stocks

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>Hello everyone, and welcome back to our weekly positioning watch.</li><li>The divergence between market-cap weighted and and non market-cap weighted indices is slowly normalizing, but the impact that NVIDIA (and some of the other big tech firms) has on both broad equity returns is notable with the 5 largest companies in the S&amp;P 500 accounting for roughly 30% of the index by now.</li><li>This does not only have implications for the distribution of returns between bigger indices (Nasdaq vs Dow Jones for instance), but also on indices option volatility, with the VIX ex NVIDIA hitting lows of around 9 in May (2017/2018 lows).</li></ul>

Hello everyone, and welcome back to our weekly positioning watch.The divergence between market-cap weighted and and non market-cap weighted indices is slowly normalizing, but the impact that NVIDIA (and some of the other big tech firms) has on both broad equity returns is notable with the 5 largest companies in the S&amp;P 500 accounting for roughly 30% of the index by now.This does not only have implications for the distribution of returns between bigger indices (Nasdaq vs Dow Jones for instance), but also on indices option volatility, with the VIX ex NVIDIA hitting lows of around 9 in May (2017/2018 lows).

Positioning Watch – Turmoil in Markets Is Returning

Research from Water Tower Research, Water Tower Research

Water Tower Research

Research from Water Tower Research

Water Tower Research is a leading equity research firm that provides research on micro, small and mid cap companies.

Water Tower Research was founded by Wall Street veterans after witnessing a fundamental shift in the investment research industry with the result being a declining knowledge base among investors, a lack of awareness and a shrinking pool of fundamental research being conducted on companies across the small-cap and micro-cap spectrum. The same issues are now increasingly occurring in the mid-cap space. This sea change within the investment community is impacting not only the companies themselves but also current shareholders and potential investors. With significantly less active sell-side sponsorship by Wall Street, a substantial information gap has developed between companies and various constituents in the financial community. The net result is fewer channels for insight and information to flow between companies and investors.

Equity Research Firm

Thematic (Sector/Industry)

<ul><li>The WTR Sustainable Index was up 0.3% W/W versus the S&amp;P 500 Index (flat), the Russell 2000 Index (down 1.2%), and the Nasdaq Index (up 1.4%).</li><li>Energy Technology (14.3% of the index) was up by 11.0%, while Industrial Climate and Ag Technology (59.4% of the index) was up by 0.8%, ClimateTech Mining was down 6.0%, and Advanced Transportation Solutions (20.3% of index) was down 6.7%.</li><li>Top 10 Performers: VIEW, PEV, PEGY, LIDR, BRDS, VIHD, ARVL, CPWHF, BE, NXT</li></ul>

The WTR Sustainable Index was up 0.3% W/W versus the S&amp;P 500 Index (flat), the Russell 2000 Index (down 1.2%), and the Nasdaq Index (up 1.4%).Energy Technology (14.3% of the index) was up by 11.0%, while Industrial Climate and Ag Technology (59.4% of the index) was up by 0.8%, ClimateTech Mining was down 6.0%, and Advanced Transportation Solutions (20.3% of index) was down 6.7%.Top 10 Performers: VIEW, PEV, PEGY, LIDR, BRDS, VIHD, ARVL, CPWHF, BE, NXT

Weekly Sustainable Investing Surveyor - Week Ended May 24, 2024

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

<ul>
<li>Our bullish outlook (since early-November 2023) remains intact. Few things are more bullish than indexes (SPX, NDX) breaking out to all-time highs following a major correction we had in 2022</li>
<li>Last week (5/21/24) we discussed how it is a very bullish sign that there have been three upside gaps in May on the S&amp;P 500, with all gaps left unfilled.</li>
<li>Important short-term gap supports we are watching on SPX include 5250-5263, 5127-5142, and 5073-5101; so far 5250-5263 support has held. Also downgrading Industrials (XLI) to market weight</li>
</ul>


Our bullish outlook (since early-November 2023) remains intact. Few things are more bullish than indexes (SPX, NDX) breaking out to all-time highs following a major correction we had in 2022
Last week (5/21/24) we discussed how it is a very bullish sign that there have been three upside gaps in May on the S&amp;P 500, with all gaps left unfilled.
Important short-term gap supports we are watching on SPX include 5250-5263, 5127-5142, and 5073-5101; so far 5250-5263 support has held. Also downgrading Industrials (XLI) to market weight


Downgrading Manufacturing (XLI) To Market Weight; Shift to Overweight Growth; 5250-5263 SPX Holding

Macroeconomics

<ul><li>Hello everyone, and welcome back to our weekly positioning watch.</li><li>Markets have been enjoying the easier financial conditions imposed by a weaker than anticipated inflation print, although yields have found their way back to pre-CPI levels.</li><li>The big ongoing theme in markets seems to be the renewed pressures in commodities, as real world demand for crucial metals like copper and nickel has spurred significant flows into broad commodities.</li></ul>

Hello everyone, and welcome back to our weekly positioning watch.Markets have been enjoying the easier financial conditions imposed by a weaker than anticipated inflation print, although yields have found their way back to pre-CPI levels.The big ongoing theme in markets seems to be the renewed pressures in commodities, as real world demand for crucial metals like copper and nickel has spurred significant flows into broad commodities.

Positioning Watch – The real world strikes back

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

S&P500/400/600 Index Rebalance: Huge Size to Trade in a Few Stocks

KKR, Crowdstrike and GoDaddy will be added to the SP500 at the close on 21 June. There are a bunch of changes for the SP400/600 indices too. There...

Brian Freitas

Positioning Watch – Turmoil in Markets Is Returning

Hello everyone, and welcome back to our weekly positioning watch. The divergence between market-cap weighted and and non market-cap weighted...

Steno Research

Weekly Sustainable Investing Surveyor - Week Ended May 24, 2024

The WTR Sustainable Index was up 0.3% W/W versus the S&P 500 Index (flat), the Russell 2000 Index (down 1.2%), and the Nasdaq Index (up 1.4%).

Water Tower Research

Downgrading Manufacturing (XLI) To Market Weight; Shift to Overweight Growth; 5250-5263 SPX Holding

Downgrading Manufacturing $XLI to Market Weight; Shift to Overweight Growth $IWF; Three May $SPX Upside Gaps Unfilled = Bullish; Expect supports at...

Vermilion Research

Positioning Watch – The real world strikes back

Hello everyone, and welcome back to our weekly positioning watch. Markets have been enjoying the easier financial conditions imposed by a weaker...

Steno Research