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>The <a href="https://www.smartkarma.com/entities/technology-select-sector-spdr" target="_blank" data-smartkarma-citation="entities:27543:1" rel="noopener">Technology Select Sector SPDR (XLK US)</a> ETF tracks the Technology Select Sector Index and has an AUM of over US$70bn.</li>
<li>
<a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA Corp (NVDA US)</a> has broken through the US$3tn market cap barrier and is very close to <a href="https://www.smartkarma.com/entities/apple-inc" target="_blank" data-smartkarma-citation="entities:666:1" rel="noopener">Apple (AAPL US)</a> in terms of free float market cap.</li>
<li>If <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA</a> ranks higher than <a href="https://www.smartkarma.com/entities/apple-inc" target="_blank" data-smartkarma-citation="entities:666:1" rel="noopener">Apple</a> on free float market cap at the close on Friday, there could be huge inflows to <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA</a> and outflows from <a href="https://www.smartkarma.com/entities/apple-inc" target="_blank" data-smartkarma-citation="entities:666:1" rel="noopener">Apple</a> a week later.</li>
</ul>


The Technology Select Sector SPDR (XLK US) ETF tracks the Technology Select Sector Index and has an AUM of over US$70bn.

NVIDIA Corp (NVDA US) has broken through the US$3tn market cap barrier and is very close to Apple (AAPL US) in terms of free float market cap.
If NVIDIA ranks higher than Apple on free float market cap at the close on Friday, there could be huge inflows to NVIDIA and outflows from Apple a week later.


Technology Select Sector Index (XLK US): NVIDIA Could Flip Places with Apple; HUGE Flows

Top 10 Mega Caps | Artificial Intelligence, Mint Finance

Uttkarsh Kohli

Top 10 Mega Caps | Artificial Intelligence

Deep Fundamental Analysis

Mint Finance

Mint Finance's investment research blends deep fundamental analysis with technical & quant insights. Investment strategies straddle across multiple asset classes with risk management embedded into every trade to deliver an outsized reward-to-risk ratio.

Mint Finance's research is centered around three key themes. First, energy transition and climate change. Second, artificial intelligence. Third, shifting world order with its impact across politics and monetary economics.

Equity Bottom-Up

<ul>
<li>Firms that split their shares show an avg. return of +25.4% one year after split. That’s more than 2x the average return of the S&amp;P 500 during those periods. </li>
<li>Critically, returns post stock splits are mainly seen from announcement to actual split date. Mega caps have shown 9.3% absolute returns 12 months post split. Be cautious of misleading averages.</li>
<li>On relative terms (v/s S&amp;P500) price returns were down 6.3% 12-months after stock splits. All splits generated negative returns except for Tesla in 2020.</li>
</ul>


Firms that split their shares show an avg. return of +25.4% one year after split. That’s more than 2x the average return of the S&amp;P 500 during those periods. 
Critically, returns post stock splits are mainly seen from announcement to actual split date. Mega caps have shown 9.3% absolute returns 12 months post split. Be cautious of misleading averages.
On relative terms (v/s S&amp;P500) price returns were down 6.3% 12-months after stock splits. All splits generated negative returns except for Tesla in 2020.


Splits Amplify Stock Prices & Stoke Volatility; What Next for NVIDIA After Upsetting the Apple Cart?

<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

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

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)

Technology Select Sector Index (XLK US): NVIDIA Could Flip Places with Apple; HUGE Flows

The XLK ETF has an AUM of US$70bn. Quarter-end diversification requirement rules could set off huge passive flows of over US$10bn for NVIDIA and...

Brian Freitas

Splits Amplify Stock Prices & Stoke Volatility; What Next for NVIDIA After Upsetting the Apple Cart?

Stock splits historically fuel price rise and positive returns. But not always as is evident from recent stock splits. Volatility expansion is more...

Mint Finance

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

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