Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>All the APAC markets we cover (Nifty50, HSI, Nikkei225, Kospi200, S&amp;P/ASX200) are pulling back and some of them have been doing so for 3 weeks.</li>
<li>In this insight we want to offer a re-cap of all the MRM support levels and probabilities for the APAC markets above, after the August 16th Close.</li>
<li>Check our previously published single-market insights for deeper analysis and related investment ideas: <a href="https://www.smartkarma.com/insights/eqd-nifty-index-weekly-correction-may-be-ending" target="_blank" rel="noopener">Nifty50</a>, <a href="https://www.smartkarma.com/insights/eqd-hang-seng-index-hsi-weekly-long-support-levels-and-probability" target="_blank" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/insights/eqd-nikkei-225-nky-monthly-trajectories" target="_blank" rel="noopener">Nikkei225</a>, <a href="https://www.smartkarma.com/insights/eqd-kospi-200-index-weekly-trend-analysis" target="_blank" rel="noopener">Kospi200</a>, S&amp;P/ASX200.</li>
</ul>


All the APAC markets we cover (Nifty50, HSI, Nikkei225, Kospi200, S&amp;P/ASX200) are pulling back and some of them have been doing so for 3 weeks.
In this insight we want to offer a re-cap of all the MRM support levels and probabilities for the APAC markets above, after the August 16th Close.
Check our previously published single-market insights for deeper analysis and related investment ideas: Nifty50, HSI, Nikkei225, Kospi200, S&amp;P/ASX200.


APAC WEEKLY Monitor: Current MRM Supports and Probabilities Re-Cap

<ul>
<li>The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.</li>
<li>We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.</li>
<li>Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.</li>
</ul>


The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.
We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.
Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.


EQD | SPX MONTHLY Proxy Supports for APAC Markets

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

<ul>
<li>There could be two deletes for the index in September. There are two other stocks that are close to the deletion threshold.</li>
<li>Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of around 2.7% and a one-way trade of A$51m.</li>
<li>Short interest has been increasing on <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall (CHC AU)</a> and <a href="https://www.smartkarma.com/entities/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a> and could be partially driven by potential index deletions.</li>
</ul>


There could be two deletes for the index in September. There are two other stocks that are close to the deletion threshold.
Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of around 2.7% and a one-way trade of A$51m.
Short interest has been increasing on Charter Hall (CHC AU) and JB Hi-Fi Ltd (JBH AU) and could be partially driven by potential index deletions.


MVIS Australia Equal Weight Index Rebalance Preview: Deletes, Close Deletes, Capping Changes

<ul>
<li>The review period for the September rebalance of the S&amp;P/ASX family of indices ends on Friday. There will be a lot of changes across the family.</li>
<li>Hang Seng Indices will announce the changes to the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> and the HSCI after market close on Friday.</li>
<li>There were HUGE inflows to onshore China focused ETFs during the week with <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index</a> ETFs taking in the largest amounts.</li>
</ul>


The review period for the September rebalance of the S&amp;P/ASX family of indices ends on Friday. There will be a lot of changes across the family.
Hang Seng Indices will announce the changes to the Hang Seng Index, Hang Seng China Enterprises Index, Hang Seng TECH Index and the HSCI after market close on Friday.
There were HUGE inflows to onshore China focused ETFs during the week with CSI 300 Index, CSI 500 Index and SSE50 Index ETFs taking in the largest amounts.


Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

<ul>
<li>
<a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare</a> has entered into a scheme implementation deed with TPG at A$12.7/share. This is higher than the initial offer of A$12.65/share but lower than the revised offer of A$13/share.</li>
<li>There is an extra A$0.26/share in franking credits for <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> shareholders that can use them.</li>
<li>Passives will need to sell nearly 11m shares of <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> on the last trading day and there will be an adhoc inclusion to 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 Index</a>.</li>
</ul>



Invocare has entered into a scheme implementation deed with TPG at A$12.7/share. This is higher than the initial offer of A$12.65/share but lower than the revised offer of A$13/share.
There is an extra A$0.26/share in franking credits for Invocare Ltd (IVC AU) shareholders that can use them.
Passives will need to sell nearly 11m shares of Invocare Ltd (IVC AU) on the last trading day and there will be an adhoc inclusion to the S&amp;P/ASX 200 Index.


InvoCare (IVC AU): SID Signed with TPG at A$12.7/Share

Australia

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

S&P/ASX 200 (AS51 INDEX)

APAC WEEKLY Monitor: Current MRM Supports and Probabilities Re-Cap

A re-cap/monitor of all the MRM WEEKLY support levels and probabilities of trend reversal for the APAC markets we cover (Nifty50, HSI, Nikkei 225,...

Nico Rosti

EQD | SPX MONTHLY Proxy Supports for APAC Markets

We propose an analysis of the SP500 MONTHLY, to find MRM support levels to be used as a proxy to predict APAC markets MONTHLY supports.

Nico Rosti

MVIS Australia Equal Weight Index Rebalance Preview: Deletes, Close Deletes, Capping Changes

With a couple of weeks to review cutoff, there are two stocks in deletion zone and another two that are close to the deletion zone. Most likely, no...

Brian Freitas

Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

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

Brian Freitas

APAC WEEKLY Monitor: Current MRM Supports and Probabilities Re-Cap

A re-cap/monitor of all the MRM WEEKLY support levels and probabilities of trend reversal for the APAC markets we cover (Nifty50, HSI, Nikkei 225,...

Nico Rosti

EQD | SPX MONTHLY Proxy Supports for APAC Markets

We propose an analysis of the SP500 MONTHLY, to find MRM support levels to be used as a proxy to predict APAC markets MONTHLY supports.

Nico Rosti

MVIS Australia Equal Weight Index Rebalance Preview: Deletes, Close Deletes, Capping Changes

With a couple of weeks to review cutoff, there are two stocks in deletion zone and another two that are close to the deletion zone. Most likely, no...

Brian Freitas

Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

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

Brian Freitas

InvoCare (IVC AU): SID Signed with TPG at A$12.7/Share

TPG has signed an SID to buy all shares in Invocare at A$12.7/sh. There is an extra A$0.257/share in franking credits for those that can use it....

Brian Freitas