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

Australian Strategic Materials / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sierra-rutile-holdings-limited" target="_blank" data-smartkarma-citation="entities:36235:1" rel="noopener">Sierra Rutile Holdings (SRX AU)</a> is a high probability delete from the index, while <a href="https://www.smartkarma.com/entities/australian-strategic-materials" target="_blank" data-smartkarma-citation="entities:30815:1" rel="noopener">Australian Strategic Materials (ASM AU)</a> is close to the deletion threshold.</li>
<li>
<a href="https://www.smartkarma.com/entities/sayona-mining-ltd" target="_blank" data-smartkarma-citation="entities:1589:1" rel="noopener">Sayona Mining (SYA AU)</a> is the highest ranked non-constituent while <a href="https://www.smartkarma.com/entities/tianqi-lithium-corporation" target="_blank" data-smartkarma-citation="entities:27789:1" rel="noopener">Tianqi Lithium (9696 HK)</a> only makes inclusion at the entire IPO raise.</li>
<li>Deletion from the index will require passive trackers to sell over 5 days of ADV on <a href="https://www.smartkarma.com/entities/australian-strategic-materials" target="_blank" data-smartkarma-citation="entities:30815:1" rel="noopener">Australian Strategic Materials (ASM AU)</a>. </li>
</ul>



Sierra Rutile Holdings (SRX AU) is a high probability delete from the index, while Australian Strategic Materials (ASM AU) is close to the deletion threshold.

Sayona Mining (SYA AU) is the highest ranked non-constituent while Tianqi Lithium (9696 HK) only makes inclusion at the entire IPO raise.
Deletion from the index will require passive trackers to sell over 5 days of ADV on Australian Strategic Materials (ASM AU). 


MVIS Global Rare Earth/​​​​Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

<ul>
<li>There is one change for the S&amp;P/ASX 100 Index, eight changes 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 (AS51 INDEX)</a>, while there are 16 adds and 12 deletes for the S&amp;P/ASX 300 Index.</li>
<li>Passive trackers need to buy/sell a lot of stock for the ASX100 and ASX200 names. There appears to be large pre-positioning on the deletes.</li>
<li>
<a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a>'s privatisation may require an ad hoc inclusion prior to the implementation of the September rebalance - ACCC approval is key. </li>
</ul>


There is one change for the S&amp;P/ASX 100 Index, eight changes to the S&amp;P/ASX 200 (AS51 INDEX), while there are 16 adds and 12 deletes for the S&amp;P/ASX 300 Index.
Passive trackers need to buy/sell a lot of stock for the ASX100 and ASX200 names. There appears to be large pre-positioning on the deletes.

Link Administration (LNK AU)'s privatisation may require an ad hoc inclusion prior to the implementation of the September rebalance - ACCC approval is key. 


S&P/​​ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

<ul>
<li>
<a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group</a> and <a href="https://www.smartkarma.com/entities/perpetual-ltd" target="_blank" data-smartkarma-citation="entities:599:1" rel="noopener">Perpetual Ltd</a> have entered into a SID where Pendal shareholders will receive 1 share of Perpetual for every 7.5 shares in Pendal, plus cash of A$1.976/share.</li>
<li>While this is a premium to the last close and undisturbed prices, it is a discount to longer term prices. The Pendal Board has unanimously recommended the offer though.</li>
<li>In the short-term expect short covering on <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> and increased shorts on <a href="https://www.smartkarma.com/entities/perpetual-ltd" target="_blank" data-smartkarma-citation="entities:599:1" rel="noopener">Perpetual Ltd (PPT AU)</a> as arbs step in to close the gap.</li>
</ul>



Pendal Group and Perpetual Ltd have entered into a SID where Pendal shareholders will receive 1 share of Perpetual for every 7.5 shares in Pendal, plus cash of A$1.976/share.
While this is a premium to the last close and undisturbed prices, it is a discount to longer term prices. The Pendal Board has unanimously recommended the offer though.
In the short-term expect short covering on Pendal Group (PDL AU) and increased shorts on Perpetual Ltd (PPT AU) as arbs step in to close the gap.


Pendal Group (PDL AU): Perpetual's Bump Should Get the Deal Done

<ul>
<li>There are 4 trading days to go in the review period for the September rebalance of the S&amp;P/ASX indices. Announcement is on 2 September with implementation on 16 September.</li>
<li>There could be 6 changes 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 (AS51 INDEX)</a>, increasing to 8 if <a href="https://www.smartkarma.com/entities/avz-minerals-ltd" target="_blank" data-smartkarma-citation="entities:6148:1" rel="noopener">AVZ Minerals (AVZ AU)</a> continues to be halted and if <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK)</a> is privatised.</li>
<li>The potential adds have outperformed the potential deletes over the last month. Short interest has increased on a few potential deletes. There will be pre-positions built up.</li>
</ul>


There are 4 trading days to go in the review period for the September rebalance of the S&amp;P/ASX indices. Announcement is on 2 September with implementation on 16 September.
There could be 6 changes to the S&amp;P/ASX 200 (AS51 INDEX), increasing to 8 if AVZ Minerals (AVZ AU) continues to be halted and if Link Administration (LNK) is privatised.
The potential adds have outperformed the potential deletes over the last month. Short interest has increased on a few potential deletes. There will be pre-positions built up.


S&P/​​​​ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

<ul>
<li>
<a href="https://www.smartkarma.com/entities/bhp-group-ltd" target="_blank" data-smartkarma-citation="entities:147:1" rel="noopener">BHP Group Ltd (BHP AU)</a> made a non-binding indicative proposal to acquire all shares in <a href="https://www.smartkarma.com/entities/oz-minerals-ltd" target="_blank" data-smartkarma-citation="entities:1138:1" rel="noopener">OZ Minerals Ltd (OZL AU)</a> at A$25/share and was swiftly rejected.</li>
<li>We feel an offer around the A$28.5-A$29/share range would get the <a href="https://www.smartkarma.com/entities/oz-minerals-ltd" target="_blank" data-smartkarma-citation="entities:1138:1" rel="noopener">OZ Minerals Ltd (OZL AU)</a> Board to open up its books for due diligence.</li>
<li>3.25% of the outstanding shares have been shorted and the stock could trade higher than the BHP offer price. We'd wait for a price around A$25/share to enter.</li>
</ul>



BHP Group Ltd (BHP AU) made a non-binding indicative proposal to acquire all shares in OZ Minerals Ltd (OZL AU) at A$25/share and was swiftly rejected.
We feel an offer around the A$28.5-A$29/share range would get the OZ Minerals Ltd (OZL AU) Board to open up its books for due diligence.
3.25% of the outstanding shares have been shorted and the stock could trade higher than the BHP offer price. We'd wait for a price around A$25/share to enter.


OZ Minerals (OZL): BHP Offer Swiftly Rejected

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)

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

Sierra Rutile is a high probability delete from the REMX in September. There is a possibility that ASM is deleted too. There is flow on the other...

Brian Freitas

S&P/ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

There are a lot of changes to the ASX200 and ASX300 indices with high impact. There are a few surprises, mainly in the ASX300. Shorts have surged...

Brian Freitas

Pendal Group (PDL AU): Perpetual's Bump Should Get the Deal Done

Perpetual has bumped its offer for Pendal & that should be enough to get the deal done. Both stocks have been on a downtrend over the last year and...

Brian Freitas

S&P/ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

There are a LOT of potential changes to the S&P/ASX indices as we near the end of the review period. The potential adds have outperformed the...

Brian Freitas

OZ Minerals (OZL): BHP Offer Swiftly Rejected

BHP's offer to acquire all shares in OZL at A$25/share (32% premium to last close) was rejected. There should be a higher offer coming in and could...

Brian Freitas

MVIS Global Rare Earth/​​​​Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

Sierra Rutile is a high probability delete from the REMX in September. There is a possibility that ASM is deleted too. There is flow on the other...

Brian Freitas

S&P/​​ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

There are a lot of changes to the ASX200 and ASX300 indices with high impact. There are a few surprises, mainly in the ASX300. Shorts have surged...

Brian Freitas

Pendal Group (PDL AU): Perpetual's Bump Should Get the Deal Done

Perpetual has bumped its offer for Pendal & that should be enough to get the deal done. Both stocks have been on a downtrend over the last year and...

Brian Freitas

S&P/​​​​ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

There are a LOT of potential changes to the S&P/ASX indices as we near the end of the review period. The potential adds have outperformed the...

Brian Freitas

OZ Minerals (OZL): BHP Offer Swiftly Rejected

BHP's offer to acquire all shares in OZL at A$25/share (32% premium to last close) was rejected. There should be a higher offer coming in and could...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Couple of Potential Deletes

S&P/ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

S&P/ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears