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>With 2 trading days left in the review period, there could be 30 adds/deletes across the S&amp;P/ASX family of indices in September.</li>
<li>Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the 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</a> and S&amp;P/ASX 300.</li>
<li>The forecast adds have hugely outperformed the forecast deletes. Borrow recall on the deletes and increased borrow availability on the adds could result in underperformance following announcement of the changes.</li>
</ul>


With 2 trading days left in the review period, there could be 30 adds/deletes across the S&amp;P/ASX family of indices in September.
Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the S&amp;P/ASX 200 and S&amp;P/ASX 300.
The forecast adds have hugely outperformed the forecast deletes. Borrow recall on the deletes and increased borrow availability on the adds could result in underperformance following announcement of the changes.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/guzman-y-gomez-limited" target="_blank" data-smartkarma-citation="entities:43656:1" rel="noopener">Guzman Y Gomez (GYG AU)</a> listed on 20 June and is eligible for inclusion in the S&amp;P/ASX family of indices at the September rebalance.</li>
<li>Whether the stock is included in indices depends on the index providers estimate of free float. We expect index providers to assign floats of between 25-35% for the stock.</li>
<li>Inclusion in one global index could come in November and another in December. Inclusion in the S&amp;P/ASX indices will depend on whether float is higher than 30% or lower.</li>
</ul>



Guzman Y Gomez (GYG AU) listed on 20 June and is eligible for inclusion in the S&amp;P/ASX family of indices at the September rebalance.
Whether the stock is included in indices depends on the index providers estimate of free float. We expect index providers to assign floats of between 25-35% for the stock.
Inclusion in one global index could come in November and another in December. Inclusion in the S&amp;P/ASX indices will depend on whether float is higher than 30% or lower.


Guzman Y Gomez (GYG AU): Free Float to Determine Index Inclusion

<ul>
<li>With all regulatory approvals received, the Scheme Meeting for <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723 JP)</a>' acquisition of <a href="https://www.smartkarma.com/entities/altium-ltd" target="_blank" data-smartkarma-citation="entities:18626:1" rel="noopener">Altium Ltd (ALU AU)</a> will take place on 12 July.</li>
<li>If approved at the Scheme Meeting and at the Second Court Hearing, <a href="https://www.smartkarma.com/entities/altium-ltd" target="_blank" data-smartkarma-citation="entities:18626:1" rel="noopener">Altium Ltd (ALU AU)</a> will stop trading from the close on 19 July.</li>
<li>The replacements for <a href="https://www.smartkarma.com/entities/altium-ltd" target="_blank" data-smartkarma-citation="entities:18626:1" rel="noopener">Altium Ltd (ALU AU)</a> in the ASX100/200 indices could be announced late this week with implementation at the close on 19 July.</li>
</ul>


With all regulatory approvals received, the Scheme Meeting for Renesas Electronics (6723 JP)' acquisition of Altium Ltd (ALU AU) will take place on 12 July.
If approved at the Scheme Meeting and at the Second Court Hearing, Altium Ltd (ALU AU) will stop trading from the close on 19 July.
The replacements for Altium Ltd (ALU AU) in the ASX100/200 indices could be announced late this week with implementation at the close on 19 July.


S&P/ASX 100/200 Index Adhoc Rebalance: Potential Replacements for Altium (ALU AU)

<ul>
<li>With nearly 80% of the review period complete, there could be 28 adds/deletes across the S&amp;P/ASX family of indices in September.</li>
<li>There is a lot of stocks for passive trackers to trade on the index changes with the largest impacts on the potential 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>. </li>
<li>The potential adds have outperformed the potential deletions by a LOT over the last few months and continued positioning could lead to further gains.</li>
</ul>


With nearly 80% of the review period complete, there could be 28 adds/deletes across the S&amp;P/ASX family of indices in September.
There is a lot of stocks for passive trackers to trade on the index changes with the largest impacts on the potential changes to the S&amp;P/ASX 200 (AS51 INDEX). 
The potential adds have outperformed the potential deletions by a LOT over the last few months and continued positioning could lead to further gains.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to September

<ul>
<li>
<a href="https://www.smartkarma.com/entities/idp-education-ltd" target="_blank" data-smartkarma-citation="entities:1098:1" rel="noopener">IDP Education (IEL AU)</a> and <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> will be deleted from the MV Australia Equal Weight Index at the June rebalance.</li>
<li>Constituent, float and capping changes will result in a one-way turnover of 5% and in a round-trip trade of A$228m.</li>
<li>There are many stocks from the S&amp;P/ASX index family that will have same way or opposing flows from <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-equal-weight-etf" target="_blank" data-smartkarma-citation="entities:24297:1" rel="noopener">VanEck Vectors Australian Equal Weight ETF (MVW AU)</a>. </li>
</ul>



IDP Education (IEL AU) and Lendlease Group (LLC AU) will be deleted from the MV Australia Equal Weight Index at the June rebalance.
Constituent, float and capping changes will result in a one-way turnover of 5% and in a round-trip trade of A$228m.
There are many stocks from the S&amp;P/ASX index family that will have same way or opposing flows from VanEck Vectors Australian Equal Weight ETF (MVW AU). 


MV Australia Equal Weight Index Rebalance: IDP Education (IEL) & Lendlease Group (LLC) Out

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)

S&P/ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

There could be 30 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes and...

Brian Freitas

Guzman Y Gomez (GYG AU): Free Float to Determine Index Inclusion

GYG inclusion in local and global indices comes down to the float assigned by providers. Inclusion in the ASX300 index will require a float of at...

Brian Freitas

S&P/ASX 100/200 Index Adhoc Rebalance: Potential Replacements for Altium (ALU AU)

Passives will need to trade ZIP and TLX at the close today as part of the ad hoc rebalance triggered by Renesas acquiring Altium. ZIP and TLX have...

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes from Now to September

There could be 28 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes by a...

Brian Freitas

MV Australia Equal Weight Index Rebalance: IDP Education (IEL) & Lendlease Group (LLC) Out

IDP Education and Lendlease Group will be deleted from the MV Australia Equal Weight Index. Constituent, float and capping changes will result in 1...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

There could be 30 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes and...

Brian Freitas

Guzman Y Gomez (GYG AU): Free Float to Determine Index Inclusion

GYG inclusion in local and global indices comes down to the float assigned by providers. Inclusion in the ASX300 index will require a float of at...

Brian Freitas

S&P/ASX 100/200 Index Adhoc Rebalance: Potential Replacements for Altium (ALU AU)

Passives will need to trade ZIP and TLX at the close today as part of the ad hoc rebalance triggered by Renesas acquiring Altium. ZIP and TLX have...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to September

There could be 28 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes by a...

Brian Freitas

MV Australia Equal Weight Index Rebalance: IDP Education (IEL) & Lendlease Group (LLC) Out

IDP Education and Lendlease Group will be deleted from the MV Australia Equal Weight Index. Constituent, float and capping changes will result in 1...

Brian Freitas

S&P/ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

S&P/ASX Index Rebalance Preview: Potential Changes from Now to September