Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

On Friday post market close, S&amp;P Dow Jones announced the results of the March review for the <a href="https://www.smartkarma.com/entities/s-p-500" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 (SPX INDEX)</a> that will be effective after the close of trading on 19 March.There are 4 additions - <a href="https://www.smartkarma.com/entities/nxp-semiconductors-nv" target="_blank" data-smartkarma-citation="entities:9801:1" rel="noopener">Nxp Semiconductors Nv (NXPI US)</a>, <a href="https://www.smartkarma.com/entities/penn-national-gaming-inc" target="_blank" data-smartkarma-citation="entities:5588:1" rel="noopener">Penn National Gaming (PENN US)</a>, <a href="https://www.smartkarma.com/entities/generac-holdings-inc" target="_blank" data-smartkarma-citation="entities:16223:1" rel="noopener">Generac Holdings (GNRC US)</a> and <a href="https://www.smartkarma.com/entities/caesars-entertainment-corp" target="_blank" data-smartkarma-citation="entities:15532:1" rel="noopener">Caesars Entertainment (CZR US)</a>. To balance that out, there are 4 deletions - <a href="https://www.smartkarma.com/entities/flowserve-corp" target="_blank" data-smartkarma-citation="entities:20555:1" rel="noopener">Flowserve Corp (FLS US)</a>, <a href="https://www.smartkarma.com/entities/sl-green-realty-corp" target="_blank" data-smartkarma-citation="entities:1548:1" rel="noopener">Sl Green Realty (SLG US)</a>, <a href="https://www.smartkarma.com/entities/xerox-holdings-corp" target="_blank" data-smartkarma-citation="entities:17585:1" rel="noopener">Xerox Corp (XRX US)</a> and <a href="https://www.smartkarma.com/entities/vontier-corp" target="_blank" data-smartkarma-citation="entities:28857:1" rel="noopener">Vontier Corp (VNT US)</a>.We estimate one-way turnover will be around US$22.4bn and the funding trade will see selling on a lot of the current index constituents.The biggest impact of the changes will be on <a href="https://www.smartkarma.com/entities/nxp-semiconductors-nv" target="_blank" data-smartkarma-citation="entities:9801:1" rel="noopener">Nxp Semiconductors Nv (NXPI US)</a> where we estimate passive funds will need to buy around 11 days of ADV on the stock. The impact on the other stocks is much lower due to the move between the <a href="https://www.smartkarma.com/entities/s-p-500" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 (SPX INDEX)</a> and the S&amp;P Mid Cap 400 indices.

On Friday post market close, S&amp;P Dow Jones announced the results of the March review for the S&amp;P 500 (SPX INDEX) that will be effective after the close of trading on 19 March.There are 4 additions - Nxp Semiconductors Nv (NXPI US), Penn National Gaming (PENN US), Generac Holdings (GNRC US) and Caesars Entertainment (CZR US). To balance that out, there are 4 deletions - Flowserve Corp (FLS US), Sl Green Realty (SLG US), Xerox Corp (XRX US) and Vontier Corp (VNT US).We estimate one-way turnover will be around US$22.4bn and the funding trade will see selling on a lot of the current index constituents.The biggest impact of the changes will be on Nxp Semiconductors Nv (NXPI US) where we estimate passive funds will need to buy around 11 days of ADV on the stock. The impact on the other stocks is much lower due to the move between the S&amp;P 500 (SPX INDEX) and the S&amp;P Mid Cap 400 indices.

S&P500 Index Rebalance: NXPI Is the One to Watch

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Macroeconomics

<ul>
<li>In <a href="https://www.clevelandfed.org/en/newsroom-and-events/publications/cfed-district-data-briefs/cfddb-20210205-did-the-covid-19-pandemic-cause-an-urban-exodus.aspx" target="_blank" rel="noopener">"Did the COVID-19 Pandemic Cause an Urban Exodus?"</a> Stephen Whitaker of the Cleveland Fed recently examined granular US urban migration data for 2020, concluding that the rate of decline in urban inward migration has been a much more significant driver of net urban population flow than active "urban flight"</li>
<li>Average monthly relocations into urban centers were down -18K/month on average or -7.6% from March-December 2020 relative to the previous 3 years, whereas average monthly relocations out of urban centers were up just +10K/month on average or +3.8%</li>
<li>The data potentially implies greater-than-expected pent-up demand for urban housing per "unit" of increased post-pandemic confidence</li>
<li>Our text-mining saw media coverage of the De-urbanization/Urban Flight theme reach peak momentum in Q3 2020; recently, an Urban Recovery/Return to Cities theme is starting to trend higher as normalized post-pandemic urban life finally appears within reach, along with an incipient "return to the office" theme</li>
<li>Early signs of recovery are showing in recent urban housing data from Redfin, RealPage, the National Multifamily Housing Council and Douglas Elliman</li>
<li>A perceived structural overhang on urban life is the notion of permanent WFH; but the outlook for office work appears less dire as post-pandemic confidence improves on the margin</li>
<li>The trajectory of urban migration post-pandemic will have far-reaching implications for a range of themes, from commercial property &amp; REIT recovery to multifamily construction, retail, dining, municipal finances and CPI</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tools text-mine the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macro, equity indexes/ETFs, commodities, currencies, fixed income &amp; equities. </div>


In "Did the COVID-19 Pandemic Cause an Urban Exodus?" Stephen Whitaker of the Cleveland Fed recently examined granular US urban migration data for 2020, concluding that the rate of decline in urban inward migration has been a much more significant driver of net urban population flow than active "urban flight"
Average monthly relocations into urban centers were down -18K/month on average or -7.6% from March-December 2020 relative to the previous 3 years, whereas average monthly relocations out of urban centers were up just +10K/month on average or +3.8%
The data potentially implies greater-than-expected pent-up demand for urban housing per "unit" of increased post-pandemic confidence
Our text-mining saw media coverage of the De-urbanization/Urban Flight theme reach peak momentum in Q3 2020; recently, an Urban Recovery/Return to Cities theme is starting to trend higher as normalized post-pandemic urban life finally appears within reach, along with an incipient "return to the office" theme
Early signs of recovery are showing in recent urban housing data from Redfin, RealPage, the National Multifamily Housing Council and Douglas Elliman
A perceived structural overhang on urban life is the notion of permanent WFH; but the outlook for office work appears less dire as post-pandemic confidence improves on the margin
The trajectory of urban migration post-pandemic will have far-reaching implications for a range of themes, from commercial property &amp; REIT recovery to multifamily construction, retail, dining, municipal finances and CPI
TMI Data Science utilizes Natural Language Processing to build leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tools text-mine the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macro, equity indexes/ETFs, commodities, currencies, fixed income &amp; equities. 

TMI Snapshot:  De-Urbanization or Urban Recovery?

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

In today’s report we take a look at the S&amp;P 500 and long-term breadth. We also provide commentary on the USD, interest rates, growth vs. value, and large- vs. small-caps. We also spotlight attractive Groups and stocks within Technology, Financials, and Utilities.

In today’s report we take a look at the S&amp;P 500 and long-term breadth. We also provide commentary on the USD, interest rates, growth vs. value, and large- vs. small-caps. We also spotlight attractive Groups and stocks within Technology, Financials, and Utilities.

U.S. Equity Strategy: Upgrading Staples, Downgrading Energy

Amareos

Ryan Shea

Thematic (Sector/Industry)

Summary: Housing has several characteristics that mean it is almost perfectly designed to be prone to bubble-like behaviour. By definition a bubble occurs when the price of an asset is significantly overvalued making it increasingly difficult to justify based on underlying fundamentals. In such situations it is the overriding optimism of the crowd, with unrealistically high expectations, that acts as the propellant for further gains. Ten years on from the bursting of the US housing market…

Summary: Housing has several characteristics that mean it is almost perfectly designed to be prone to bubble-like behaviour. By definition a bubble occurs when the price of an asset is significantly overvalued making it increasingly difficult to justify based on underlying fundamentals. In such situations it is the overriding optimism of the crowd, with unrealistically high expectations, that acts as the propellant for further gains. Ten years on from the bursting of the US housing market…

The Market Sentimentalist: Global Real Estate – Where Are The Risks Residing?

Founder-CEO & Chief Analyst, Real Estate Foresight

Robert Ciemniak

Founder-CEO & Chief Analyst

Real Estate Foresight

Since 2012, REF has been helping investors with market research, project due diligence, and strategy development. This has ranged from detailed assessments and estimates on distressed developers' project portfolios to market due diligence on specific projects to macro-level questions linked to demand for commodities. The unique combination of the housing markets and developer data from data partner China Index Academy in Beijing, primary research, and technology-powered alternative data collection from public sources result in a valuable content set used in REF analytics and reports.

Predictive Analytics for China Property

Three quick takeaways from the annual 2016 data on commercial property sales transactions - income producing assets in office, retail, industrial, apartment and hotel sectors, excluding the development sites. Select data/charts courtesy of our data partner <a href="http://www.rcanalytics.com" target="_blank">Real Capital Analytics</a>:1. GLOBAL DOLLAR VOLUMES DOWNFor the first time since 2009, the global volumes declined overall and across the major regions. Low interest rates had clearly given a boost to volumes over the past 7 years, with the rich…

Three quick takeaways from the annual 2016 data on commercial property sales transactions - income producing assets in office, retail, industrial, apartment and hotel sectors, excluding the development sites. Select data/charts courtesy of our data partner Real Capital Analytics:1. GLOBAL DOLLAR VOLUMES DOWNFor the first time since 2009, the global volumes declined overall and across the major regions. Low interest rates had clearly given a boost to volumes over the past 7 years, with the rich…

Global Capital Trends In Real Estate In 2016

United States

SL Green Realty Corp. is a fully integrated, self-administered, and self-managed real estate investment trust. The Trust is exclusively focused on owning and operating office buildings in Manhattan.

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SL Green Realty (SLG US)

S&P500 Index Rebalance: NXPI Is the One to Watch

There are 4 changes to the S&P500 with NXP Semiconductors the largest beneficiary of the changes. Estimated one-way turnover is US$22.4bn and there...

Brian Freitas

TMI Snapshot: De-Urbanization or Urban Recovery?

Recent research from the Cleveland Fed suggests greater pent-up demand for urban housing post-COVID. A recovery is already underway, suggesting...

Elan Gore

U.S. Equity Strategy: Upgrading Staples, Downgrading Energy

In today’s report we take a look at the S&P 500 and long-term breadth. We also provide commentary on the USD, interest rates, growth vs. value,...

Vermilion Research

The Market Sentimentalist: Global Real Estate – Where Are The Risks Residing?

Summary: Housing has several characteristics that mean it is almost perfectly designed to be prone to bubble-like behaviour. By definition a bubble...

Amareos

Global Capital Trends In Real Estate In 2016

Three quick takeaways from the annual 2016 data on commercial property sales transactions - income producing assets in office, retail, industrial,...

Robert Ciemniak

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52-week Range

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P/E

Dividend (Yield)