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/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">Stock Exchange of Thailand SET 50 Index (SET50 INDEX)</a> rebalance was implemented at the close on Friday and there were a bunch of review cutoffs on the same day.</li>
<li>Passive Hang Seng trackers need to sell <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> at the close on 4 January following <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> in-specie distribution.</li>
<li>We take a look at flows to Asian focused ETFs over the course of 2022. A lot of winners in terms of AUM, but a few losers too.</li>
</ul>


The Stock Exchange of Thailand SET 50 Index (SET50 INDEX) rebalance was implemented at the close on Friday and there were a bunch of review cutoffs on the same day.
Passive Hang Seng trackers need to sell Meituan (3690 HK) at the close on 4 January following Tencent (700 HK) in-specie distribution.
We take a look at flows to Asian focused ETFs over the course of 2022. A lot of winners in terms of AUM, but a few losers too.


Index Rebalance & ETF Flow Recap: Meituan, S&P/ASX All Tech, 2022 ETF Flows

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Last Week in Event SPACE:  Bingo Ind., Tokyo Rope, Pressance, Engineers India, Kuaishou Tech, SPACs

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.

Cross Asset Strategy

<ul>
<li>As the street warms up to a potential Biden victory, arguments for improving equity breadth and cyclical rotation are starting to emerge again</li>
<li>Financial media references to a cyclical rotation saw a multi-STDEV spike in June, which coincided with a significant and notably enduring lift in the ratios of US industrials-to-staples and transports-to-staples </li>
<li>Our testing highlights the US transports-to-staples ratio as the most correlated with the cyclical rotation theme, but we see similar action in the copper/gold ratio and EM currencies</li>
<li>In the past 10 days, our text-mined data shows an incipient pro-cyclical move, but its momentum has yet to fully turn net-positive</li>
<li>Calls for a cyclical rotation softened through the September correction, COVID-19 second wave fears and more recent fiscal stimulus uncertainty; but the cyclical/defensive sector ratios endured as the structural reframing of a Biden presidency as an inflation-positive outcome went mainstream</li>
<li>While historically "cyclical rotation" and "value rotation" were strongly correlated, we have seen a decoupling in these themes due to the heavy burden of the COVID-19 crisis on financials and energy</li>
<li>Economists have pointed to the increased likelihood of a vaccine in H1 as a driver of recent bullishness and inflationary optimism, but observations from text mining and from the Superforecaster survey (Good Judgement Project) do not suggest new positives here</li>
<li>Predictably, at this stage of post-pandemic recovery the focus of cyclical rotation is on industrials and materials (particularly mining &amp; construction materials), with a Biden win implying elevated infrastructure spend</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines 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 &amp; individual equities. </p></div>


As the street warms up to a potential Biden victory, arguments for improving equity breadth and cyclical rotation are starting to emerge again
Financial media references to a cyclical rotation saw a multi-STDEV spike in June, which coincided with a significant and notably enduring lift in the ratios of US industrials-to-staples and transports-to-staples 
Our testing highlights the US transports-to-staples ratio as the most correlated with the cyclical rotation theme, but we see similar action in the copper/gold ratio and EM currencies
In the past 10 days, our text-mined data shows an incipient pro-cyclical move, but its momentum has yet to fully turn net-positive
Calls for a cyclical rotation softened through the September correction, COVID-19 second wave fears and more recent fiscal stimulus uncertainty; but the cyclical/defensive sector ratios endured as the structural reframing of a Biden presidency as an inflation-positive outcome went mainstream
While historically "cyclical rotation" and "value rotation" were strongly correlated, we have seen a decoupling in these themes due to the heavy burden of the COVID-19 crisis on financials and energy
Economists have pointed to the increased likelihood of a vaccine in H1 as a driver of recent bullishness and inflationary optimism, but observations from text mining and from the Superforecaster survey (Good Judgement Project) do not suggest new positives here
Predictably, at this stage of post-pandemic recovery the focus of cyclical rotation is on industrials and materials (particularly mining &amp; construction materials), with a Biden win implying elevated infrastructure spend
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines 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 &amp; individual equities. 

TMI Thematics: Cyclical Rotation Through The Lens of Text Mining

<p>Over the last couple of months, the premium on <a href="https://www.smartkarma.com/entities/wipro-ltd-adr" target="_blank" rel="noopener" data-smartkarma-citation="entities:17249:1">Wipro Ltd Adr (WIT US)</a> has soared from around 7% to reach a high of 31% and is trading at just over 24% as of the US close. Over the same period, the local stock <a href="https://www.smartkarma.com/entities/wipro-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:15360:1">Wipro Ltd (WPRO IN)</a> is down 24.33% and the <a href="https://www.smartkarma.com/entities/inr" target="_blank" rel="noopener" data-smartkarma-citation="entities:22832:1">INR (USDINR CURNCY)</a> is weaker by 5.64% against the <a href="https://www.smartkarma.com/entities/usd" target="_blank" rel="noopener" data-smartkarma-citation="entities:22821:1">USD (USD CURNCY)</a>.</p><p>In this Insight, we take a look at the historical premium on the ADR, shareholding patterns on the local stock and the ADR, availability of local shares to Foreign Portfolio Investors (FPI), and look at catalysts that could cause the premium on the ADR to return to the 5-8% range.</p>

Over the last couple of months, the premium on Wipro Ltd Adr (WIT US) has soared from around 7% to reach a high of 31% and is trading at just over 24% as of the US close. Over the same period, the local stock Wipro Ltd (WPRO IN) is down 24.33% and the INR (USDINR CURNCY) is weaker by 5.64% against the USD (USD CURNCY).In this Insight, we take a look at the historical premium on the ADR, shareholding patterns on the local stock and the ADR, availability of local shares to Foreign Portfolio Investors (FPI), and look at catalysts that could cause the premium on the ADR to return to the 5-8% range.

Wipro (WIT) - Soaring ADR Premium Should Come Back to Earth

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

<p>Recent comments from Fed Chair Powell and the U.S.-China 90-day ceasefire agreement have drastically diminished (for now) concerns over two major sources of investor angst: (1) the pace of Fed tightenings and (2) trade policy. The S&amp;P 500 has opened trading today near the 2,817 resistance, a key level we are monitoring. The impending breakout - or breakdown below ~2,600 support, if resistance holds - will be key in determining where the market goes next.  In this report we highlight actionable Industry ETFs, broad EM ETFs and actionable Int’l ETFs, as well as sector rating changes: we are downgrading Technology (XLK) and upgrading Financials (XLF).</p>

Recent comments from Fed Chair Powell and the U.S.-China 90-day ceasefire agreement have drastically diminished (for now) concerns over two major sources of investor angst: (1) the pace of Fed tightenings and (2) trade policy. The S&amp;P 500 has opened trading today near the 2,817 resistance, a key level we are monitoring. The impending breakout - or breakdown below ~2,600 support, if resistance holds - will be key in determining where the market goes next.  In this report we highlight actionable Industry ETFs, broad EM ETFs and actionable Int’l ETFs, as well as sector rating changes: we are downgrading Technology (XLK) and upgrading Financials (XLF).

Global ETF Synopsis: Highlighting Technical Trends Across the ETF Universe

United States

Vanguard FTSE Emerging Markets ETF is an exchange-traded fund incorporated in the USA. The ETF tracks the performance of the FTSE Emerging Markets Index. The ETF holds large and mid-cap stocks in emerging markets around the world. Brazil, Russia, India, Taiwan, China, and South Africa are among the markets included. The ETF weights these holdings based on market capitalization.

Vanguard FTSE Emerging Markets ETF (VWO US)

Vanguard FTSE Emerging Markets ETF (VWO US)

Index Rebalance & ETF Flow Recap: Meituan, S&P/ASX All Tech, 2022 ETF Flows

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

Brian Freitas

Last Week in Event SPACE: Bingo Ind., Tokyo Rope, Pressance, Engineers India, Kuaishou Tech, SPACs

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

TMI Thematics: Cyclical Rotation Through The Lens of Text Mining

As the equity melt-up sees renewed "cyclical rotation" calls, we text-mine the global financial media to find early signs of recovery in the theme...

Elan Gore

Wipro (WIT) - Soaring ADR Premium Should Come Back to Earth

Over the last couple of months, the premium on Wipro Ltd Adr (WIT US) has soared from around 7% to reach a high of 31% and is trading at just over...

Brian Freitas

Global ETF Synopsis: Highlighting Technical Trends Across the ETF Universe

Recent comments from Fed Chair Powell and the U.S.-China 90-day ceasefire agreement have drastically diminished (for now) concerns over two major...

Vermilion Research