Quantitative Equity Analyst, DMA

Charlotte van Tiddens, CFA

Quantitative Equity Analyst

Technology-First Company

DMA is a technology-first company that provides an end-to-end SaaS solution to institutional investors. DMA enables regulated entities like asset managers, wealth managers, investment managers and financial advisors to connect their front and back office, break silos and reduce headcount.

Event-Driven

Northam Platinum Holdings  / Event-Driven

<ul>
<li>The annual WisdomTree rebalance takes place next week Wednesday in the closing auction. Turnover on the JSE at the rebalance last year (20 Oct) was R30.6bn, 1.5 times the 5-day average.</li>
<li>
<p>There are several SA stocks being added to and deleted from the range of WisdomTree EM funds.</p>
</li>
<li>
<p>Our buy flow estimate for SA additions is R1.3bn, our sell flow estimate for SA deletions is R1.8bn. This excludes up and down weightings.</p>
</li>
</ul>


The annual WisdomTree rebalance takes place next week Wednesday in the closing auction. Turnover on the JSE at the rebalance last year (20 Oct) was R30.6bn, 1.5 times the 5-day average.

There are several SA stocks being added to and deleted from the range of WisdomTree EM funds.


Our buy flow estimate for SA additions is R1.3bn, our sell flow estimate for SA deletions is R1.8bn. This excludes up and down weightings.



WisdomTree Oct 2023 Rebalance (Wed, 18 Oct)

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

Sinopec Engineering Group H / Event-Driven

<ul>
<li>The WisdomTree Emerging Markets SmallCap Dividend Index is a fundamentally weighted index that measures the performance of small cap stocks within Emerging Markets.</li>
<li>The changes at the October rebalance were announced after market close on 4 October with implementation scheduled at the close on 16 October.</li>
<li>There are 8 trading days to implementation and there are a bunch of stocks with over 2x ADV to trade.</li>
</ul>


The WisdomTree Emerging Markets SmallCap Dividend Index is a fundamentally weighted index that measures the performance of small cap stocks within Emerging Markets.
The changes at the October rebalance were announced after market close on 4 October with implementation scheduled at the close on 16 October.
There are 8 trading days to implementation and there are a bunch of stocks with over 2x ADV to trade.


WisdomTree Emerging Markets SmallCap Dividend Index Rebalance: US$1bn to Trade

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> is the largest buy (XSOE) - estimated flow $44m. <a href="https://www.smartkarma.com/entities/grupo-financiero-banorte-sab-d" target="_blank" data-smartkarma-citation="entities:24780:1" rel="noopener">Grupo Financiero Banorte SAB d (GFNORTEO MF)</a> is the 2nd largest buy - estimated flow $40m.</li>
<li>
<a href="https://www.smartkarma.com/entities/wistron-corp" target="_blank" data-smartkarma-citation="entities:2189:1" rel="noopener">Wistron Corp (3231 TT)</a> is the largest sell - estimated flow $68m. <a href="https://www.smartkarma.com/entities/posco-holdings-inc" target="_blank" data-smartkarma-citation="entities:208:1" rel="noopener">POSCO Holdings (005490 KS)</a> is the 2nd largest sell - estimated flow $59m.</li>
<li>Our estimate for the total value of new constituent buys is $1.38bn. We expect deletions to the value of $1.41bn to be sold down across the 3 funds.</li>
</ul>



HDFC Bank (HDFCB IN) is the largest buy (XSOE) - estimated flow $44m. Grupo Financiero Banorte SAB d (GFNORTEO MF) is the 2nd largest buy - estimated flow $40m.

Wistron Corp (3231 TT) is the largest sell - estimated flow $68m. POSCO Holdings (005490 KS) is the 2nd largest sell - estimated flow $59m.
Our estimate for the total value of new constituent buys is $1.38bn. We expect deletions to the value of $1.41bn to be sold down across the 3 funds.


WisdomTree Oct '23 Rebalance: Estimated Flows for All Adds and Deletes in DEM, XSOE & DGS

<ul>
<li>An ad hoc <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> rebalance will be implemented at the close on 17 October with <a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light &amp; Wonder (LNW AU)</a> replacing <a href="https://www.smartkarma.com/entities/united-malt-group-ltd" target="_blank" data-smartkarma-citation="entities:29116:1" rel="noopener">United Malt Group Ltd (UMG AU)</a>. </li>
<li>The rebalances of <a href="https://www.smartkarma.com/entities/wisdomtree-emerging-markets-146edc02-f8a5-4ac5-968b-5f0f7c89e476" target="_blank" data-smartkarma-citation="entities:32683:1" rel="noopener">Wisdomtree Emerging Markets (DEM US)</a>, <a href="https://www.smartkarma.com/entities/wisdomtree-em-small-cap" target="_blank" data-smartkarma-citation="entities:32679:1" rel="noopener">Wisdomtree Em Small Cap (DGS US)</a> and <a href="https://www.smartkarma.com/entities/wisdmtree-emerg-mkt-ex-st-ow" target="_blank" data-smartkarma-citation="entities:32798:1" rel="noopener">Wisdmtree Emerg Mkt Ex-St Ow (XSOE US)</a> will be implemented on 18 October.</li>
<li>There were net outflows from onshore China ETFs with inflows to larger cap ETFs and outflows mainly from the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> and CSI 1000 Index trackers.</li>
</ul>


An ad hoc S&amp;P/ASX 200 (AS51 INDEX) rebalance will be implemented at the close on 17 October with Light &amp; Wonder (LNW AU) replacing United Malt Group Ltd (UMG AU). 
The rebalances of Wisdomtree Emerging Markets (DEM US), Wisdomtree Em Small Cap (DGS US) and Wisdmtree Emerg Mkt Ex-St Ow (XSOE US) will be implemented on 18 October.
There were net outflows from onshore China ETFs with inflows to larger cap ETFs and outflows mainly from the CSI Smallcap 500 Index and CSI 1000 Index trackers.


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

China Galaxy Securities (H) / Event-Driven

<ul>
<li>The WisdomTree Emerging Markets SmallCap Dividend Index is a fundamentally weighted index that measures the performance of small cap stocks within Emerging Markets.</li>
<li>The October rebalance will result in a one-way turnover of ~45% and in a one-way trade of US$1.24bn. There are ~300 stocks with over 1 day of ADV to trade.</li>
<li>With only 4 trading days to implementation, there could be large moves on stocks with large flows and impact over the next few days.</li>
</ul>


The WisdomTree Emerging Markets SmallCap Dividend Index is a fundamentally weighted index that measures the performance of small cap stocks within Emerging Markets.
The October rebalance will result in a one-way turnover of ~45% and in a one-way trade of US$1.24bn. There are ~300 stocks with over 1 day of ADV to trade.
With only 4 trading days to implementation, there could be large moves on stocks with large flows and impact over the next few days.


WisdomTree Emerging Markets SmallCap Dividend Index Rebalance: 45% Turnover & US$2.5bn to Trade

United States

WisdomTree Emerging Markets SmallCap Dividend Fund is an exchange-traded fund incorporated in the USA. The Fund seeks investment results that correspond to the WisdomTree Emerging Markets SmallCap Dividend Index.

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Wisdomtree Em Small Cap (DGS US)

WisdomTree Oct 2023 Rebalance (Wed, 18 Oct)

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WisdomTree Emerging Markets SmallCap Dividend Index Rebalance: US$1bn to Trade

There are 370 adds/257 deletes for the WisdomTree Emerging Markets SmallCap Dividend Index. Round-trip trade is around US$1bn. There is big impact...

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WisdomTree Oct '23 Rebalance: Estimated Flows for All Adds and Deletes in DEM, XSOE & DGS

WisdomTree Oct rebalance (excel sheet with aggregated flow estimates): this insight includes ALL fresh additions to and deletions from DEM, DGS and...

DMA

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, TOPIX FFW, SSE50, AS51, ChiNext, Kenedix, Liontown

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

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WisdomTree Emerging Markets SmallCap Dividend Index Rebalance: 45% Turnover & US$2.5bn to Trade

There are 364 adds/325 deletes for the WisdomTree Emerging Markets SmallCap Dividend Index. One-way turnover is 45% resulting in a one-way trade of...

Brian Freitas

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