In today’s briefing:
- FTSE TWSE Taiwan Dividend+ Index Rebalance Preview: Updated Dividends & Flow Shift
- STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market
- ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion
- SSE180 Index Rebalance Preview: Market Volatility & Index Changes
- FTSE TWSE Dividend+ Quiddity Leaderboard Dec 22: Good Start, Some Surprises, More to Come!
- Arbs Take Another Hit as Regal’s Offer for Perpetual Puts Pendal Deal at Risk
- KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning
- EQT/Baring/Regal’s Tilt For Perpetual Muddies Waters on Pendal (PDL AU) Deal
- News Corp (NWS AU)’s Proposed Merger With Fox Corp. Again.
- FTSE China 50 Index Rebalance Preview: Two Changes Now, Could Be More
FTSE TWSE Taiwan Dividend+ Index Rebalance Preview: Updated Dividends & Flow Shift
- Updated forward dividend estimates and price moves lead to changes in adds/deletes and to estimated flows at the December rebalance. We now see 26 adds and 5 deletes in December.
- The estimated one-way turnover due to adds, deletes, funding and capping is 46.6% and will result in a one-way trade of TWD 72.7bn (US$2.26bn).
- Passive trackers will need to buy over 5 days of ADV on 15 stocks and sell over 5 days of ADV on 14 stocks. There will be trading opportunities galore.
STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market
- With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
- The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.
- The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.
ChiNext/ChiNext50 Index Rebalance Preview: Overlapping Stocks & Mean Reversion
- At the end of the review period, we forecast 10 changes for the Chinext Price Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
- Passive trackers will need to buy +/-0.5 days of ADV for most inclusions and exclusions from the indices. The impact on the potential deletions is higher on average.
- The potential adds have outperformed the potential deletes over the last six months, though there has been a sharp narrowing of the gap over the last few weeks.
SSE180 Index Rebalance Preview: Market Volatility & Index Changes
- With the review period complete, we expect 18 changes to the index in December – most deletions are Financials, most inclusions are Industrials.
- The market volatility over the last couple of weeks has altered the sectoral breakup of the potential changes with Industrials gaining index spots at the expense of Consumer Staples.
- We see 5 of the potential adds being added to the MSCI China Index in February and 6 of the potential adds being added to the FTSE All-World/All-Cap in March.
FTSE TWSE Dividend+ Quiddity Leaderboard Dec 22: Good Start, Some Surprises, More to Come!
- In October 2022, FTSE Russell confirmed that the number of constituents in the FTSE TWSE Taiwan Dividend+ Index will be increased from 30 to 50 during the December 2022 Rebalance.
- The estimated one-way flow was ~US$2bn and I discussed my flow expectations for this event in FTSE TWSE Dividend+ Quiddity Leaderboard Dec 22: New Methodology! Massive Flow Implications!
- With less than three weeks remaining to the base date, below is an updated look at my latest flow expectations for this event.
Arbs Take Another Hit as Regal’s Offer for Perpetual Puts Pendal Deal at Risk
- Regal Partners and BPEA have made a conditional, non-binding indicative proposal to acquire Perpetual Ltd at A$30/share in cash. Perpetual would need to terminate the SID with Pendal Group.
- Perpetual Ltd (PPT AU)‘s Board has rejected the offer. Today’s price action is partially driven by arbs selling Pendal shares and buying back their Perpetual shorts.
- The Pendal Group / Perpetual Ltd price ratio is trading below the levels from August and could move higher if Perpetual and/or the consortium decide not to move ahead.
KOSPI200 Index Rebalance Preview: Potential Changes, Excess Volumes & Pre-Positioning
- With the review period complete, we see 1 high probability change and 1 lower probability change for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) in December.
- We estimate passive trackers will need to trade over 10 days of ADV on the high probability names. There are indications that there are pre-positions built on the stocks.
- With short-sell eligibility flipping post implementation of the changes, a lot of pre-positions will be unwound prior to implementation and there will be trading opportunities on the reverse side.
EQT/Baring/Regal’s Tilt For Perpetual Muddies Waters on Pendal (PDL AU) Deal
- Perpetual (PPT AU) has received an indicative proposal in which EQT/Baring Private Equity Asia takes Perpetual’s private clients and corporate trustee businesses, and Regal (RPL AU) the asset management arm.
- The A$1.75bn buyout proposal, by way of a $30/share cash Offer – and an undefined Regal scrip alternative – was rejected by Perpetual as it “materially undervalues” the company.
- The twist in the proposal is that it is contingent on the termination of the earlier-announced Scheme between Perpetual and Pendal Group (PDL AU)
News Corp (NWS AU)’s Proposed Merger With Fox Corp. Again.
- Back on the 17 October, News Corp (NWS AU) announced it had begun exploring a potential combination with Fox Corporation (FOXA US).
- A merger of two parts of Rupert Murdoch’s media empire would combine Fox News and TMZ assets with NWS’ newspaper and online news operations.
- Murdoch split his empire in 2013, placing the print business in a newly created NWS, and the TV and entertainment under Fox,
FTSE China 50 Index Rebalance Preview: Two Changes Now, Could Be More
- Tianqi Lithium (9696 HK) and JD Health (6618 HK) could be inclusions while XPeng (9868 HK) and Longfor Properties (960 HK) are near certain deletions.
- There are a few stocks that are close to the deletion threshold and could be deleted from the index if they continue to sell off over the next few weeks.
- Tianqi Lithium (9696 HK) is also a high probability inclusion to the FTSE All-World Index at the December rebalance. That will bring in additional inflows to the stock.
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