In today’s briefing:
- FnGuide Top10 Index Rebalance Preview: Good Historical Performance; One Potential Change in December
- CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew
- PCOMP Index Rebalance Preview: MPI Delisting Could See Bloomberry Added
- Hang Seng Index Rebalance Preview: Foreign Companies Eligible from December
- NTT’s Partial Offer for Intage (4326) Part Deux – Refining Pro-Ration Expectations
- HSCI Index Rebalance Preview: Low Probability Add in December
- S&P/ASX Index Rebalance Preview: Changes from Now to December
- M&A Research Institute Holdings (9552) TOPIX Inclusion
- KRX Plans to Introduce Float Market Cap & Extreme Price Increases to KOSPI 200 Screening
- Public Opinion Is Slowly Catching Up, but the Change Has Only Just Begun
FnGuide Top10 Index Rebalance Preview: Good Historical Performance; One Potential Change in December
- The Mirae Asset Tiger Top 10 ETF (292150 KS) tracks the FnGuide Top 10 Index and has an AUM of over US$1bn.
- We currently forecast one potential change at the next rebalance in December. There is another set of changes that could also take place.
- There has been a big increase in short interest on a couple of stocks while the rise has been more gradual on the other stocks.
CSI500 Index Rebalance Preview: ETF Inflows Lead to Performance Skew
- Over 85% of the way through the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 8 December.
- There is a big sector skew in the potential changes. We estimate a one-way turnover of 9.4% at the December rebalance resulting in a one-way trade of CNY 7.22bn.
- With the market being stabilised through the ETF route, the index constituents have outperformed the non-index constituents over the last 6-7 weeks. That could reverse over the near term.
PCOMP Index Rebalance Preview: MPI Delisting Could See Bloomberry Added
- Metro Pacific Investments Co (MPI PM) has announced that the public float of the stock will drop to 2.78% following the Tender Offer.
- Metro Pacific Investments Co (MPI PM) shares are expected to be suspended from 26 September. That could see Bloomberry Resorts (BLOOM PM) added to the PCOMP INDEX on 25 September.
- There will be large passive inflows to Bloomberry Resorts (BLOOM PM) as well as flows from active managers that track the PCOMP INDEX.
Hang Seng Index Rebalance Preview: Foreign Companies Eligible from December
- The move from 80 index constituents to 100 could take most of next year (and possibly even the year after that) to manage turnover and add profitable companies.
- Foreign companies will be eligible for inclusion in the index from the December rebalance. That makes Samsonite (1910 HK) a high probability inclusion candidate.
- We highlight 8 potential inclusions to the index with passive trading impact varying from 1.6-4.3 days of ADV. There are large shorts on some of the stocks.
NTT’s Partial Offer for Intage (4326) Part Deux – Refining Pro-Ration Expectations
- Last week I wrote about NTT’s Partial Offer for Marketing Consultant Intage (4326) – (with a spurious hyphen at the end).
- In the last couple of days, there have apparently been a few blocks printed on the tape. I have received questions about pricing and pro-ration.
- So here I provide a set of 11 possible pro-ration cases, and suggest ways for traders and investors to think about the risks and possibilities.
HSCI Index Rebalance Preview: Low Probability Add in December
- There have only been 7 new listings on the HKEX (388 HK) in the third quarter of the year so far.
- Of those stocks, only Keep Inc (3650 HK) has a chance of being added to the Hang Seng Composite Index in December and then into Southbound Stock Connect.
- Keep Inc (3650 HK) is the largest online fitness platform in China and the name recognition could bring in substantial flows via Southbound Stock Connect.
S&P/ASX Index Rebalance Preview: Changes from Now to December
- Privatisations could lead to two/three S&P/ASX 200 (AS51 INDEX) constituents being delisted in October/November and that means ad hoc inclusions to maintain the number of constituents at 200.
- Then there could be one change for the S&P/ASX 20 Index and two changes for the S&P/ASX 200 (AS51 INDEX) at the regular rebalance in December.
- The impact on the potential adds/deletes for the S&P/ASX 200 (AS51 INDEX) is high at between 7.5-23 days of ADV to trade from passive trackers.
M&A Research Institute Holdings (9552) TOPIX Inclusion
- Yesterday, M&A Research Institute (9552 JP) announced it would list on the TSE Prime section on 29 August, which means it will join TOPIX at the close of 28-Sep-2023.
- This is NOT a surprise. On 27 June, the company announced a secondary offering of 1.631mm shares (by the founder/CEO), and said it had applied for TSE Prime transfer.
- I take a look at how this could play out.
KRX Plans to Introduce Float Market Cap & Extreme Price Increases to KOSPI 200 Screening
- In addition to full market cap and trading value, float-adjusted market cap will be added as a quantitative screening tool.
- Regarding extreme price increases, KRX plans to utilize the deviation between the average daily market capitalizations for two, three, and six months leading up to the screening base date.
- We should consider designing trading setups that target stocks with relatively low free-float rates and high price volatility in recent months.
Public Opinion Is Slowly Catching Up, but the Change Has Only Just Begun
- Activist investors’ proposals were consistently based on increasing shareholder returns. The change in the environment, in which ％ of foreign shareholders increased while cross-held shares decreased, had a major impact.
- Regarding the selection of directors, discussion on contents of Skill Matrix should be more active, as it’s suspected that top management is selecting candidates who are aligned with their wishes.
- The voting standards of domestic institutional investors are iridescent and still dependent on public opinion for each proposal. The change in public opinion has only just begun.
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