In today’s briefing:
- CSI300 Index Rebalance Preview: Potential Adds Outperforming Despite ETF Inflows
- Dai-Nippon Printing (7912) – Whoomp There It Is! Part Deux
- MV US Listed Semiconductor 25 Index Rebalance: Over US$1bn to Sell in NVIDIA
- Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up
- WisdomTree Indexes Special Rebalance: ESG Considerations Dropped
- MV Global Junior Gold Miners Index Rebalance: Over US$500m to Trade
- MV Australia Equal Weight Index Rebalance: Float & Capping Changes to Drive Flow
- Merger Arb Mondays (11 Mar) – Shinko, JSR, Azure, Genex, OreCorp, Hollysys, CPMC, Vinda
- EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia
- ECM Weekly (11th Mar 2024) – Oriental Land, ARM, Tuhu, Wiwynn, Macrotech, Zomato, Trial Holding
CSI300 Index Rebalance Preview: Potential Adds Outperforming Despite ETF Inflows
- With 85% of the review period complete, we see 11 changes for the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) in June.
- We estimate one-way turnover of 1.2% at the rebalance leading to a one-way trade of CNY 7.3bn (US$1bn). There are a lot of stocks with multiple days ADV to trade.
- The potential adds have outperformed the potential deletes despite large flows from the National Team into ETFs tracking the CSI 300 Index. That support for the potential deletes will reverse.
Dai-Nippon Printing (7912) – Whoomp There It Is! Part Deux
- At end-January 2023 it became clear activist Elliott Management had set its sights on Dai Nippon Printing (7912 JP). The stock popped and people got bullish.
- I warned about the “complicated” nature of gains going forward here. Three weeks later they announced details of including ¥100bn of buybacks per year for 3yrs. That’s discussed here.
- I rarely write bearishly about a huge buyback program but from next day open, over 1yr, total return has been 4.9%. Stage 2 starts 11 March with ¥50bn through end-Sep24.
MV US Listed Semiconductor 25 Index Rebalance: Over US$1bn to Sell in NVIDIA
- There are no constituent changes for the VanEck Vectors Semiconductor (SMH US) ETF in March but there are a lot of float and capping changes.
- Taiwan Semiconductor (TSMC) – ADR (TSM US) is the largest buy while capping results in NVIDIA Corp (NVDA US) being the largest sell by far.
- Estimated one-way turnover is 8.3% resulting in a round-trip trade of nearly US$3bn. There are a few stocks with more than 0.2x ADV to trade.
Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up
- There were a few rebalance announcements in the last week and the SSE STAR50 (STAR50 INDEX) and STAR100 Index rebalances were implemented at the close on Friday.
- There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.
- Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX).
WisdomTree Indexes Special Rebalance: ESG Considerations Dropped
- WisdomTree has dropped ESG considerations while selecting stocks for the EMXSOE, CHXSOE and WTEMXC indices.
- That results in a lot of inclusions and fewer deletions across indices that will be implemented at the close on 15 March.
- The round-trip trade across the indices will exceed US$500m with Tencent (700 HK) as the largest buy.
MV Global Junior Gold Miners Index Rebalance: Over US$500m to Trade
- Emerald Resources Nl (EMR AU) will be added to the VanEck Vectors Junior Gold Miners ETF (GDXJ US) in March while there are 3 deletions for the index.
- The constituent changes along with float and capping changes result in an estimated one-way turnover of 6.4% and a one-way trade of US$263m.
- There are 9 stocks with more than US$10m to trade and 9 stocks with over 2x ADV to trade.
MV Australia Equal Weight Index Rebalance: Float & Capping Changes to Drive Flow
- There are no constituent changes for the MVIS Australia Equal Weight Index at the March rebalance.
- Float and capping changes will result in a one-way turnover of 4.4% and in a round-trip trade of A$195m.
- We had Lendlease Group (LLC AU), IDP Education (IEL AU) and nib holdings (NHF AU) as close deletes and they will now have inflows due to capping.
Merger Arb Mondays (11 Mar) – Shinko, JSR, Azure, Genex, OreCorp, Hollysys, CPMC, Vinda
- We summarise the latest spreads and newsflow of merger arb situations we cover across Hong Kong, Australia, New Zealand, Singapore, Japan, Indonesia, Malaysia, Philippines, Thailand and Chinese ADRs.
- Highest spreads: APM Human Services Internation (APM AU), Probiotec Ltd (PBP AU), Genex Power Ltd (GNX AU), China Traditional Chinese Medicine (570 HK), Genetron Holdings Ltd (GTH US).
- Lowest spreads: Tietto Minerals Ltd (TIE AU), CIMC Vehicle Group Co Ltd (1839 HK), Pact Group Holdings (PGH AU), CPMC Holdings (906 HK), Payroll (4489 JP), Welbe Inc (6556 JP).
EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia
- A cross-country study on the post earning announcement drift effect.
- We explore the use of various options-implied analytics to systematically view returns around earnings announcements.
- Options-Implied Analytics can provide empowering information to better inform investment decisions.
ECM Weekly (11th Mar 2024) – Oriental Land, ARM, Tuhu, Wiwynn, Macrotech, Zomato, Trial Holding
- Aequitas Research puts out a weekly update on the deals that were covered by the team recently along with updates for upcoming IPOs.
- On the IPO front, Trial Holdings (5882 JP) was hoping for better luck with its listing this time around.
- For placements, it was a very busy week for a change with most regions, apart from Hong Kong, chipping in.
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