In today’s briefing:
- FTSE TWSE Taiwan Dividend+ Index Rebalance: On Expected Lines; But the Flow Is Massive
- FTSE EPRA Nareit Index Rebalance: Now One Add for Korea
- Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- PCOMP Index Rebalance Preview Feb 23: Higher Free Float Means Fewer Changes
- FTSE China A50 Index Rebalance: Stock Connect Deletion to Drive Change
- HSCEI Index Rebalance Preview: Shenhua Energy (1088) Could Replace China Feihe (6186)
- HSTECH Index Rebalance Preview: Tongcheng Travel (780 HK) Could Replace Ming Yuan Cloud (909 HK)
- MVIS Global Junior Gold Miners Index Rebalance: Two Adds, Four Deletes, Float Changes
- MVIS Global Rare Earth/Strategic Metals Index Rebalance: Float & Capping Changes
- JCNC Is Still Overstretched Vs. Astra
FTSE TWSE Taiwan Dividend+ Index Rebalance: On Expected Lines; But the Flow Is Massive
- There are 26 inclusions and 5 deletions for the index resulting in a one-way turnover of 46.3% and a one-way trade of TWD 79.52bn (US$2.6bn). That is HUGE!
- There at 14 stocks that have over 5 days of ADV to buy from passive funds while there are 20 stocks with more that 5 days of ADV to sell.
- Over the last 2 weeks and 4 weeks, short interest has decreased on most of the adds while increasing on all the deletes and most of the stocks with outflows.
FTSE EPRA Nareit Index Rebalance: Now One Add for Korea
- SK REITs (395400 KS) will now be added to the FTSE EPRA Nareit Global Real Estate Index Series after market close on 16 December.
- Based on the passive assets estimated to track the FTSE EPRA Nareit Index, there could be around 3.11m shares (US$11.3m; 19.2x ADV) to buy on SK REITs (395400 KS).
- SK REITs (395400 KS) trades expensive as compared to ESR Kendall Square REIT (365550 KS) and we’d use an index inclusion driven rally to pare positions in the stock.
Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- It was a busy week with the implementation of the MSCI Nov SAIR and the Hang Seng December rebalance, plus a lot of announcements for the FTSE indices.
- The coming week has the implementation of the December rebalance for the KOSPI2 INDEX, KOSDAQ 150 Index and a range of indices in China.
- Inflows to iShares MSCI Emerging Markets (EEM) and iShares MSCI ACWI ETF (ACWI US) during the week as markets move higher on expectations of slower rate hikes from the Fed.
PCOMP Index Rebalance Preview Feb 23: Higher Free Float Means Fewer Changes
- From December 2022, the minimum free float requirement to be a part of the Philippines Stock Exchange PSEi Index (PCOMP INDEX) increases from 15% to 20%.
- We see a high probability of DMCI Holdings (DMC PM) replacing Emperador (EMP PM) in the index at the upcoming rebalance.
- There are a few other potential changes to the index and the passive flow on the stocks will be material.
FTSE China A50 Index Rebalance: Stock Connect Deletion to Drive Change
- Beijing-Shanghai High Speed Railway-A (601816 CH) will be deleted from the Northbound Stock Connect Buy and Sell list from the close on 9 December.
- Beijing-Shanghai High Speed Railway will be deleted from the SSE180, MSCI and FTSE indices. Plus a deletion from the FTSE China A50 Index (XIN9I INDEX).
- The replacement for Beijing-Shanghai High Speed Railway-A (601816 CH) will be determined at the close of trading today and the announcement will be made post market close.
HSCEI Index Rebalance Preview: Shenhua Energy (1088) Could Replace China Feihe (6186)
- Nearing the end of the review period for the March rebalance, we see China Shenhua Energy Co H (1088 HK) replacing China Feihe (6186 HK) in the HSCEI INDEX.
- Estimated one-way turnover is 1.64% resulting in a one-way trade of HK$1.02bn with passives needing to buy 1x ADV on China Shenhua Energy and selling 1.7x ADV on China Feihe.
- The change will lead to an increase in the fair value of the HSCEI 2023 dividend futures by over 3 DIPS. Could be more if China Shenhua pays a special.
HSTECH Index Rebalance Preview: Tongcheng Travel (780 HK) Could Replace Ming Yuan Cloud (909 HK)
- Tongcheng-Elong Holdings Ltd (780 HK) could replace Ming Yuan Cloud Group (909 HK) in the Hang Seng Tech Index (HSTECH INDEX) at the March rebalance.
- One way turnover is estimated at 2.1% resulting in a one-way trade of HK$1.7bn. Passive trackers will need to buy nearly 10x ADV on Tongcheng-Elong Holdings Ltd (780 HK).
- After being deleted from the MSCI China Index at the November SAIR, this could be the next major index deletion for Ming Yuan Cloud Group (909 HK).
MVIS Global Junior Gold Miners Index Rebalance: Two Adds, Four Deletes, Float Changes
- Filo Mining (FIL CN) and Tietto Minerals (TIE AU) are adds while Fresnillo (FRES LN), Galiano Gold (GAU US), Jaguar Mining (JAG CN) and Novo Resources (NVO CN) are deletes.
- One way turnover is estimated at 4.3% resulting in a one-way trade of US$163m. There is over 1 day of ADV to trade on 24 stocks.
- Largest inflows are on Filo Mining (FIL CN) and Tietto Minerals Ltd (TIE AU) while largest outflows are on Fresnillo PLC (FRES LN) and Centerra Gold (CG CN).
MVIS Global Rare Earth/Strategic Metals Index Rebalance: Float & Capping Changes
- As expected, there are no adds or deletes for the MVIS Global Rare Earth/Strategic Metals Index at the December rebalance.
- There are free float and capping changes that will be implemented at the close on 16 December.
- One way turnover is estimated at 4.26% and will result in a one-way trade of US$31.5m.
JCNC Is Still Overstretched Vs. Astra
- Jardine Cycle & Carriage (JCNC SP) is currently trading at a ~12% discount to NAV, just outside its narrowest post-Covid.
- A key catalyst for the recent narrowing was JCNC’s inclusion in the SIMSCI Index at the end of last month.
- JCNC is expensive here – relative to historical values – and from an implied stub perspective.
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