In today’s briefing:
- FTSE TWSE Taiwan 50 Index Rebalance: Far Eastern New Century IN; AUO OUT
- Toshiba Privatisation In Trouble
- FTSE TWSE Taiwan Dividend+ Index Rebalance: On Expected Lines; But the Flow Is Massive
- S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year
- FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations
- Index Rebalance & ETF Flow Recap: STAR50, CSI300/500, SSE50/180/380, ChiNext, SZSE1000, CH50, EPRA
- NRI (4307) Likely Prices Today – Expect Weakness Then Strength
- FTSE EPRA Nareit Index Rebalance: Now One Add for Korea
- Taiwan Div+ Index Dec22 Rebal Trade – +7.1% Now; Amend and HODL
- Monadelphous (MND AU) Is The S&P ASX 200 ADD – There’s a Trade Here
FTSE TWSE Taiwan 50 Index Rebalance: Far Eastern New Century IN; AUO OUT
- Far Eastern New Century (1402 TT) will replace AU Optronics (2409 TT) in the FTSE TWSE Taiwan 50 Index at the close on 16 December.
- Passive trackers will need to buy 4.8 days of ADV on Far Eastern New Century (1402 TT) and sell 1.9 days of ADV on AU Optronics (2409 TT).
- There will be same way flow from FTSE TWSE Taiwan Dividend+ Index trackers on both stocks and that will significantly add to the passive flow.
Toshiba Privatisation In Trouble
- After a few successive rounds of Management and Board Proposals were shot down, last March Toshiba Corp (6502 JP) embarked on a process to generate a privatisation proposal.
- The result has ended up with one, maybe two privatisation proposals in the offing. The “leading” candidate’s proposal will not fly as proposed. The other is MIA for the moment.
- That leaves a complicated situation. Activists+active holders are stuck with Toshiba and vice versa. They want change, and out, and financiers do too. Change happens. The question is how.
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.
S&P/ASX Index Rebalance (Dec 2022): Couple of Changes to Close Out the Year
- Pilbara Minerals (PLS AU) will replace Lendlease Group (LLC AU) in the S&P/ASX 50 Index, while Monadelphous (MND AU) will replace St Barbara Ltd (SBM AU) in the S&P/ASX 200.
- The largest impact from passive trading will be on Monadelphous (MND AU) while the largest flow will be on Pilbara Minerals (PLS AU).
- There appears to be significant short positioning on Lendlease Group (LLC AU) as cumulative excess volume and short interest continue to rise.
FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations
- The index changes for the FTSE TWSE Taiwan Dividend+ Index for the December 2022 index review were confirmed after market close on Friday 2nd December 2022.
- There will be 26 ADDs and 5 DELs which are mostly in line with Quiddity’s expectations.
- In this insight, we take a look at our revised expectations for capping flows taking into account the confirmed index changes for the December 2022 review
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.
NRI (4307) Likely Prices Today – Expect Weakness Then Strength
- On 25 November Nomura Research Institute Ltd (4307 JP) announced that Jafco Co Ltd (8595 JP) and Nomura Holdings (8604 JP) would conduct a Secondary Offering of NRI Shares.
- The sale is 36.97mm shares plus a greenshoe. It’s a big deal ($1bn) including greenshoe after JPY has just strengthened, but underperformance both before and after announcement sets up well.
- Expect weakness today, but the stock is now at a two-year low, and the PER multiple premium is now at the lowest 3mo average premium in 5yrs. Expect retail buying.
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.
Taiwan Div+ Index Dec22 Rebal Trade – +7.1% Now; Amend and HODL
- This trade is based on historical patterns described in the FTSE TWSE Taiwan Dividend+ Index: A Rare Gem for Index Rebal Trades AND additional considerations.
- Those additional considerations were discussed in Taiwan Dividend+ Index Rebal Trades – Offsets Other Index Risk and subsequent insights. So far, the trade is +7.1% since 26 October.
- The announcement of FTSE TWSE Dividend+ names described in FTSE TWSE Dividend+ Dec 22: Confirmed Index Changes and Revised Capping Flow Expectations changes the basket slightly for the home stretch.
Monadelphous (MND AU) Is The S&P ASX 200 ADD – There’s a Trade Here
- Monadelphous (MND AU) will be added to the S&P ASX 200 Index on 16 December 2022.
- This is not a surprise. It has been the lead contender for a December ADD slot since the day after the September rebalance was completed (see here).
- There is a fair bit of volume to buy, and there are pair trades to do.
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