Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

Jakarta Composite Index: Impact of Change to Capped Free Float Weighting

LQ45 Index Rebalance: BRPT, TINS In; BTPS, CTRA Out

Bukalapak (BUKA IJ): Fast Entry to IDX30, LQ45, IDX80; MSCI on Track for November

LQ45 Index Rebalance Preview: Potential Candidates for Change

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

MSCI ASEAN Index Rebalance Nov20: Huge Impact of Passive Selling Expected

Event-Driven

Chandra Asri Petrochemical / Event-Driven

The LQ45 Index is a market cap weighted index of the 45 most liquid stocks listed on the Indonesia Stock Exchange (IDX). The LQ45 Index covers at least 70% of the stock market capitalization and transaction values in the Indonesia Stock Market.The IDX has announced the changes to the LQ45 Index as a part of the February review. <a href="https://www.smartkarma.com/entities/medco-energi-internasional-tbk-pt" target="_blank" data-smartkarma-citation="entities:20844:1" rel="noopener">Medco Energi (MEDC IJ)</a> and <a href="https://www.smartkarma.com/entities/chandra-asri-petrochemical" target="_blank" data-smartkarma-citation="entities:2556:1" rel="noopener">Chandra Asri Petrochemical (TPIA IJ)</a> have been added to the index, while <a href="https://www.smartkarma.com/entities/surya-citra-media-pt-tbk" target="_blank" data-smartkarma-citation="entities:14739:1" rel="noopener">PT Surya Citra Media Tbk (SCMA IJ)</a> and <a href="https://www.smartkarma.com/entities/sri-rejeki-isman-tbk-pt" target="_blank" data-smartkarma-citation="entities:20178:1" rel="noopener">Sri Rejeki Isman (SRIL IJ)</a> have been deleted from the index.We expect passive funds will need to buy a lot of <a href="https://www.smartkarma.com/entities/chandra-asri-petrochemical" target="_blank" data-smartkarma-citation="entities:2556:1" rel="noopener">Chandra Asri Petrochemical (TPIA IJ)</a> in terms of days of ADV, while there will be over 2 days of ADV to sell on <a href="https://www.smartkarma.com/entities/surya-citra-media-pt-tbk" target="_blank" data-smartkarma-citation="entities:14739:1" rel="noopener">PT Surya Citra Media Tbk (SCMA IJ)</a>. The changes are effective after the close of trading on 29 January, so there are only 4 trading days before passive funds have to rebalance their portfolios. Active funds benchmarked to the LQ54 index will also trade over the next few days so as not to veer too far from their benchmark.

The LQ45 Index is a market cap weighted index of the 45 most liquid stocks listed on the Indonesia Stock Exchange (IDX). The LQ45 Index covers at least 70% of the stock market capitalization and transaction values in the Indonesia Stock Market.The IDX has announced the changes to the LQ45 Index as a part of the February review. Medco Energi (MEDC IJ) and Chandra Asri Petrochemical (TPIA IJ) have been added to the index, while PT Surya Citra Media Tbk (SCMA IJ) and Sri Rejeki Isman (SRIL IJ) have been deleted from the index.We expect passive funds will need to buy a lot of Chandra Asri Petrochemical (TPIA IJ) in terms of days of ADV, while there will be over 2 days of ADV to sell on PT Surya Citra Media Tbk (SCMA IJ). The changes are effective after the close of trading on 29 January, so there are only 4 trading days before passive funds have to rebalance their portfolios. Active funds benchmarked to the LQ54 index will also trade over the next few days so as not to veer too far from their benchmark.

LQ45 Index Rebalance: TPIA, MEDC In; SCMA, SRIL Out