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

SIG/CWG Merger: Back Door Entry to the ASX200; Other Index Implications

Sigma Healthcare (SIG AU)/ Chemist Warehouse Merger: Over US$1bn to Buy; Timing Is Important

Australia: Potential Passive Selling in November Will Be Big

Fujikura (5803 JP): Positioning & Potential Passive Buying

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The ACCC has approved <a href="https://www.smartkarma.com/entities/sigma-healthcare-ltd" target="_blank" data-smartkarma-citation="entities:15966:1" rel="noopener">Sigma Healthcare (SIG AU)</a>'s transformational merger with Chemist Warehouse. There are still other regulatory approvals pending.</li>
<li>The surge in the stock price could lead to the inclusion of MergeCo in one more index, further increasing the flow in the stock and the impact of passive buying.</li>
<li>Passive trackers are now estimated to buy a total of 938m shares (A$2.25bn; 103x ADV) in MergeCo. The buy flow could take place between January and March.</li>
</ul>


The ACCC has approved Sigma Healthcare (SIG AU)'s transformational merger with Chemist Warehouse. There are still other regulatory approvals pending.
The surge in the stock price could lead to the inclusion of MergeCo in one more index, further increasing the flow in the stock and the impact of passive buying.
Passive trackers are now estimated to buy a total of 938m shares (A$2.25bn; 103x ADV) in MergeCo. The buy flow could take place between January and March.


Sigma Healthcare (SIG AU)/ Chemist Warehouse Merger: Updated Flow; ACCC Approval; Stock Surge