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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

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>There are no constituent changes for the MVIS Australia Equal Weight Index at the March rebalance. </li>
<li>Float and capping changes will result in a one-way turnover of 4.4% and in a round-trip trade of A$195m.</li>
<li>We had <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a>, <a href="https://www.smartkarma.com/entities/idp-education-ltd" target="_blank" data-smartkarma-citation="entities:1098:1" rel="noopener">IDP Education (IEL AU)</a> and <a href="https://www.smartkarma.com/entities/nib-holdings-ltd" target="_blank" data-smartkarma-citation="entities:7063:1" rel="noopener">nib holdings (NHF AU)</a> as close deletes and they will now have inflows due to capping.</li>
</ul>


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.


MV Australia Equal Weight Index Rebalance: Float & Capping Changes to Drive Flow

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Mar 1st (reported today) which has an aggregated short interest worth USD19.3bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo, Yancoal Australi, Macquarie, Xero, Lovisa.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Mar 1st (reported today) which has an aggregated short interest worth USD19.3bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo, Yancoal Australi, Macquarie, Xero, Lovisa.


ASX Short Interest Weekly (Mar 1st): Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo

<ul>
<li>With the review period complete, there are 3 stocks that are close to the deletion zone and could be removed from the index at the March rebalance.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a one-way trade of A$97m.</li>
<li>There are 9 stocks with over A$5m to trade from passive trackers but the impact on the stocks is not very high.</li>
</ul>


With the review period complete, there are 3 stocks that are close to the deletion zone and could be removed from the index at the March rebalance.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a one-way trade of A$97m.
There are 9 stocks with over A$5m to trade from passive trackers but the impact on the stocks is not very high.


MVIS Australia Equal Weight Index Rebalance Preview: Three Close Deletions

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Feb 23rd (reported today) which has an aggregated short interest worth USD18.0bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Bluescope Steel, Treasury Wine, Domino's Pizza.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Feb 23rd (reported today) which has an aggregated short interest worth USD18.0bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Bluescope Steel, Treasury Wine, Domino's Pizza.


ASX Short Interest Weekly (Feb 23rd): Bluescope Steel, Treasury Wine, Domino's Pizza

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Jan 26th (reported today) which has an aggregated short interest worth USD18.1bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in ANZ, CSL, Domino'S Pizza.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Jan 26th (reported today) which has an aggregated short interest worth USD18.1bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in ANZ, CSL, Domino'S Pizza.


ASX Short Interest Weekly (Jan 26th): ANZ, CSL, Domino'S Pizza

Australia

Wesfarmers Ltd. owns retail chains, operates mines, writes insurance, manufactures and distributes industrial products, manufactures fertilizers and chemicals, and distributes liquefied petroleum gas and medical and industrial gases.

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Wesfarmers Ltd (WES AU)

MV Australia Equal Weight Index Rebalance: Float & Capping Changes to Drive Flow

There are no constituent changes for the index in March but float and capping changes will result in a one-way turnover of 4.4% and in a round-trip...

Brian Freitas

ASX Short Interest Weekly (Mar 1st): Commonw Bk Austr, Rio Tinto, Seven Group Hold, Wesfarmers, Igo

We analyzed ASX short interest report for the past week and highlight short interest changes in Commonw Bk Austr, Rio Tinto, Seven Group Hold,...

Ke Yan, CFA, FRM

MVIS Australia Equal Weight Index Rebalance Preview: Three Close Deletions

There are 3 close deletes for the index in March. Even if there are no changes, 1-way turnover is 4.4% and 1-way trade is A$97m. Shorts have been...

Brian Freitas

ASX Short Interest Weekly (Feb 23rd): Bluescope Steel, Treasury Wine, Domino's Pizza

We analyzed ASX short interest report for the past week and highlight short interest changes in Bluescope Steel, Treasury Wine, Domino's Pizza.

Ke Yan, CFA, FRM

ASX Short Interest Weekly (Jan 26th): ANZ, CSL, Domino'S Pizza

We analyzed ASX short interest report for the past week and highlight short interest changes in ANZ, CSL, Domino'S Pizza.

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)