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

Index Rebalance

<ul>
<li>From December 2022, the minimum free float requirement to be a part of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> increases from 15% to 20%.</li>
<li>We see a high probability of <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> replacing <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador (EMP PM)</a> in the index at the upcoming rebalance.</li>
<li>There are a few other potential changes to the index and the passive flow on the stocks will be material.</li>
</ul>


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.


PCOMP Index Rebalance Preview Feb 23: Higher Free Float Means Fewer Changes

<ul>
<li>From December 2022, the minimum free float requirement to be a part of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> increases from 15% to 20%.</li>
<li>This could result in three deletions from the index which will result in three stocks being added to the index. Passive trackers selling the deletes will push the stocks lower.</li>
<li>The three current constituents could remain in the index if they sell stock to increase the free float. That would in turn put downward pressure on the stocks.</li>
</ul>


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%.
This could result in three deletions from the index which will result in three stocks being added to the index. Passive trackers selling the deletes will push the stocks lower.
The three current constituents could remain in the index if they sell stock to increase the free float. That would in turn put downward pressure on the stocks.


PCOMP Index Rebalance Preview Feb 23: Updated Methodology to Drive Changes

Semirara Mining & Power / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> will replace <a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a> in the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> at the close of trading on 5 August.</li>
<li>Passive trackers will need to buy 5.5 days of ADV on <a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> and sell nearly 30 days of ADV on <a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a>.</li>
<li>Historically, the adds have outperformed the deletes and there has been a pop/drop in the adds/deletes the day after announcement. Square off existing pre-positions by mid week.</li>
</ul>



Semirara Mining And Power Corp (SCC PM) will replace Security Bank (SECB PM) in the Philippines Stock Exchange PSEi Index (PCOMP INDEX) at the close of trading on 5 August.
Passive trackers will need to buy 5.5 days of ADV on Semirara Mining And Power Corp (SCC PM) and sell nearly 30 days of ADV on Security Bank (SECB PM).
Historically, the adds have outperformed the deletes and there has been a pop/drop in the adds/deletes the day after announcement. Square off existing pre-positions by mid week.


PCOMP Index Rebalance: Semirara Mining (SCC) Replaces Security Bank (SECB)

<ul>
<li>Today is the last day of the review period for the August rebalance of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a>. </li>
<li>We see a high probability of <a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> replacing <a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a> in the index.</li>
<li>Historically, the adds have outperformed the deletes and there has been a pop/drop in the adds/deletes the day after announcement. There is one month to pre-position for the announcement.</li>
</ul>


Today is the last day of the review period for the August rebalance of the Philippines Stock Exchange PSEi Index (PCOMP INDEX). 
We see a high probability of Semirara Mining And Power Corp (SCC PM) replacing Security Bank (SECB PM) in the index.
Historically, the adds have outperformed the deletes and there has been a pop/drop in the adds/deletes the day after announcement. There is one month to pre-position for the announcement.


PCOMP Index Rebalance Preview: SCC Likely Replaces SECB

<ul>
<li>With just over a month to go in the review period for the August rebalance of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a>, we expect one potential change. </li>
<li>
<a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a> is a potential deletion. <a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> has a higher inclusion probability as compared to <a href="https://www.smartkarma.com/entities/unionbank-of-the-philippines" target="_blank" data-smartkarma-citation="entities:23192:1" rel="noopener">UnionBank of the Philippines (UBP PM)</a>. </li>
<li>Passive funds will need to trade quite a few days of ADV on the stocks. Historically, the adds have outperformed the deletes in the last leg of the review period.</li>
</ul>


With just over a month to go in the review period for the August rebalance of the Philippines Stock Exchange PSEi Index (PCOMP INDEX), we expect one potential change. 

Security Bank (SECB PM) is a potential deletion. Semirara Mining And Power Corp (SCC PM) has a higher inclusion probability as compared to UnionBank of the Philippines (UBP PM). 
Passive funds will need to trade quite a few days of ADV on the stocks. Historically, the adds have outperformed the deletes in the last leg of the review period.


PCOMP Index Rebalance Preview Aug 22: One Set of Potential Changes

Philippines

Puregold Price Club Inc. is a Philippine-based grocery retail chain engaged in the wholesale and retail trading of a wide range of consumer products, including food, dry goods, housewares, toiletries, and pharmaceutical and medical goods. The company operates through various retail formats such as hypermarkets, supermarkets, minimarts, and warehouse clubs like S&R Membership Shopping. Puregold Price Club Inc. was founded on September 8, 1998, and is headquartered in Manila, Philippines.

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Puregold Price Club (PGOLD PM)

PCOMP Index Rebalance Preview Feb 23: Higher Free Float Means Fewer Changes

We see DMCI replacing Emperador at the Feb rebalance. There could be other changes due to the minimum free float threshold change. Passive trackers...

Brian Freitas

PCOMP Index Rebalance Preview Feb 23: Updated Methodology to Drive Changes

A methodology change that increases the minimum free float from 15% to 20% could result in 3 changes to the index. The three constituents will need...

Brian Freitas

PCOMP Index Rebalance: Semirara Mining (SCC) Replaces Security Bank (SECB)

Semirara Mining will replace Security Bank in the PCOMP at the close on 5 August. There are 5 trading days to implementation and passive fund...

Brian Freitas

PCOMP Index Rebalance Preview: SCC Likely Replaces SECB

We see Semirara Mining (SCC) replacing Security Bank (SECB) at the August rebalance of the PCOMP Index. Passive trackers will need to buy over 5...

Brian Freitas

PCOMP Index Rebalance Preview Aug 22: One Set of Potential Changes

We expect SCC PM to be added to the PCOMP Index at the August rebalance replacing SECB PM. Historically, the adds outperform the deletes and there...

Brian Freitas

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