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>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>The changes at the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> September rebalance were announced on 4 September. The rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI was implemented on the same day.</li>
<li>The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.</li>
<li>After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.</li>
</ul>


The changes at the Nikkei 225 September rebalance were announced on 4 September. The rebalance of the HSI, HSCEI, HSTECH and HSCI was implemented on the same day.
The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.
After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

<ul>
<li>There are no constituent changes for the MVIS Australia Equal Weight Index at the September rebalance. <a href="https://www.smartkarma.com/entities/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a> and <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall (CHC AU)</a> have avoided deletion.</li>
<li>Float and capping changes will result in a one-way turnover of 3.5% and in a one-way trade of A$69m.</li>
<li>There is a lot of short interest on stocks that will have passive buy/sell flows, but there will not be enough volume traded for shorts to use to reduce positions.</li>
</ul>


There are no constituent changes for the MVIS Australia Equal Weight Index at the September rebalance. JB Hi-Fi Ltd (JBH AU) and Charter Hall (CHC AU) have avoided deletion.
Float and capping changes will result in a one-way turnover of 3.5% and in a one-way trade of A$69m.
There is a lot of short interest on stocks that will have passive buy/sell flows, but there will not be enough volume traded for shorts to use to reduce positions.


MVIS Australia Equal Weight Index Rebalance: Float & Capping Changes

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI rebalances will take place at the close on 4 September since the market was closed on 1 September due to Typhoon Saola.</li>
<li>There will be a few announcements next week with <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> early in the week and the MVIS series post close on Friday. Plus the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a> rebalances on Friday.</li>
<li>Another week of huge inflows into mainland China ETFs focused on the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a>.</li>
</ul>


The HSI, HSCEI, HSTECH and HSCI rebalances will take place at the close on 4 September since the market was closed on 1 September due to Typhoon Saola.
There will be a few announcements next week with Nikkei 225 early in the week and the MVIS series post close on Friday. Plus the STAR50 rebalances on Friday.
Another week of huge inflows into mainland China ETFs focused on the CSI 300 Index, STAR50 INDEX and CSI Smallcap 500 Index.


Index Rebalance & ETF Flow Recap: STAR50, KOSPI200, Hang Seng, MVIS, AMFI, Jio, China ETF

<ul>
<li>
<a href="https://www.smartkarma.com/entities/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a> and <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall (CHC AU)</a> could be deleted as the lowest ranked current index constituents.</li>
<li>There are three other stocks that are close to the deletion threshold and a change in the free float could result in the stocks being deleted.</li>
<li>Short interest has been increasing on <a href="https://www.smartkarma.com/entities/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a>, <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall (CHC AU)</a> and <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> and could be partially driven by potential index deletions.</li>
</ul>



JB Hi-Fi Ltd (JBH AU) and Charter Hall (CHC AU) could be deleted as the lowest ranked current index constituents.
There are three other stocks that are close to the deletion threshold and a change in the free float could result in the stocks being deleted.
Short interest has been increasing on JB Hi-Fi Ltd (JBH AU), Charter Hall (CHC AU) and Lendlease Group (LLC AU) and could be partially driven by potential index deletions.


MVIS Australia Equal Weight Index Rebalance Preview: Potential Deletes & Capping Increase Turnover

Australia

APA Group is a natural gas infrastructure company. The Company owns and or operates gas transmission and distribution assets whose pipelines span every state and territory in mainland Australia. APA Group also holds minority interests in energy infrastructure enterprises.

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APA Group (APA AU)

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

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance: Float & Capping Changes

There are no constituent changes, but float/capping will result in one-way turnover of 3.5% and in a one-way trade of A$69m. JB Hi-fi and Charter...

Brian Freitas

Index Rebalance & ETF Flow Recap: STAR50, KOSPI200, Hang Seng, MVIS, AMFI, Jio, China ETF

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance Preview: Potential Deletes & Capping Increase Turnover

There could be 2 index deletes in Sep. There are 3 stocks that are close to the deletion threshold. There are unlikely to be any adds. There will...

Brian Freitas

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