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>
<a href="https://www.smartkarma.com/entities/pro-medicus-ltd" target="_blank" data-smartkarma-citation="entities:13516:1" rel="noopener">Pro Medicus Ltd (PME AU)</a> will be added to the MV Australia Equal Weight Index while <a href="https://www.smartkarma.com/entities/igo-ltd" target="_blank" data-smartkarma-citation="entities:462:1" rel="noopener">IGO Ltd (IGO 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> will be deleted.</li>
<li>Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a round-trip trade of A$330m.</li>
<li>Shorts are pretty big in <a href="https://www.smartkarma.com/entities/pro-medicus-ltd" target="_blank" data-smartkarma-citation="entities:13516:1" rel="noopener">Pro Medicus Ltd (PME AU)</a> while there has been a recent spike in short interest for <a href="https://www.smartkarma.com/entities/igo-ltd" target="_blank" data-smartkarma-citation="entities:462:1" rel="noopener">IGO Ltd (IGO AU)</a>. </li>
</ul>



Pro Medicus Ltd (PME AU) will be added to the MV Australia Equal Weight Index while IGO Ltd (IGO AU) and nib holdings (NHF AU) will be deleted.
Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a round-trip trade of A$330m.
Shorts are pretty big in Pro Medicus Ltd (PME AU) while there has been a recent spike in short interest for IGO Ltd (IGO AU). 


MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

<ul>
<li>With 2 days left to review cutoff, there could be 1 inclusion and 3 deletions for the index at the September rebalance.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a round-trip trade of A$212m.</li>
<li>The final list of inclusions/exclusions will depend on price movements till Friday and whether the index provider makes any significant changes to the free float of stocks in the universe.</li>
</ul>


With 2 days left to review cutoff, there could be 1 inclusion and 3 deletions for the index at the September rebalance.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a round-trip trade of A$212m.
The final list of inclusions/exclusions will depend on price movements till Friday and whether the index provider makes any significant changes to the free float of stocks in the universe.


MV Australia Equal Weight Index Rebalance Preview: One Add & A Few Deletes

<ul>
<li>With 2 trading days left in the review period, there could be 30 adds/deletes across the S&amp;P/ASX family of indices in September.</li>
<li>Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> and S&amp;P/ASX 300.</li>
<li>The forecast adds have hugely outperformed the forecast deletes. Borrow recall on the deletes and increased borrow availability on the adds could result in underperformance following announcement of the changes.</li>
</ul>


With 2 trading days left in the review period, there could be 30 adds/deletes across the S&amp;P/ASX family of indices in September.
Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the S&amp;P/ASX 200 and S&amp;P/ASX 300.
The forecast adds have hugely outperformed the forecast deletes. Borrow recall on the deletes and increased borrow availability on the adds could result in underperformance following announcement of the changes.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

<ul>
<li>With nearly 80% of the review period complete, there could be 28 adds/deletes across the S&amp;P/ASX family of indices in September.</li>
<li>There is a lot of stocks for passive trackers to trade on the index changes with the largest impacts on the potential changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>. </li>
<li>The potential adds have outperformed the potential deletions by a LOT over the last few months and continued positioning could lead to further gains.</li>
</ul>


With nearly 80% of the review period complete, there could be 28 adds/deletes across the S&amp;P/ASX family of indices in September.
There is a lot of stocks for passive trackers to trade on the index changes with the largest impacts on the potential changes to the S&amp;P/ASX 200 (AS51 INDEX). 
The potential adds have outperformed the potential deletions by a LOT over the last few months and continued positioning could lead to further gains.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to September

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 Jun 7th (reported today) which has an aggregated short interest worth USD19.8bn.</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 Xero, Fortescue, Wisetech Global, BHP, Woodside Energy.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Jun 7th (reported today) which has an aggregated short interest worth USD19.8bn.
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 Xero, Fortescue, Wisetech Global, BHP, Woodside Energy.


ASX Short Interest Weekly (Jun 7th): Xero, Fortescue, Wisetech Global, BHP, Woodside Energy

Australia

WiseTech Global Pty Ltd provides various technology and information technology management solutions. The Company offers cloud based various technology platforms, market specific software and logistics technology solutions, such as edienterprise, a platform supply chain logistics management system, software-as-a-service, and clinical management software. 

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Wisetech Global (WTC AU)

MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

PME is an add. NHF and IGO are deletes. Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a...

Brian Freitas

MV Australia Equal Weight Index Rebalance Preview: One Add & A Few Deletes

There could be 1 add and 3 deletes in Sep. Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a...

Brian Freitas

S&P/ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

There could be 30 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes and...

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes from Now to September

There could be 28 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes by a...

Brian Freitas

ASX Short Interest Weekly (Jun 7th): Xero, Fortescue, Wisetech Global, BHP, Woodside Energy

We analyzed ASX short interest report for the past week and highlight short interest changes in Xero, Fortescue, Wisetech Global, BHP, Woodside...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

PME is an add. NHF and IGO are deletes. Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a...

Brian Freitas

MV Australia Equal Weight Index Rebalance Preview: One Add & A Few Deletes

There could be 1 add and 3 deletes in Sep. Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

There could be 30 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes and...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to September

There could be 28 changes for the ASX indices in September with a lot to trade for passive trackers. The adds have outperformed the deletes by a...

Brian Freitas

ASX Short Interest Weekly (Jun 7th): Xero, Fortescue, Wisetech Global, BHP, Woodside Energy

We analyzed ASX short interest report for the past week and highlight short interest changes in Xero, Fortescue, Wisetech Global, BHP, Woodside...

Ke Yan, CFA, FRM

S&P/ASX Index Rebalance Preview: Review Period Nearly Done; Big Impact Changes

S&P/ASX Index Rebalance Preview: Potential Changes from Now to September