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>The review period for the MVIS Global Rare Earth/Strategic Metals Index ended 31 August. The changes will be announced on 8 September and implemented at the close on 15 September.</li>
<li>Coming in around the 85% cutoff, <a href="https://www.smartkarma.com/entities/rising-nonferrous-metals-share-co-ltd" target="_blank" data-smartkarma-citation="entities:14860:1" rel="noopener">Rising Nonferrous Metals Share (600259 CH)</a> is a potential inclusion. There are two stocks that are very close to the 98% deletion threshold.</li>
<li>
<a href="https://www.smartkarma.com/entities/lake-resources-nl" target="_blank" data-smartkarma-citation="entities:14597:1" rel="noopener">Lake Resources Nl (LKE AU)</a> is a deletion from 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> at the September rebalance and there could be more to sell if deleted from this index.</li>
</ul>


The review period for the MVIS Global Rare Earth/Strategic Metals Index ended 31 August. The changes will be announced on 8 September and implemented at the close on 15 September.
Coming in around the 85% cutoff, Rising Nonferrous Metals Share (600259 CH) is a potential inclusion. There are two stocks that are very close to the 98% deletion threshold.

Lake Resources Nl (LKE AU) is a deletion from the S&amp;P/ASX 200 (AS51 INDEX) at the September rebalance and there could be more to sell if deleted from this index.


MVIS Global Rare Earth/​​​​​​​​​Strategic Metals Index Rebalance Preview: Review Period Complete

<ul>
<li>The changes for the next rebalance will use closing prices from 31 August, will be announced after the close on 8 September with implementation at the close on 15 September.</li>
<li>One stock is very close to the 85% cumulative market cap inclusion threshold, while there are two stocks that are near the 98% cumulative market cap deletion threshold.</li>
<li>With one inclusion and capping changes, estimated one-way turnover at the rebalance will be 3.5% resulting in a one-way trade of US$20m. That could change over the next week.</li>
</ul>


The changes for the next rebalance will use closing prices from 31 August, will be announced after the close on 8 September with implementation at the close on 15 September.
One stock is very close to the 85% cumulative market cap inclusion threshold, while there are two stocks that are near the 98% cumulative market cap deletion threshold.
With one inclusion and capping changes, estimated one-way turnover at the rebalance will be 3.5% resulting in a one-way trade of US$20m. That could change over the next week.


MVIS Global Rare Earth/​​​​​​​​Strategic Metals Index Rebalance Preview: A Week to Go

Brilliance China Automotive / Index Rebalance

<ul>
<li>Friday was the review cutoff for the September rebalance of the ASX family of indices. The September changes for the Hang Seng family of indices were also announced.</li>
<li>The September changes for 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">SSE STAR50 (STAR50 INDEX)</a> will be announced after the close of trading on 25 August.</li>
<li>For a second week running, there were big inflows to mainland China ETFs and were spread across multiple index trackers. There were outflows from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM US)</a>. </li>
</ul>


Friday was the review cutoff for the September rebalance of the ASX family of indices. The September changes for the Hang Seng family of indices were also announced.
The September changes for the SSE STAR50 (STAR50 INDEX) will be announced after the close of trading on 25 August.
For a second week running, there were big inflows to mainland China ETFs and were spread across multiple index trackers. There were outflows from iShares Emerging Markets (EEM US). 


Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

<ul>
<li>There could be two deletes for the index in September. There are two other stocks that are close to the deletion threshold.</li>
<li>Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of around 2.7% and a one-way trade of A$51m.</li>
<li>Short interest has been increasing on <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/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a> and could be partially driven by potential index deletions.</li>
</ul>


There could be two deletes for the index in September. There are two other stocks that are close to the deletion threshold.
Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of around 2.7% and a one-way trade of A$51m.
Short interest has been increasing on Charter Hall (CHC AU) and JB Hi-Fi Ltd (JBH AU) and could be partially driven by potential index deletions.


MVIS Australia Equal Weight Index Rebalance Preview: Deletes, Close Deletes, Capping Changes

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 Jul 28th (reported today) which has an aggregated short interest worth USD16.3bn.</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 Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Jul 28th (reported today) which has an aggregated short interest worth USD16.3bn.
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 Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re.


ASX Short Interest Weekly (Jul 28th): Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re

Australia

Pilbara Minerals Ltd. is a mineral exploration company. The Company owns mineral tenements in the west Pilbara region of Western Australia where it explores for iron ore, gold and base metals, particularly copper and nickel.

Price Gauge
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Pilbara Minerals (PLS AU)

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Review Period Complete

With the review period complete, there is 1 potential add and 2 potential deletes. LKE is a potential delete and will also be deleted from the...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: A Week to Go

There could be 1 inclusion in September while there are 2 stocks close to the deletion threshold. Lake Resources is also a potential deletion from...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

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: Deletes, Close Deletes, Capping Changes

With a couple of weeks to review cutoff, there are two stocks in deletion zone and another two that are close to the deletion zone. Most likely, no...

Brian Freitas

ASX Short Interest Weekly (Jul 28th): Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re

We estimate the ASX short interests to be USD 16.2bn and highlight short interest changes in Woodside Energy, NAB, Macquarie, BHP, CSL, Northern...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

MVIS Global Rare Earth/​​​​​​​​​Strategic Metals Index Rebalance Preview: Review Period Complete

With the review period complete, there is 1 potential add and 2 potential deletes. LKE is a potential delete and will also be deleted from the...

Brian Freitas

MVIS Global Rare Earth/​​​​​​​​Strategic Metals Index Rebalance Preview: A Week to Go

There could be 1 inclusion in September while there are 2 stocks close to the deletion threshold. Lake Resources is also a potential deletion from...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

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: Deletes, Close Deletes, Capping Changes

With a couple of weeks to review cutoff, there are two stocks in deletion zone and another two that are close to the deletion zone. Most likely, no...

Brian Freitas

ASX Short Interest Weekly (Jul 28th): Woodside Energy, NAB, Macquarie, BHP, CSL, Northern Star Re

We estimate the ASX short interests to be USD 16.2bn and highlight short interest changes in Woodside Energy, NAB, Macquarie, BHP, CSL, Northern...

Ke Yan, CFA, FRM

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Review Period Complete

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: A Week to Go