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/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

New Zealand Professional Investment Services Firm, Forsyth Barr

Forsyth Barr

New Zealand Professional Investment Services Firm

We are proud to be a New Zealand owned firm, with 21 offices throughout the country and over 300 employees. We assist personal, institutional and corporate clients providing a full range of investment services.

Forsyth Barr is a foundation New Zealand Exchange firm (NZX) and accredited market participant. We have been confirmed by the Financial Markets Authority as a Qualifying Financial Entity (QFE).

Research is the cornerstone of our advice. We have one of New Zealand's leading teams of analysts. Our global affiliations ensure comprehensive research coverage of all major investment markets.

Equity Bottom-Up

<ul><li>The a2 Milk Company (ATM) delivered a solid FY23 result in-line with our expectations, showing strong market share gains, particularly in its key China Label (CL) channel.</li><li>While positive, outlook commentary dominated and the key negative surprises were (1) FY24 outlook for "low single digit" revenue growth and broadly flat EBITDA margins, implying EBITDA -11% below consensus, and (2) tempered medium-term EBITDA margin guidance commentary.</li><li>Headline multiples (~21x 12 month forward PE [~19x cash adjusted] and ~13x EV/EBIT) are depressed versus ATM's history but given (1) the lack of near-term catalysts, (2) likely structural valuation de-rate as growth/returns moderate (consumer staples peers with similar growth, returns and margins trade on ~19x PE and ~14x EV/EBIT), and (3) ongoing macro headwinds, we don't yet believe the margin of safety is sufficiently wide to warrant a change in investment view. Retain NEUTRAL.</li></ul>

The a2 Milk Company (ATM) delivered a solid FY23 result in-line with our expectations, showing strong market share gains, particularly in its key China Label (CL) channel.While positive, outlook commentary dominated and the key negative surprises were (1) FY24 outlook for "low single digit" revenue growth and broadly flat EBITDA margins, implying EBITDA -11% below consensus, and (2) tempered medium-term EBITDA margin guidance commentary.Headline multiples (~21x 12 month forward PE [~19x cash adjusted] and ~13x EV/EBIT) are depressed versus ATM's history but given (1) the lack of near-term catalysts, (2) likely structural valuation de-rate as growth/returns moderate (consumer staples peers with similar growth, returns and margins trade on ~19x PE and ~14x EV/EBIT), and (3) ongoing macro headwinds, we don't yet believe the margin of safety is sufficiently wide to warrant a change in investment view. Retain NEUTRAL.

The A2 Milk Company - FY23 Result — Gains and Strains

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>We expect The a2 Milk Company (ATM) to report a solid FY23 result on Monday, 21 August, meeting or possibly exceeding its guidance.</li><li>However, its FY24 outlook is the key point of interest. As elaborated in our report titled, "Wheying up FY24", published 9 August 2023, we are more cautious versus consensus on both revenue growth and EBITDA margin expansion.</li><li>Following the material de-rating of the stock year to date, the FY23 result is shaping up very similar to FY22 when sentiment and valuation was depressed. </li></ul>

We expect The a2 Milk Company (ATM) to report a solid FY23 result on Monday, 21 August, meeting or possibly exceeding its guidance.However, its FY24 outlook is the key point of interest. As elaborated in our report titled, "Wheying up FY24", published 9 August 2023, we are more cautious versus consensus on both revenue growth and EBITDA margin expansion.Following the material de-rating of the stock year to date, the FY23 result is shaping up very similar to FY22 when sentiment and valuation was depressed. 

The A2 Milk Company - FY23 Preview — Important Delivery

<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

New Zealand

a2 Milk Company Limited produces cow milk which is free of a protein called beta casein A1.  The Company offers its products in Australia and New Zealand.

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A2 Milk Co Ltd (ATM NZ)

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

The A2 Milk Company - FY23 Result — Gains and Strains

The a2 Milk Company (ATM) delivered a solid FY23 result in-line with our expectations, showing strong market share gains, particularly in its key...

Forsyth Barr

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

The A2 Milk Company - FY23 Preview — Important Delivery

We expect The a2 Milk Company (ATM) to report a solid FY23 result on Monday, 21 August, meeting or possibly exceeding its guidance.

Forsyth Barr

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

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