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>There could be one constituent change each for the NZX10 Index and the NZX50 Index/ NZX50 Portfolio Index in March.</li>
<li>The flows are limited but the impacts are huge, and the stocks could move ahead of the announcement of the changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/a2-milk-co-ltd" target="_blank" data-smartkarma-citation="entities:17656:1" rel="noopener">A2 Milk Co Ltd (ATM NZ)</a> is a potential inclusion to the NZX10 Index, but the inflows will be completely overshadowed by the potential deletion from a global index.</li>
</ul>


There could be one constituent change each for the NZX10 Index and the NZX50 Index/ NZX50 Portfolio Index in March.
The flows are limited but the impacts are huge, and the stocks could move ahead of the announcement of the changes.

A2 Milk Co Ltd (ATM NZ) is a potential inclusion to the NZX10 Index, but the inflows will be completely overshadowed by the potential deletion from a global index.


S&P/NZX Index Rebalance Preview: Couple of Changes in March

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Nov 8th (reported today) which has an aggregated short interest worth USD25.2bn.</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 National Australia Bank, Sigma Pharmaceuticals, Macquarie, Aristocrat Leisure, Evolution Mining.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Nov 8th (reported today) which has an aggregated short interest worth USD25.2bn.
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 National Australia Bank, Sigma Pharmaceuticals, Macquarie, Aristocrat Leisure, Evolution Mining.


ASX Short Interest Weekly (Nov 8th): National Australia Bank, Sigma Pharmaceuticals, Macquarie

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

Equity Bottom-Up

Fonterra Shareholders Fund / Equity Bottom-Up

<ul>
<li>Fonterra Shareholders Fund's dividend yield was 14.2% in 2023. Its dividend yield averaged 8.7% in the past three years. </li>
<li>Fonterra Co-Operative Group, is a New Zealand based multinational dairy cooperative. Outside investors who are not allowed to hold shares in Fonterra Co-Operative Group can invest in Fonterra Shareholders Fund. </li>
<li>In May 2024, Fonterra announced that it plans to sell off its consumer products businesses and concentrate on business to business sales as a dairy ingredients supplier.</li>
</ul>


Fonterra Shareholders Fund's dividend yield was 14.2% in 2023. Its dividend yield averaged 8.7% in the past three years. 
Fonterra Co-Operative Group, is a New Zealand based multinational dairy cooperative. Outside investors who are not allowed to hold shares in Fonterra Co-Operative Group can invest in Fonterra Shareholders Fund. 
In May 2024, Fonterra announced that it plans to sell off its consumer products businesses and concentrate on business to business sales as a dairy ingredients supplier.


Asian Dividend Gems: Fonterra Shareholders Fund

<ul>
<li>
<a href="https://www.smartkarma.com/entities/a2-milk-co-ltd-95d4fbed-afa1-41e9-bafb-a5f1ef97622e" target="_blank" data-smartkarma-citation="entities:22775:1" rel="noopener">A2 Milk Co Ltd (A2M AU)</a>, <a href="https://www.smartkarma.com/entities/amp-ltd" target="_blank" data-smartkarma-citation="entities:678:1" rel="noopener">AMP Ltd (AMP 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> will be deleted from the MVIS Australia Equal Weight Index at the close 15 December.</li>
<li>Constituent changes plus capping and float changes result in a one-way turnover of 5.05% and will result in a one-way trade of A$99m.</li>
<li>There is a fair amount of short interest on the deletions and shorts could look to cover against the passive flow.</li>
</ul>



A2 Milk Co Ltd (A2M AU), AMP Ltd (AMP AU) and Charter Hall (CHC AU) will be deleted from the MVIS Australia Equal Weight Index at the close 15 December.
Constituent changes plus capping and float changes result in a one-way turnover of 5.05% and will result in a one-way trade of A$99m.
There is a fair amount of short interest on the deletions and shorts could look to cover against the passive flow.


MVIS Australia Equal Weight Index Rebalance: Three Deletions & Other Changes

<ul>
<li>There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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)

S&P/NZX Index Rebalance Preview: Couple of Changes in March

There could be one change each for the NZX10 and NZX50 indices in March. Flows in the stocks are limited but impact is huge. A2Milk could have huge...

Brian Freitas

ASX Short Interest Weekly (Nov 8th): National Australia Bank, Sigma Pharmaceuticals, Macquarie

We analyzed ASX short interest report for the past week and highlight short interest changes in National Australia Bank, Sigma Pharmaceuticals,...

Ke Yan, CFA, FRM

Asian Dividend Gems: Fonterra Shareholders Fund

Fonterra Shareholders Fund provides high dividend yield. Fonterra is the number one dairy producer in New Zealand. Its plans to divest Consumer...

Douglas Kim

MVIS Australia Equal Weight Index Rebalance: Three Deletions & Other Changes

There are 3 deletions for the index in December. Estimated one-way turnover is 5% resulting in a one-way trade of A$99m. Shorts will look to cover...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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

Brian Freitas

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