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

Semirara Mining & Power / Index Rebalance

<ul>
<li>With just over a month to go in the review period for the August rebalance of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a>, we expect one potential change. </li>
<li>
<a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a> is a potential deletion. <a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> has a higher inclusion probability as compared to <a href="https://www.smartkarma.com/entities/unionbank-of-the-philippines" target="_blank" data-smartkarma-citation="entities:23192:1" rel="noopener">UnionBank of the Philippines (UBP PM)</a>. </li>
<li>Passive funds will need to trade quite a few days of ADV on the stocks. Historically, the adds have outperformed the deletes in the last leg of the review period.</li>
</ul>


With just over a month to go in the review period for the August rebalance of the Philippines Stock Exchange PSEi Index (PCOMP INDEX), we expect one potential change. 

Security Bank (SECB PM) is a potential deletion. Semirara Mining And Power Corp (SCC PM) has a higher inclusion probability as compared to UnionBank of the Philippines (UBP PM). 
Passive funds will need to trade quite a few days of ADV on the stocks. Historically, the adds have outperformed the deletes in the last leg of the review period.


PCOMP Index Rebalance Preview Aug 22: One Set of Potential Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador Inc (EMP PM)</a> and <a href="https://www.smartkarma.com/entities/monde-nissin-corp" target="_blank" data-smartkarma-citation="entities:32188:1" rel="noopener">Monde Nissin Corp (MONDE PM)</a> will replace <a href="https://www.smartkarma.com/entities/bloomberry-resorts-corp" target="_blank" data-smartkarma-citation="entities:17961:1" rel="noopener">Bloomberry Resorts (BLOOM PM)</a> and <a href="https://www.smartkarma.com/entities/robinsons-retail-holdings-inc" target="_blank" data-smartkarma-citation="entities:10598:1" rel="noopener">Robinsons Retail Holdings (RRHI PM)</a> in the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP)</a>.</li>
<li>There will be a lot to trade from passive funds. Implementation will take place at the close on 11 February - there are only 5 days to go.</li>
<li>
<a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador Inc (EMP PM)</a> has rallied over the last month while the deletions have traded lower. As re-opening plays, the passive selling could provide an opportunity to buy the deletes.</li>
</ul>



Emperador Inc (EMP PM) and Monde Nissin Corp (MONDE PM) will replace Bloomberry Resorts (BLOOM PM) and Robinsons Retail Holdings (RRHI PM) in the Philippines Stock Exchange PSEi Index (PCOMP).
There will be a lot to trade from passive funds. Implementation will take place at the close on 11 February - there are only 5 days to go.

Emperador Inc (EMP PM) has rallied over the last month while the deletions have traded lower. As re-opening plays, the passive selling could provide an opportunity to buy the deletes.


PCOMP Index Rebalance: EMP, MONDE Could Pop; BLOOM, RRHI Could Drop

<ul>
<li>We see three potential changes to the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> at the February rebalance. Two are higher probability changes, while one has a lower probability.</li>
<li>Typically, the inclusions rally and the deletions drop between announcement and implementation with a big jump immediately post announcement. Pre-positioning prior to announcement is important.</li>
<li>
<a href="https://www.smartkarma.com/entities/bloomberry-resorts-corp" target="_blank" data-smartkarma-citation="entities:17961:1" rel="noopener">Bloomberry Resorts (BLOOM PM)</a> and <a href="https://www.smartkarma.com/entities/robinsons-retail-holdings-inc" target="_blank" data-smartkarma-citation="entities:10598:1" rel="noopener">Robinsons Retail Holdings (RRHI PM)</a> are reopening plays and investors that are looking to buy the stocks could wait for index deletion to get liquidity.</li>
</ul>


We see three potential changes to the Philippines Stock Exchange PSEi Index (PCOMP INDEX) at the February rebalance. Two are higher probability changes, while one has a lower probability.
Typically, the inclusions rally and the deletions drop between announcement and implementation with a big jump immediately post announcement. Pre-positioning prior to announcement is important.

Bloomberry Resorts (BLOOM PM) and Robinsons Retail Holdings (RRHI PM) are reopening plays and investors that are looking to buy the stocks could wait for index deletion to get liquidity.


PCOMP Index Rebalance Preview Feb22: Three Potential Changes & Large Impact

The Philippines Stock Exchange has announced the changes to the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> as part of the August rebalance.<a href="https://www.smartkarma.com/entities/ac-energy-corp" target="_blank" data-smartkarma-citation="entities:23188:1" rel="noopener">AC Energy Corp (ACEN PM)</a> and <a href="https://www.smartkarma.com/entities/converge-ict-solutions-inc-609f7498-aeeb-430e-a07d-50503172a1e3" target="_blank" data-smartkarma-citation="entities:31210:1" rel="noopener">Converge ICT Solutions (CNVRG PM)</a> have been added to the index while <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador Inc (EMP PM)</a> and <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> have been deleted.There are minimal assets tracking the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a>. However, there are active funds using the index as a benchmark and some of the funds track the benchmark pretty closely. The impact is clearly visible today with <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador Inc (EMP PM)</a> and <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> lower by 9.5% and 5%, while <a href="https://www.smartkarma.com/entities/ac-energy-corp" target="_blank" data-smartkarma-citation="entities:23188:1" rel="noopener">AC Energy Corp (ACEN PM)</a> and <a href="https://www.smartkarma.com/entities/converge-ict-solutions-inc-609f7498-aeeb-430e-a07d-50503172a1e3" target="_blank" data-smartkarma-citation="entities:31210:1" rel="noopener">Converge ICT Solutions (CNVRG PM)</a> are up 4% and 13% respectively.We had <a href="https://www.smartkarma.com/entities/ac-energy-corp" target="_blank" data-smartkarma-citation="entities:23188:1" rel="noopener">AC Energy Corp (ACEN PM)</a> as an inclusion and <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador Inc (EMP PM)</a> as a deletion. <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> was a close delete. <a href="https://www.smartkarma.com/entities/converge-ict-solutions-inc-609f7498-aeeb-430e-a07d-50503172a1e3" target="_blank" data-smartkarma-citation="entities:31210:1" rel="noopener">Converge ICT Solutions (CNVRG PM)</a> was added following a rule change that was announced and implemented at the same time as the constituent changes and that resulted in the deletion of <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> as well.There are also some rule changes related minimum free float, to Fast Entry for stocks, and to the inclusion/exclusion cutoff rankings at the regular rebalances.

The Philippines Stock Exchange has announced the changes to the Philippines Stock Exchange PSEi Index (PCOMP INDEX) as part of the August rebalance.AC Energy Corp (ACEN PM) and Converge ICT Solutions (CNVRG PM) have been added to the index while Emperador Inc (EMP PM) and DMCI Holdings (DMC PM) have been deleted.There are minimal assets tracking the Philippines Stock Exchange PSEi Index (PCOMP INDEX). However, there are active funds using the index as a benchmark and some of the funds track the benchmark pretty closely. The impact is clearly visible today with Emperador Inc (EMP PM) and DMCI Holdings (DMC PM) lower by 9.5% and 5%, while AC Energy Corp (ACEN PM) and Converge ICT Solutions (CNVRG PM) are up 4% and 13% respectively.We had AC Energy Corp (ACEN PM) as an inclusion and Emperador Inc (EMP PM) as a deletion. DMCI Holdings (DMC PM) was a close delete. Converge ICT Solutions (CNVRG PM) was added following a rule change that was announced and implemented at the same time as the constituent changes and that resulted in the deletion of DMCI Holdings (DMC PM) as well.There are also some rule changes related minimum free float, to Fast Entry for stocks, and to the inclusion/exclusion cutoff rankings at the regular rebalances.

PCOMP Index Rebalance: ACEN, CNVRG Added; EMP, DMCI Deleted

The <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> is the main index of the Philippines Stock Exchange (PSE). The index is free float market cap weighted and is made up of the 30 largest and most active common stocks listed at the PSE.The next rebalance will become effective in mid-August and the changes will be announced around 5 trading days prior to implementation.We see <a href="https://www.smartkarma.com/entities/ac-energy-corp" target="_blank" data-smartkarma-citation="entities:23188:1" rel="noopener">AC Energy Corp (ACEN PM)</a> as a likely inclusion in the index. Potential deletions are <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador Inc (EMP PM)</a> on liquidity and possibly free float and <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> as the lowest ranked index constituent.There are minimal assets tracking the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a>. However, there are active funds using the index as a benchmark and some of the funds track the benchmark pretty closely. Historically, the adds have performed well in the period leading up to implementation.

The Philippines Stock Exchange PSEi Index (PCOMP INDEX) is the main index of the Philippines Stock Exchange (PSE). The index is free float market cap weighted and is made up of the 30 largest and most active common stocks listed at the PSE.The next rebalance will become effective in mid-August and the changes will be announced around 5 trading days prior to implementation.We see AC Energy Corp (ACEN PM) as a likely inclusion in the index. Potential deletions are Emperador Inc (EMP PM) on liquidity and possibly free float and DMCI Holdings (DMC PM) as the lowest ranked index constituent.There are minimal assets tracking the Philippines Stock Exchange PSEi Index (PCOMP INDEX). However, there are active funds using the index as a benchmark and some of the funds track the benchmark pretty closely. Historically, the adds have performed well in the period leading up to implementation.

PCOMP Index Rebalance Preview: Inclusion Fairly Certain; Deletion Undecided

Philippines

ACEN is a sustainable energy company engaged in power generation and trading, with a focus on renewable energy sources like solar, wind, geothermal, and battery storage across the Asia Pacific region. The company is committed to transitioning to 100% renewable energy generation by 2025 and aims for Net Zero greenhouse gas emissions by 2050. It was founded in 2011 and is headquartered in Makati City, Philippines.

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ACEN (ACEN PM)

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PCOMP Index Rebalance Preview: Inclusion Fairly Certain; Deletion Undecided

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Brian Freitas

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