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 is one add, one delete, one listing change, plus float and capping changes for the <a href="https://www.smartkarma.com/entities/vaneck-vectors-junior-gold-miners-etf" target="_blank" data-smartkarma-citation="entities:32845:1" rel="noopener">VanEck Vectors Junior Gold Miners ETF (GDXJ US)</a> in September.</li>
<li>Estimated one-way turnover is 6.1% and that results in a one-way trade of US$240m. There are 31 stocks with over 1 day of ADV to trade from passive trackers.</li>
<li>There will be some same way and some opposite flows between the <a href="https://www.smartkarma.com/entities/vaneck-vectors-junior-gold-miners-etf" target="_blank" data-smartkarma-citation="entities:32845:1" rel="noopener">VanEck Vectors Junior Gold Miners ETF (GDXJ)</a> and <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)</a> trackers at the close on 15 September.</li>
</ul>


There is one add, one delete, one listing change, plus float and capping changes for the VanEck Vectors Junior Gold Miners ETF (GDXJ US) in September.
Estimated one-way turnover is 6.1% and that results in a one-way trade of US$240m. There are 31 stocks with over 1 day of ADV to trade from passive trackers.
There will be some same way and some opposite flows between the VanEck Vectors Junior Gold Miners ETF (GDXJ) and S&amp;P/ASX 200 (AS51) trackers at the close on 15 September.


MVIS Global Junior Gold Miners Index Rebalance: One Add, One Delete, Float, Capping = Big Impact

<ul>
<li>The changes for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150 Index</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI300 Index</a>, <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">STAR50 INDEX</a> and a bunch of other onshore China indices were implemented last week.</li>
<li>The coming week has a lot of rebalance implementations on Friday with the S&amp;P/ASX family and the MVIS family, among others.</li>
<li>AUM for the Yuanta/P-shares Taiwan Top 50 ETF (0050 TT) has continued to increase with big inflows in the last week.</li>
</ul>


The changes for the KOSPI2 INDEX, KOSDAQ150 Index, CSI300 Index, STAR50 INDEX and a bunch of other onshore China indices were implemented last week.
The coming week has a lot of rebalance implementations on Friday with the S&amp;P/ASX family and the MVIS family, among others.
AUM for the Yuanta/P-shares Taiwan Top 50 ETF (0050 TT) has continued to increase with big inflows in the last week.


Index Rebalance & ETF Flow Recap: HSCI, GDXJ, KRX New Deal, AMFI, Amman Mineral, Infratil

<ul>
<li>The changes to the MVIS Global Junior Gold Miners Index (MVGDXJ) were announced on 9 June and will be implemented at the close on 16 June.</li>
<li>Though there are no constituent changes, changes to free floats and capping factors will result in an estimated one-way turnover of 6.26% and in a one-way trade of US$251m.</li>
<li>The largest passive inflows will be in <a href="https://www.smartkarma.com/entities/alamos-gold-inc-75888dd6-1d65-427e-950c-393b5d90ab2e" target="_blank" data-smartkarma-citation="entities:38624:1" rel="noopener">Alamos Gold (AGI US)</a>, <a href="https://www.smartkarma.com/entities/kinross-gold-corp-4566bc5d-6053-4c59-9b54-891e37079607" target="_blank" data-smartkarma-citation="entities:33288:1" rel="noopener">Kinross Gold Corp (KGC US)</a>, <a href="https://www.smartkarma.com/entities/endeavour-mining-corp" target="_blank" data-smartkarma-citation="entities:25621:1" rel="noopener">Endeavour Mining (EDV CN)</a>, <a href="https://www.smartkarma.com/entities/b2gold-corp-fee72de9-9219-4f08-9e4a-eff9db71e070" target="_blank" data-smartkarma-citation="entities:33420:1" rel="noopener">B2Gold Corp (BTG US)</a> and <a href="https://www.smartkarma.com/entities/centerra-gold-inc" target="_blank" data-smartkarma-citation="entities:25634:1" rel="noopener">Centerra Gold (CG CN)</a>. </li>
</ul>


The changes to the MVIS Global Junior Gold Miners Index (MVGDXJ) were announced on 9 June and will be implemented at the close on 16 June.
Though there are no constituent changes, changes to free floats and capping factors will result in an estimated one-way turnover of 6.26% and in a one-way trade of US$251m.
The largest passive inflows will be in Alamos Gold (AGI US), Kinross Gold Corp (KGC US), Endeavour Mining (EDV CN), B2Gold Corp (BTG US) and Centerra Gold (CG CN). 


MVIS Global Junior Gold Miners Index Rebalance: Big Float & Capping Changes

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

iShares MSCI ACWI ETF / Technical Analysis

<ul>
<li>Our 2023 outlook, initially discussed in our January 6th 2023 Int'l Compass, was for $93 to cap upside on the MSCI ACWI (ACWI-US); this has again proven prescient.</li>
<li>Since late-January/early-February we have recommended shifting to defensives, and MSCI ACWI defensive Sectors including Health Care (IXJ-US), Utilities (JXI-US), and Consumer Staples (KXI-US) are now hitting 3-4-month RS highs.</li>
<li>With the ACWI-US just now starting to turn down after testing $93, we continue to recommend a tactical overweight to the aforementioned defensive Sectors, and also to gold miners (GDX-US).</li>
</ul>


Our 2023 outlook, initially discussed in our January 6th 2023 Int'l Compass, was for $93 to cap upside on the MSCI ACWI (ACWI-US); this has again proven prescient.
Since late-January/early-February we have recommended shifting to defensives, and MSCI ACWI defensive Sectors including Health Care (IXJ-US), Utilities (JXI-US), and Consumer Staples (KXI-US) are now hitting 3-4-month RS highs.
With the ACWI-US just now starting to turn down after testing $93, we continue to recommend a tactical overweight to the aforementioned defensive Sectors, and also to gold miners (GDX-US).


Stay Tactically Overweight Defensives; Remain Overweight Europe, Japan, & EAFE. Buys in Defensives

Canada

Alamos Gold Inc. is a Canadian-based gold producer operating three mines in North America. The Company explores and produces gold from mines. Alamos Gold operates portfolio of development stage projects in Canada, Mexico, Turkey, and the United States.

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Alamos Gold (AGI US)

MVIS Global Junior Gold Miners Index Rebalance: One Add, One Delete, Float, Capping = Big Impact

There is 1 add and 1 delete for the GDXJ in September. Float + capping changes result in a one-way trade of US$240m. There will be some same-way...

Brian Freitas

Index Rebalance & ETF Flow Recap: HSCI, GDXJ, KRX New Deal, AMFI, Amman Mineral, Infratil

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

Brian Freitas

MVIS Global Junior Gold Miners Index Rebalance: Big Float & Capping Changes

Though there are no constituent changes for the GDXJ, changes to free floats and capping factors will result in an estimated one-way turnover of...

Brian Freitas

Stay Tactically Overweight Defensives; Remain Overweight Europe, Japan, & EAFE. Buys in Defensives

$93 on $ACWI continues to be a key resistance that we have discussed since early-Jan as capping upside for 2023. Stick with defensives $IXJ $XLV...

Vermilion Research

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