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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/cie-de-saint-gobain" target="_blank" data-smartkarma-citation="entities:21547:1" rel="noopener">Cie De Saint-Gobain (SGO FP)</a> has approached <a href="https://www.smartkarma.com/entities/csr-ltd" target="_blank" data-smartkarma-citation="entities:17380:1" rel="noopener">CSR Ltd (CSR AU)</a> with a non-binding indicative offer to acquire all of CSR's shares at A$9/share via a scheme of arrangement.</li>
<li>At the last close of CSR (pre-trading halt) the gross spread to the offer price is 13.21%. That will close significantly once the stock resumes trading.</li>
<li>Given the large premium to the last close, at a price higher than the highest high, and support from the CSR Board, the deal should go through.</li>
</ul>



Cie De Saint-Gobain (SGO FP) has approached CSR Ltd (CSR AU) with a non-binding indicative offer to acquire all of CSR's shares at A$9/share via a scheme of arrangement.
At the last close of CSR (pre-trading halt) the gross spread to the offer price is 13.21%. That will close significantly once the stock resumes trading.
Given the large premium to the last close, at a price higher than the highest high, and support from the CSR Board, the deal should go through.


CSR Ltd (CSR AU): Saint-Gobain's A$9/Share Offer

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The September 2023 index changes for the ES50 index was confirmed after the close on Friday 1st September 2023.</li>
<li>There will be two ADDs and two DELETEs. One set of changes was well anticipated by us. The other set comes as a major surprise to us.</li>
<li>Collectively, the two ADDs could see ~US$2.4bn index flows and the two DELs could see ~US$2.9bn index flows, with US$500mm of reverse funding flows.</li>
</ul>


The September 2023 index changes for the ES50 index was confirmed after the close on Friday 1st September 2023.
There will be two ADDs and two DELETEs. One set of changes was well anticipated by us. The other set comes as a major surprise to us.
Collectively, the two ADDs could see ~US$2.4bn index flows and the two DELs could see ~US$2.9bn index flows, with US$500mm of reverse funding flows.


Quiddity ES50 Sep 23 Rebal: Ferrari/Vonovia Change Confirmed + Another US$2bn+ Flow Surprise!

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>Global equities are under some pressure after Fitch downgraded the United States' credit rating to AA+ from AAA.</li>
<li>We expect that this is a normal 3%-6% pullback to the 50-day MA or major $93 support level on the MSCI ACWI <a href="https://www.smartkarma.com/entities/ishares-msci-acwi-etf" target="_blank" data-smartkarma-citation="entities:24402:1" rel="noopener">iShares MSCI ACWI ETF (ACWI US)</a> .</li>
<li>$TNX is below 4.1%-4.3% and DXY remains in an 8-month downtrend; as long as this remains true, we'd buy on a pullback to the 50-day MA and/or $93 on ACWI-US</li>
</ul>


Global equities are under some pressure after Fitch downgraded the United States' credit rating to AA+ from AAA.
We expect that this is a normal 3%-6% pullback to the 50-day MA or major $93 support level on the MSCI ACWI iShares MSCI ACWI ETF (ACWI US) .
$TNX is below 4.1%-4.3% and DXY remains in an 8-month downtrend; as long as this remains true, we'd buy on a pullback to the 50-day MA and/or $93 on ACWI-US


Normal Pullback, or Something More?; Watching Resistance on DXY and 10-Yr Treasury Yield; Value Buys

<ul>
<li>The ES50 Index is one of the most highly-tracked indices in mainland Europe and the annual index review takes place in September.</li>
<li>Historically, these Rebalance events have had significant volume and ADV impact and they generally involve large cap names. </li>
<li>In this insight, we take a look the names leading the race to become ADDs/DELs for the upcoming index review in September 2023.</li>
</ul>


The ES50 Index is one of the most highly-tracked indices in mainland Europe and the annual index review takes place in September.
Historically, these Rebalance events have had significant volume and ADV impact and they generally involve large cap names. 
In this insight, we take a look the names leading the race to become ADDs/DELs for the upcoming index review in September 2023.


Quiddity Leaderboard ES50 Sep 23: Ferrari Retains the Lead; US$1.26bn Potential Inflow

<ul>
<li>The EURO STX 50 Index is one of the most highly-tracked indices in mainland Europe and the annual index review takes place in September.</li>
<li>Historically, these Rebalance events have had significant volume impact and they generally involve large cap names. </li>
<li>In this insight, we take a look the names leading the race to become ADDs/DELs for the upcoming index review in September 2023.</li>
</ul>


The EURO STX 50 Index is one of the most highly-tracked indices in mainland Europe and the annual index review takes place in September.
Historically, these Rebalance events have had significant volume impact and they generally involve large cap names. 
In this insight, we take a look the names leading the race to become ADDs/DELs for the upcoming index review in September 2023.


Quiddity Leaderboard ES50 Sep 23:  Eurozone’s Annual Big Impact Rebal Trades; US$1.1bn+ for ADDs

France

Compagnie de Saint-Gobain manufactures glass products, high-performance materials, and construction materials.  The Company produces flat glass, insulation, and glass containers, high-performance ceramics, plastics, and abrasives, and building materials such as roofing, wall facings, mortars, and ductile cast iron pipe.  Saint-Gobain also retails building materials.

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Cie De Saint-Gobain (SGO FP)

Quiddity ES50 Sep 23 Rebal: Ferrari/Vonovia Change Confirmed + Another US$2bn+ Flow Surprise!

I would look to go SHORT Saint-Gobain vs peers during the Inclusion event especially if Saint-Gobain sharply outperforms peers between now and the...

Janaghan Jeyakumar, CFA

Normal Pullback, or Something More?; Watching Resistance on DXY and 10-Yr Treasury Yield; Value Buys

Normal Pullback, or Something More for global equities?; Watch Resistance on $DXY and 10-Yr Treasury Yield; Value Buys in Consumer Discretionary...

Vermilion Research

Quiddity Leaderboard ES50 Sep 23: Ferrari Retains the Lead; US$1.26bn Potential Inflow

If Ferrari's share price does not fall by more than 10% vs other potential ADDs, Ferrari could become an ADD and experience an index inflow of...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ES50 Sep 23: Eurozone’s Annual Big Impact Rebal Trades; US$1.1bn+ for ADDs

Vonovia SE (VNA GR) is a high-conviction DEL and Wolters Kluwer Nv (WKL NA) but Ferrari NV (RACE IM) are leading the race to take Vonovia's slot in...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSR Ltd (CSR AU): Saint-Gobain's A$9/Share Offer

Saint-Gobain has approached CSR with a non-binding indicative offer to acquire all CSR shares at A$9/share. The trend of Construction Materials...

Brian Freitas

Quiddity ES50 Sep 23 Rebal: Ferrari/Vonovia Change Confirmed + Another US$2bn+ Flow Surprise!

I would look to go SHORT Saint-Gobain vs peers during the Inclusion event especially if Saint-Gobain sharply outperforms peers between now and the...

Janaghan Jeyakumar, CFA

Normal Pullback, or Something More?; Watching Resistance on DXY and 10-Yr Treasury Yield; Value Buys

Normal Pullback, or Something More for global equities?; Watch Resistance on $DXY and 10-Yr Treasury Yield; Value Buys in Consumer Discretionary...

Vermilion Research

Quiddity Leaderboard ES50 Sep 23: Ferrari Retains the Lead; US$1.26bn Potential Inflow

If Ferrari's share price does not fall by more than 10% vs other potential ADDs, Ferrari could become an ADD and experience an index inflow of...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ES50 Sep 23: Eurozone’s Annual Big Impact Rebal Trades; US$1.1bn+ for ADDs

Vonovia SE (VNA GR) is a high-conviction DEL and Wolters Kluwer Nv (WKL NA) but Ferrari NV (RACE IM) are leading the race to take Vonovia's slot in...

Janaghan Jeyakumar, CFA