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>With three-quarters of the review period complete, there could be a bunch of changes across the S&amp;P/ASX family of indices in June.</li>
<li>The <a href="https://www.smartkarma.com/entities/red-5-ltd" target="_blank" data-smartkarma-citation="entities:7940:1" rel="noopener">Red 5 Ltd (RED AU)</a> / <a href="https://www.smartkarma.com/entities/silver-lake-resources-ltd" target="_blank" data-smartkarma-citation="entities:6529:1" rel="noopener">Silver Lake Resources (SLR AU)</a> merger could lead to an ad hoc change prior to the implementation of the June rebalance.</li>
<li>There will be 1.6-25 days of ADV to buy from passives in the inclusions while the impact on the deletions will range between 0.8-11 days of ADV.</li>
</ul>


With three-quarters of the review period complete, there could be a bunch of changes across the S&amp;P/ASX family of indices in June.
The Red 5 Ltd (RED AU) / Silver Lake Resources (SLR AU) merger could lead to an ad hoc change prior to the implementation of the June rebalance.
There will be 1.6-25 days of ADV to buy from passives in the inclusions while the impact on the deletions will range between 0.8-11 days of ADV.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to June

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run-up to the June 2024 index rebal event.</li>
<li>There are up to two intra-review changes possible between now and the June 2024 review which could triggered by the <a href="https://www.smartkarma.com/entities/silver-lake-resources-ltd" target="_blank" data-smartkarma-citation="entities:6529:1" rel="noopener">Silver Lake (SLR AU)</a> and <a href="https://www.smartkarma.com/entities/boral-ltd" target="_blank" data-smartkarma-citation="entities:1487:1" rel="noopener">Boral (BLD AU)</a> deals.</li>
<li>Separately, I see one ASX 20 change and two ASX 100 changes for the regular rebalance in June 2024.</li>
</ul>


In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run-up to the June 2024 index rebal event.
There are up to two intra-review changes possible between now and the June 2024 review which could triggered by the Silver Lake (SLR AU) and Boral (BLD AU) deals.
Separately, I see one ASX 20 change and two ASX 100 changes for the regular rebalance in June 2024.


Quiddity Leaderboard ASX Jun 24: A Couple of Intra-Review Changes Likely

James Hardie Industries Plc / Index Rebalance

<ul>
<li>In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run-up to the June 2024 index rebal event.</li>
<li>Prior to the June 2024 review, there could be one intra-review change triggered by the completion of the <a href="https://www.smartkarma.com/entities/silver-lake-resources-ltd" target="_blank" data-smartkarma-citation="entities:6529:1" rel="noopener">Silver Lake Resources (SLR AU)</a> / <a href="https://www.smartkarma.com/entities/red-5-ltd" target="_blank" data-smartkarma-citation="entities:7940:1" rel="noopener">Red 5 Ltd (RED AU)</a> deal.</li>
<li>Separately, I see one ASX 20 change and two ASX 100 changes for the regular rebalance in June 2024.</li>
</ul>


In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run-up to the June 2024 index rebal event.
Prior to the June 2024 review, there could be one intra-review change triggered by the completion of the Silver Lake Resources (SLR AU) / Red 5 Ltd (RED AU) deal.
Separately, I see one ASX 20 change and two ASX 100 changes for the regular rebalance in June 2024.


Quiddity Leaderboard ASX Jun 24: Can Codan Become an Intra-Review ASX 200 ADD?

<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

<ul>
<li>There are 3 changes for the <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 INDEX)</a> that will be implemented at the close on 15 December. One name is a relative surprise.</li>
<li>There will be 8-15 days of ADV to buy on the inclusions and there will be 12-18 days of ADV to sell on the deletions.</li>
<li>Cumulative excess volume and changes in short interest indicate there will be positioning in most stocks. But it may not yet be enough to cover the passive trade.</li>
</ul>


There are 3 changes for the S&amp;P/ASX 200 (AS51 INDEX) that will be implemented at the close on 15 December. One name is a relative surprise.
There will be 8-15 days of ADV to buy on the inclusions and there will be 12-18 days of ADV to sell on the deletions.
Cumulative excess volume and changes in short interest indicate there will be positioning in most stocks. But it may not yet be enough to cover the passive trade.


S&P/​​​​ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough

Australia

Codan Limited develops rugged and electronics solutions for international government, corporate, NGO and consumer markets. The company's line of business includes provision of radio communications, metal detection and tracking solutions.

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Codan (CDA AU)

S&P/ASX Index Rebalance Preview: Potential Changes from Now to June

Performance has been mixed across the various indices but could start moving the right way as we near the end of the review period and there is...

Brian Freitas

Quiddity Leaderboard ASX Jun 24: A Couple of Intra-Review Changes Likely

I would be LONG Codan (CDA AU) vs the ASX 200 index because I see that as the top potential replacement name for the next ASX 200 change.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ASX Jun 24: Can Codan Become an Intra-Review ASX 200 ADD?

With multiple names in the list of ASX 200 potential ADDs involved in takeover situations, Codan could appear as a surprise intra-review addition...

Janaghan Jeyakumar, CFA

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

S&P/ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough

As expected, 3 changes for the ASX200 in Dec. But one add is a relative 'surprise'. There is a lot to trade from passives. But there is positioning...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/​​​​​​​​​ASX Index Rebalance Preview: Potential Changes from Now to June

Performance has been mixed across the various indices but could start moving the right way as we near the end of the review period and there is...

Brian Freitas

Quiddity Leaderboard ASX Jun 24: A Couple of Intra-Review Changes Likely

I would be LONG Codan (CDA AU) vs the ASX 200 index because I see that as the top potential replacement name for the next ASX 200 change.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard ASX Jun 24: Can Codan Become an Intra-Review ASX 200 ADD?

With multiple names in the list of ASX 200 potential ADDs involved in takeover situations, Codan could appear as a surprise intra-review addition...

Janaghan Jeyakumar, CFA

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

S&P/​​​​ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough

As expected, 3 changes for the ASX200 in Dec. But one add is a relative 'surprise'. There is a lot to trade from passives. But there is positioning...

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes from Now to June

S&P/ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough