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 are no constituent changes for the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> in June but there are capping changes for the Select Sector indices and the Equal Weight Index.</li>
<li>The round-trip trade is US$17.4bn with a big chunk from the Equal Weight Index, <a href="https://www.smartkarma.com/entities/communication-services-select-sector-spdr-fund" target="_blank" data-smartkarma-citation="entities:27534:1" rel="noopener">Communication Services Select Sector SPDR Fund (XLC US)</a> and <a href="https://www.smartkarma.com/entities/energy-select-sector-spdr-fund" target="_blank" data-smartkarma-citation="entities:27537:1" rel="noopener">Energy Select Sector SPDR Fund (XLE US)</a>. </li>
<li>The largest flows are expected in <a href="https://www.smartkarma.com/entities/exxon-mobil-corp" target="_blank" data-smartkarma-citation="entities:811:1" rel="noopener">Exxon Mobil</a>, <a href="https://www.smartkarma.com/entities/alphabet-inc" target="_blank" data-smartkarma-citation="entities:33361:1" rel="noopener">Alphabet</a>, <a href="https://www.smartkarma.com/entities/chevron-corp" target="_blank" data-smartkarma-citation="entities:11091:1" rel="noopener">Chevron Corp</a>, <a href="https://www.smartkarma.com/entities/visa-inc-class-a-shares" target="_blank" data-smartkarma-citation="entities:8707:1" rel="noopener">Visa</a>, <a href="https://www.smartkarma.com/entities/blackstone-inc" target="_blank" data-smartkarma-citation="entities:27166:1" rel="noopener">Blackstone</a>, <a href="https://www.smartkarma.com/entities/live-nation-entertainment-inc" target="_blank" data-smartkarma-citation="entities:6893:1" rel="noopener">Live Nation Entertainment</a>, <a href="https://www.smartkarma.com/entities/meta-platforms-inc-class-a-facebook" target="_blank" data-smartkarma-citation="entities:665:1" rel="noopener">Meta</a>, <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom</a>, <a href="https://www.smartkarma.com/entities/tko-group-holdings-inc" target="_blank" data-smartkarma-citation="entities:40463:1" rel="noopener">TKO Group Holdings</a>, <a href="https://www.smartkarma.com/entities/dell-technologies-inc" target="_blank" data-smartkarma-citation="entities:32189:1" rel="noopener">Dell Technologies</a> and <a href="https://www.smartkarma.com/entities/omnicom-group" target="_blank" data-smartkarma-citation="entities:15775:1" rel="noopener">Omnicom Group</a>.</li>
</ul>


There are no constituent changes for the S&amp;P 500 INDEX (SPX INDEX) in June but there are capping changes for the Select Sector indices and the Equal Weight Index.
The round-trip trade is US$17.4bn with a big chunk from the Equal Weight Index, Communication Services Select Sector SPDR Fund (XLC US) and Energy Select Sector SPDR Fund (XLE US). 
The largest flows are expected in Exxon Mobil, Alphabet, Chevron Corp, Visa, Blackstone, Live Nation Entertainment, Meta, Broadcom, TKO Group Holdings, Dell Technologies and Omnicom Group.


Select Sector Indices and S&P Equal Weight Rebalance Preview: US$17bn Round-Trip Trade

HarmoniQ Insights

William Mann

Independent Insight Provider

At HarmoniQ Insights, we empower investors to enhance their investment strategies by integrating cutting-edge quantitative research processes and technologies. Our solutions provide access to leading quantitative data providers and services, tailored to align with each client’s unique goals. By bridging the gap between traditional investment approaches and advanced data-driven methods, we help clients gain a competitive edge through innovation in both process and technology.

Quantitative Analysis

<ul>
<li>
Novel Twist Steepening Analysis: Empirically validated sector rotation opportunities in the current yield curve environment with rising long-term rates and falling short-term rates.</li>
<li>
Integrated Machine Learning Framework: Advanced ML techniques identify non-linear macro-asset relationships traditional models miss, enhancing strategy robustness during regime transitions.</li>
<li>
Actionable Cross-Asset Implementation: Detailed portfolio methodologies integrating findings across asset classes with specific trade recommendations for Q2 2025.</li>
</ul>



Novel Twist Steepening Analysis: Empirically validated sector rotation opportunities in the current yield curve environment with rising long-term rates and falling short-term rates.

Integrated Machine Learning Framework: Advanced ML techniques identify non-linear macro-asset relationships traditional models miss, enhancing strategy robustness during regime transitions.

Actionable Cross-Asset Implementation: Detailed portfolio methodologies integrating findings across asset classes with specific trade recommendations for Q2 2025.


Advanced Look: Navigating the New Macro Landscape Through Quantitative Alpha Generation Strategies

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> and capping changes will result in a round-trip trade of US$15.5bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>The Select Sector index trackers and S&amp;P500 Equal Weight trackers will need to buy the adds to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P500 INDEX</a> and sell the deletes, further increasing flow for the stocks.</li>
<li>The <a href="https://www.smartkarma.com/entities/vaneck-vectors-semiconductor" target="_blank" data-smartkarma-citation="entities:32807:1" rel="noopener">VanEck Vectors Semiconductor (SMH US)</a> ETF will be selling <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom (AVGO US)</a> at the same time as the Select Sector and S&amp;P500 Equal Weight Index trackers.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX and capping changes will result in a round-trip trade of US$15.5bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
The Select Sector index trackers and S&amp;P500 Equal Weight trackers will need to buy the adds to the S&amp;P500 INDEX and sell the deletes, further increasing flow for the stocks.
The VanEck Vectors Semiconductor (SMH US) ETF will be selling Broadcom (AVGO US) at the same time as the Select Sector and S&amp;P500 Equal Weight Index trackers.


Select Sector Indices and S&P Equal Weight Rebalance: US$15.5bn Flow Post Capping

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P500 INDEX</a> and capping changes will result in a round-trip trade of US$16.3bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>The Select Sector index trackers and S&amp;P500 Equal Weight trackers will need to buy the adds to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P500 INDEX</a> and sell the deletes, further increasing flow for the stocks.</li>
<li>The flows will change over the next week as stock prices move around, and final capping is done after the close on 14 March.</li>
</ul>


Constituent changes to the S&amp;P500 INDEX and capping changes will result in a round-trip trade of US$16.3bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
The Select Sector index trackers and S&amp;P500 Equal Weight trackers will need to buy the adds to the S&amp;P500 INDEX and sell the deletes, further increasing flow for the stocks.
The flows will change over the next week as stock prices move around, and final capping is done after the close on 14 March.


Select Sector Indices and S&P Equal Weight Rebalance: US$16.3bn Trade; Big Impact for EXE, TKO

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a>, S&amp;P Midcap400 Index and S&amp;P SmallCap600 Index for the March rebalance will be announced after market close on Friday.</li>
<li>There will also be capping changes for the Select Sector indices that will result in a round-trip trade of US$13.1bn. Constituent changes will add to that flow.</li>
<li>The largest inflows will be in <a href="https://www.smartkarma.com/entities/amazon-com-inc" target="_blank" data-smartkarma-citation="entities:409:1" rel="noopener">Amazon.com</a>, <a href="https://www.smartkarma.com/entities/tesla-inc" target="_blank" data-smartkarma-citation="entities:20279:1" rel="noopener">Tesla</a>, <a href="https://www.smartkarma.com/entities/microsoft-corp" target="_blank" data-smartkarma-citation="entities:15273:1" rel="noopener">Microsoft</a>, <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA</a>, <a href="https://www.smartkarma.com/entities/alphabet-inc" target="_blank" data-smartkarma-citation="entities:33361:1" rel="noopener">Alphabet (GOOGL US)</a> and <a href="https://www.smartkarma.com/entities/electronic-arts-inc" target="_blank" data-smartkarma-citation="entities:1179:1" rel="noopener">Electronic Arts</a>. Largest outflows are from <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom</a>, <a href="https://www.smartkarma.com/entities/meta-platforms-inc-class-a-facebook" target="_blank" data-smartkarma-citation="entities:665:1" rel="noopener">Meta Platforms</a>, <a href="https://www.smartkarma.com/entities/linde-plc" target="_blank" data-smartkarma-citation="entities:35233:1" rel="noopener">Linde</a>, <a href="https://www.smartkarma.com/entities/mcdonald-s-corp" target="_blank" data-smartkarma-citation="entities:1425:1" rel="noopener">Mcdonald's Corp</a> and <a href="https://www.smartkarma.com/entities/take-two-interactive-software-inc" target="_blank" data-smartkarma-citation="entities:14948:1" rel="noopener">Take Two Interactive</a>.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX (SPX INDEX), S&amp;P Midcap400 Index and S&amp;P SmallCap600 Index for the March rebalance will be announced after market close on Friday.
There will also be capping changes for the Select Sector indices that will result in a round-trip trade of US$13.1bn. Constituent changes will add to that flow.
The largest inflows will be in Amazon.com, Tesla, Microsoft, NVIDIA, Alphabet (GOOGL US) and Electronic Arts. Largest outflows are from Broadcom, Meta Platforms, Linde, Mcdonald's Corp and Take Two Interactive.


Select Sector Indices and S&P Equal Weight Rebalance Preview: Capping Changes & US$13bn Trade

United States

Consumer Staples Select Sector SPDR Fund is an exchange-traded fund incorporated in the USA. The ETF tracks The Consumer Staples Select Sector Index. The ETF holds large cap consumer staples stocks. Its holdings include cosmetic and personal care, pharmaceuticals, soft drinks, tobacco and food products. The ETF weights the holdings using a market capitalization methodology

Consumer Staples Select Sector SPDR Fund (XLP US)

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Consumer Staples Select Sector SPDR Fund (XLP US)

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Select Sector Indices and S&P Equal Weight Rebalance: US$16.3bn Trade; Big Impact for EXE, TKO

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