Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Reportedly, Blackstone is running a ruler over<a href="https://www.smartkarma.com/entities/dexus" target="_blank" data-smartkarma-citation="entities:403:1" rel="noopener"> Dexus Property (DXS AU)</a>, one of Australia’s leading fully integrated real estate groups. </li>
<li>The Australian article flips flops: "Blackstone is understood to have been back on the scene"; but "cooled on the opportunity for now". </li>
<li>Almost exactly four year ago, Blackstone <a href="https://www.afr.com/property/commercial/blackstone-snaps-up-logistics-stake-for-2-1b-20211210-p59gl5" target="_blank" rel="noopener">paid A$2.1bn for a 49% stake</a> in the Dexus Australian Logistics Trust, a prime logistics portfolio managed and jointly owned by Dexus.</li>
</ul>


Reportedly, Blackstone is running a ruler over Dexus Property (DXS AU), one of Australia’s leading fully integrated real estate groups. 
The Australian article flips flops: "Blackstone is understood to have been back on the scene"; but "cooled on the opportunity for now". 
Almost exactly four year ago, Blackstone paid A$2.1bn for a 49% stake in the Dexus Australian Logistics Trust, a prime logistics portfolio managed and jointly owned by Dexus.


Equity Capital Markets

<ul>
<li>The S&amp;P/ASX A-REIT 200 Index has returned -22% in FY22, underperforming the ASX 200 Index by ~17% basis points.</li>
<li>REIT performance is typically negatively correlated with bond yield movements, however, long-dated government bond yields may be approaching their peak.</li>
<li>The asset deflation bear market in FY22 has improved the REIT valuation. A basket of REITs is currently at 0.8x, versus the five-year average of 1.05x, and 1.1x pre-Covid. </li>
</ul>


The S&amp;P/ASX A-REIT 200 Index has returned -22% in FY22, underperforming the ASX 200 Index by ~17% basis points.
REIT performance is typically negatively correlated with bond yield movements, however, long-dated government bond yields may be approaching their peak.
The asset deflation bear market in FY22 has improved the REIT valuation. A basket of REITs is currently at 0.8x, versus the five-year average of 1.05x, and 1.1x pre-Covid. 


Australia REITs:  Asset Deflation Bear Market

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

<ul>
<li>There could be two or three Aussie names that are deleted from global passive portfolios in November. In each of the cases, there is a lot to sell from passives.</li>
<li>One name is very high probability while the deletion of the others depends on the day of the week chosen.</li>
<li>Shorts have been built up on the stocks and there are strong indications of positioning. But the extent of the positioning varies, and the stocks could have differently.</li>
</ul>


There could be two or three Aussie names that are deleted from global passive portfolios in November. In each of the cases, there is a lot to sell from passives.
One name is very high probability while the deletion of the others depends on the day of the week chosen.
Shorts have been built up on the stocks and there are strong indications of positioning. But the extent of the positioning varies, and the stocks could have differently.


Australia: Potential Passive Selling in November Will Be Big

Index Rebalance

<ul>
<li>With the review period complete, we forecast no inclusions to the index in June. There could be up to 3 deletions at the review though.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 3.9% and a round-trip trade of A$216m.</li>
<li>
<a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals</a> is a potential deletion from the S&amp;P/ASX 50 Index with implementation on the same date. Shorts have been covering but short interest is a big percentage of float.</li>
</ul>


With the review period complete, we forecast no inclusions to the index in June. There could be up to 3 deletions at the review though.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 3.9% and a round-trip trade of A$216m.

Pilbara Minerals is a potential deletion from the S&amp;P/ASX 50 Index with implementation on the same date. Shorts have been covering but short interest is a big percentage of float.


MV Australia Equal Weight Index Rebalance Preview: Three Potential Deletions in June

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sigma-healthcare-ltd" target="_blank" data-smartkarma-citation="entities:15966:1" rel="noopener">Sigma Healthcare (SIG AU)</a> and <a href="https://www.smartkarma.com/entities/technology-one-ltd" target="_blank" data-smartkarma-citation="entities:1070:1" rel="noopener">Technology One (TNE AU)</a> will be added to the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-equal-weight-etf" target="_blank" data-smartkarma-citation="entities:24297:1" rel="noopener">VanEck Vectors Australian Equal Weight ETF (MVW AU)</a> at the close on 21 March.</li>
<li>Surprisingly, there are no deletions from the index. The two inclusions, float changes and capping changes result in a one-way turnover of 5.6% leading to a round-trip trade of A$288m.</li>
<li>There will be huge buying of A$1.2bn in <a href="https://www.smartkarma.com/entities/sigma-healthcare-ltd" target="_blank" data-smartkarma-citation="entities:15966:1" rel="noopener">Sigma Healthcare (SIG AU)</a> at the same time from <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> and related index trackers.</li>
</ul>



Sigma Healthcare (SIG AU) and Technology One (TNE AU) will be added to the VanEck Vectors Australian Equal Weight ETF (MVW AU) at the close on 21 March.
Surprisingly, there are no deletions from the index. The two inclusions, float changes and capping changes result in a one-way turnover of 5.6% leading to a round-trip trade of A$288m.
There will be huge buying of A$1.2bn in Sigma Healthcare (SIG AU) at the same time from S&amp;P/ASX 200 (AS51 INDEX) and related index trackers.


MV Australia Equal Weight Index Rebalance: SIG, TNE Added; US$288m Trade

Australia

Dexus provides real estate services. The Company manages and invests in a portfolio of diversified properties, including office and industrial buildings, retail shopping centers, and car parks. Dexus serves customers in Australia and New Zealand.

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Dexus Property (DXS AU)

Blackstone Eyes Move On Dexus (DXS AU)

There's a sniff of an Offer. But not much of one. Dexus looks pretty beaten up here. But I can see the share price sideways trend continuing...

David Blennerhassett

Australia REITs: Asset Deflation Bear Market

The asset deflation bear market in FY22 has improved the overall REIT valuation. A basket of REITs is currently at 0.8x, versus the five-year...

David Blennerhassett

Australia: Potential Passive Selling in November Will Be Big

There could be 2 or 3 stocks that are deleted from global passive portfolios in Nov. In each of the cases, there is a lot to sell from passives....

Brian Freitas

MV Australia Equal Weight Index Rebalance Preview: Three Potential Deletions in June

We do not forecast any inclusions but there could be 3 deletions. Just capping changes will lead to one-way turnover of 3.9% and a round-trip trade...

Brian Freitas

MV Australia Equal Weight Index Rebalance: SIG, TNE Added; US$288m Trade

Sigma Healthcare and TechnologyOne have been added to the MVMVW index. Surprisingly, no deletions. Round-trip trade is US$288m. There are big...

Brian Freitas

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