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 the review period nearly complete, there could be one change for the S&amp;P/ASX 50 Index and one change 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> in December.</li>
<li>Both deletes are also deletions from a global index next week and there could be short-term buying/covering opportunities on a drop in the stock price.</li>
<li>There has been a buildup of cumulative excess volume in all stocks over the last few months. There has been no increase in positioning in <a href="https://www.smartkarma.com/entities/car-group-ltd" target="_blank" data-smartkarma-citation="entities:701:1" rel="noopener">CAR Group (CAR AU)</a> recently.</li>
</ul>


With the review period nearly complete, there could be one change for the S&amp;P/ASX 50 Index and one change for the S&amp;P/ASX 200 (AS51 INDEX) in December.
Both deletes are also deletions from a global index next week and there could be short-term buying/covering opportunities on a drop in the stock price.
There has been a buildup of cumulative excess volume in all stocks over the last few months. There has been no increase in positioning in CAR Group (CAR AU) recently.


S&P/ASX Index Rebalance Preview (Dec 2024): Dexus and Spark NZ with Double Deletions

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 ASX200, 100, 50, and 20 in the run-up to the December 2024 index rebal event.</li>
<li>We currently do not see any index changes for ASX 20 and ASX 100.</li>
<li>We continue to expect one change for ASX 50. However, our expectations for ASX 200 have changed since our last insight (<a href="https://www.smartkarma.com/insights/quiddity-leaderboard-asx-dec-24-three-changes-possible-new-long-short-ideas?slug=quiddity-leaderboard-asx-dec-24-three-changes-possible-new-long-short-ideas" target="_blank" rel="noopener">link</a>).</li>
</ul>


In this insight, we take a look at the potential index changes for ASX200, 100, 50, and 20 in the run-up to the December 2024 index rebal event.
We currently do not see any index changes for ASX 20 and ASX 100.
We continue to expect one change for ASX 50. However, our expectations for ASX 200 have changed since our last insight (link).


Quiddity Leaderboard ASX Dec 24: Clarity Pharma and Resolute Mining Competing for ASX 200 Spot

<ul>
<li>With three quarters of the review period complete, there could be one change for the S&amp;P/ASX 50 Index and two 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> in December. </li>
<li>There are two stocks that could be deleted from global indexes in November and that could keep those names under pressure for the next few weeks.</li>
<li>Passive trackers will need to buy between 4-5x ADV in the forecast adds and sell between 2-8x ADV in the forecast deletes. Shorts have been building up in some names.</li>
</ul>


With three quarters of the review period complete, there could be one change for the S&amp;P/ASX 50 Index and two changes for the S&amp;P/ASX 200 (AS51 INDEX) in December. 
There are two stocks that could be deleted from global indexes in November and that could keep those names under pressure for the next few weeks.
Passive trackers will need to buy between 4-5x ADV in the forecast adds and sell between 2-8x ADV in the forecast deletes. Shorts have been building up in some names.


S&P/ASX Index Rebalance Preview (Dec 2024): Big Impact as Shorts Ramp Up

<ul>
<li>In this insight, we take a look at the potential index changes for ASX200, 100, 50, and 20 in the run-up to the December 2024 index rebal event.</li>
<li>We currently do not see any index changes for ASX 20 and ASX 100.</li>
<li>We see one change for ASX 100 and two changes for ASX 200 but the final result could depend on relative share price movements for the next two months.</li>
</ul>


In this insight, we take a look at the potential index changes for ASX200, 100, 50, and 20 in the run-up to the December 2024 index rebal event.
We currently do not see any index changes for ASX 20 and ASX 100.
We see one change for ASX 100 and two changes for ASX 200 but the final result could depend on relative share price movements for the next two months.


Quiddity Leaderboard ASX Dec 24: Three Changes Possible; New Long-Short Ideas

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ingenia-communities-group" target="_blank" data-smartkarma-citation="entities:5495:1" rel="noopener">Ingenia Communities (INA AU)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> in September. There are float changes and capping changes too.</li>
<li>Estimated one-way turnover is 2.9% and will result in a one-way trade of A$19m.</li>
<li>After declining over the last year, shorts have started to tick higher in <a href="https://www.smartkarma.com/entities/ingenia-communities-group" target="_blank" data-smartkarma-citation="entities:5495:1" rel="noopener">Ingenia Communities (INA AU)</a>. </li>
</ul>



Ingenia Communities (INA AU) will be deleted from the Vaneck Vectors Australian Property ETF (MVA AU) in September. There are float changes and capping changes too.
Estimated one-way turnover is 2.9% and will result in a one-way trade of A$19m.
After declining over the last year, shorts have started to tick higher in Ingenia Communities (INA AU). 


MV Australia A-REITs Index Rebalance: Ingenia Communities Deleted

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)

S&P/ASX Index Rebalance Preview (Dec 2024): Dexus and Spark NZ with Double Deletions

CAR Group could replace Dexus in the ASX50, and Clarity Pharma could replace Spark NZ in the ASX200. Dexus and Spark NZ are also deletes from a...

Brian Freitas

Quiddity Leaderboard ASX Dec 24: Clarity Pharma and Resolute Mining Competing for ASX 200 Spot

Spark New Zealand (SPK AU) is a high-conviction ASX 200 DEL. Clarity Pharma (CU6 AU) is leading the race to become an ASX 200 add and Resolute...

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance Preview (Dec 2024): Big Impact as Shorts Ramp Up

There could be 1 change for the ASX50 and 2 changes for the ASX200 in Dec. Couple of ASX deletes could also be deleted from a global index in...

Brian Freitas

Quiddity Leaderboard ASX Dec 24: Three Changes Possible; New Long-Short Ideas

There could be 5x-9x ADV to trade for the expected ADDs and DELs for ASX 200 in December 2024. We currently estimate one-way flow for the ASX 200...

Janaghan Jeyakumar, CFA

MV Australia A-REITs Index Rebalance: Ingenia Communities Deleted

Ingenia Communities will be deleted from the index at the close on 20 Sep. Estimated one-way turnover is 2.9% and will result in a one-way trade of...

Brian Freitas

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