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>End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.</li>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> replaces <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in 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> at the close on 12 January.</li>
<li>There were big outflows from Hong Kong and China focused ETFs led by <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share Index ETF (2828 HK)</a> and <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 Ltd (2800 HK)</a>.</li>
</ul>


End December was the end of the review cutoff for a lot of indices that will rebalance within the next couple of months.

PEXA Group (PXA AU) replaces Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 12 January.
There were big outflows from Hong Kong and China focused ETFs led by Hang Seng H Share Index ETF (2828 HK) and Tracker Fund of Hong Kong Ltd (2800 HK).


Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

<ul>
<li>Some creative float increases for <a href="https://www.smartkarma.com/entities/ac-energy-corp" target="_blank" data-smartkarma-citation="entities:23188:1" rel="noopener">AC Energy Corp (ACEN)</a>, <a href="https://www.smartkarma.com/entities/san-miguel-corporation" target="_blank" data-smartkarma-citation="entities:22728:1" rel="noopener">San Miguel (SMC PM)</a> and <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador (EMP PM)</a> should result in the stocks remaining in the index and getting passive inflows.</li>
<li>
<a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> should replace <a href="https://www.smartkarma.com/entities/megaworld-corp" target="_blank" data-smartkarma-citation="entities:8746:1" rel="noopener">Megaworld Corp (MEG PM)</a>, while <a href="https://www.smartkarma.com/entities/unionbank-of-the-philippines" target="_blank" data-smartkarma-citation="entities:23192:1" rel="noopener">UnionBank of the Philippines (UBP PM)</a>'s inclusion should result in <a href="https://www.smartkarma.com/entities/robinsons-land-corp" target="_blank" data-smartkarma-citation="entities:8831:1" rel="noopener">Robinsons Land Co (RLC PM)</a>'s deletion from the index. </li>
<li>There will be a big impact on the additions, deletions and stocks with float changes. The stocks have already started to move ahead of the passive flows.</li>
</ul>


Some creative float increases for AC Energy Corp (ACEN), San Miguel (SMC PM) and Emperador (EMP PM) should result in the stocks remaining in the index and getting passive inflows.

DMCI Holdings (DMC PM) should replace Megaworld Corp (MEG PM), while UnionBank of the Philippines (UBP PM)'s inclusion should result in Robinsons Land Co (RLC PM)'s deletion from the index. 
There will be a big impact on the additions, deletions and stocks with float changes. The stocks have already started to move ahead of the passive flows.


PCOMP Index Rebalance Preview Feb 23: Float Increases to Drive Changes & Flow

<ul>
<li>From December 2022, the minimum free float requirement to be a part of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> increases from 15% to 20%.</li>
<li>We see a high probability of <a href="https://www.smartkarma.com/entities/dmci-holdings-inc" target="_blank" data-smartkarma-citation="entities:8026:1" rel="noopener">DMCI Holdings (DMC PM)</a> replacing <a href="https://www.smartkarma.com/entities/emperador-inc" target="_blank" data-smartkarma-citation="entities:3485:1" rel="noopener">Emperador (EMP PM)</a> in the index at the upcoming rebalance.</li>
<li>There are a few other potential changes to the index and the passive flow on the stocks will be material.</li>
</ul>


From December 2022, the minimum free float requirement to be a part of the Philippines Stock Exchange PSEi Index (PCOMP INDEX) increases from 15% to 20%.
We see a high probability of DMCI Holdings (DMC PM) replacing Emperador (EMP PM) in the index at the upcoming rebalance.
There are a few other potential changes to the index and the passive flow on the stocks will be material.


PCOMP Index Rebalance Preview Feb 23: Higher Free Float Means Fewer Changes

<ul>
<li>From December 2022, the minimum free float requirement to be a part of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> increases from 15% to 20%.</li>
<li>This could result in three deletions from the index which will result in three stocks being added to the index. Passive trackers selling the deletes will push the stocks lower.</li>
<li>The three current constituents could remain in the index if they sell stock to increase the free float. That would in turn put downward pressure on the stocks.</li>
</ul>


From December 2022, the minimum free float requirement to be a part of the Philippines Stock Exchange PSEi Index (PCOMP INDEX) increases from 15% to 20%.
This could result in three deletions from the index which will result in three stocks being added to the index. Passive trackers selling the deletes will push the stocks lower.
The three current constituents could remain in the index if they sell stock to increase the free float. That would in turn put downward pressure on the stocks.


PCOMP Index Rebalance Preview Feb 23: Updated Methodology to Drive Changes

Semirara Mining & Power / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> will replace <a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a> in the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> at the close of trading on 5 August.</li>
<li>Passive trackers will need to buy 5.5 days of ADV on <a href="https://www.smartkarma.com/entities/semirara-mining-and-power-corporation" target="_blank" data-smartkarma-citation="entities:18925:1" rel="noopener">Semirara Mining And Power Corp (SCC PM)</a> and sell nearly 30 days of ADV on <a href="https://www.smartkarma.com/entities/security-bank-corp" target="_blank" data-smartkarma-citation="entities:3929:1" rel="noopener">Security Bank (SECB PM)</a>.</li>
<li>Historically, the adds have outperformed the deletes and there has been a pop/drop in the adds/deletes the day after announcement. Square off existing pre-positions by mid week.</li>
</ul>



Semirara Mining And Power Corp (SCC PM) will replace Security Bank (SECB PM) in the Philippines Stock Exchange PSEi Index (PCOMP INDEX) at the close of trading on 5 August.
Passive trackers will need to buy 5.5 days of ADV on Semirara Mining And Power Corp (SCC PM) and sell nearly 30 days of ADV on Security Bank (SECB PM).
Historically, the adds have outperformed the deletes and there has been a pop/drop in the adds/deletes the day after announcement. Square off existing pre-positions by mid week.


PCOMP Index Rebalance: Semirara Mining (SCC) Replaces Security Bank (SECB)

Philippines

DMCI Holdings is a Philippine engineering conglomerate and diversified holding company. It has core investments in construction, real estate development, coal and nickel mining, power generation, and water utilities. The company's activities include general construction services, production of concrete products, exploration and mining of coal and nickel, power generation through coal-fired and satellite plants, and provision of water and sewerage services. DMCI Holdings is headquartered in Makati, Philippines, and was founded in 1954.

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DMCI Holdings (DMC PM)

Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, HSI, HSCI, KS200, KQ150, CSI300, SENSEX, LQ45, PSEi

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

PCOMP Index Rebalance Preview Feb 23: Float Increases to Drive Changes & Flow

There could be 1 or 2 changes in Feb with high impact of passive trading. Creative increases in float will result in high impact passive buying....

Brian Freitas

PCOMP Index Rebalance Preview Feb 23: Higher Free Float Means Fewer Changes

We see DMCI replacing Emperador at the Feb rebalance. There could be other changes due to the minimum free float threshold change. Passive trackers...

Brian Freitas

PCOMP Index Rebalance Preview Feb 23: Updated Methodology to Drive Changes

A methodology change that increases the minimum free float from 15% to 20% could result in 3 changes to the index. The three constituents will need...

Brian Freitas

PCOMP Index Rebalance: Semirara Mining (SCC) Replaces Security Bank (SECB)

Semirara Mining will replace Security Bank in the PCOMP at the close on 5 August. There are 5 trading days to implementation and passive fund...

Brian Freitas

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