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>The review period for the March rebalance ends in a couple of weeks. There could be one deletion from the index and a bunch of capping changes.</li>
<li>The index changes will lead to a one-way turnover of 2.2% resulting in a one-way trade of A$13m. There are two stocks with over A$3m to trade.</li>
<li>With market participants expecting lower interest rates, there has been short covering on a lot of the REITs in the last few months.</li>
</ul>


The review period for the March rebalance ends in a couple of weeks. There could be one deletion from the index and a bunch of capping changes.
The index changes will lead to a one-way turnover of 2.2% resulting in a one-way trade of A$13m. There are two stocks with over A$3m to trade.
With market participants expecting lower interest rates, there has been short covering on a lot of the REITs in the last few months.


MVIS Australia A-REITs Index Rebalance Preview: ASK Looks Like a Delete

<ul>
<li>There are no constituent changes for 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 December but there are float and capping changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/abacus-storage-king" target="_blank" data-smartkarma-citation="entities:39857:1" rel="noopener">Abacus Storage King (ASK AU)</a> is the biggest sell and is due to a drop in float, a reversal of the excessively high float assigned at the September rebalance.</li>
<li>Estimated one-way turnover is 4.5% and will result in a one-way trade of A$26m. There are a few stocks with over 1x ADV to trade.</li>
</ul>


There are no constituent changes for the Vaneck Vectors Australian Property ETF (MVA AU) in December but there are float and capping changes.

Abacus Storage King (ASK AU) is the biggest sell and is due to a drop in float, a reversal of the excessively high float assigned at the September rebalance.
Estimated one-way turnover is 4.5% and will result in a one-way trade of A$26m. There are a few stocks with over 1x ADV to trade.


MVIS Australia A-REITs Index Rebalance: ASKing for a Reversal

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI rebalances will take place at the close on 4 September since the market was closed on 1 September due to Typhoon Saola.</li>
<li>There will be a few announcements next week with <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> early in the week and the MVIS series post close on Friday. Plus the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a> rebalances on Friday.</li>
<li>Another week of huge inflows into mainland China ETFs focused on the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a>.</li>
</ul>


The HSI, HSCEI, HSTECH and HSCI rebalances will take place at the close on 4 September since the market was closed on 1 September due to Typhoon Saola.
There will be a few announcements next week with Nikkei 225 early in the week and the MVIS series post close on Friday. Plus the STAR50 rebalances on Friday.
Another week of huge inflows into mainland China ETFs focused on the CSI 300 Index, STAR50 INDEX and CSI Smallcap 500 Index.


Index Rebalance & ETF Flow Recap: STAR50, KOSPI200, Hang Seng, MVIS, AMFI, Jio, China ETF

<ul>
<li>The review period for the September rebalance ended yesterday. There could be one deletion from the index and a bunch of capping changes.</li>
<li>The index changes will lead to a one-way turnover of 3.4% resulting in a one-way trade of A$21m. There are two stocks with over A$5m to trade.</li>
<li>Short interest has increased on a few REITs recently while decreasing on most of the other names.</li>
</ul>


The review period for the September rebalance ended yesterday. There could be one deletion from the index and a bunch of capping changes.
The index changes will lead to a one-way turnover of 3.4% resulting in a one-way trade of A$21m. There are two stocks with over A$5m to trade.
Short interest has increased on a few REITs recently while decreasing on most of the other names.


MVIS Australia A-REITs Index Rebalance Preview: Abacus Group Could Be Deleted

Brilliance China Automotive / Index Rebalance

<ul>
<li>Friday was the review cutoff for the September rebalance of the ASX family of indices. The September changes for the Hang Seng family of indices were also announced.</li>
<li>The September changes for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> will be announced after the close of trading on 25 August.</li>
<li>For a second week running, there were big inflows to mainland China ETFs and were spread across multiple index trackers. There were outflows from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM US)</a>. </li>
</ul>


Friday was the review cutoff for the September rebalance of the ASX family of indices. The September changes for the Hang Seng family of indices were also announced.
The September changes for the SSE STAR50 (STAR50 INDEX) will be announced after the close of trading on 25 August.
For a second week running, there were big inflows to mainland China ETFs and were spread across multiple index trackers. There were outflows from iShares Emerging Markets (EEM US). 


Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

Australia

Vicinity Centres retails asset and property management services. The Company offers a retail property investment and services organization involved in the ownership, management, and development of retail properties. The Company operates shopping centers across Australia.

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Vicinity Centres (VCX AU)

MVIS Australia A-REITs Index Rebalance Preview: ASK Looks Like a Delete

Abacus Storage King could be deleted from the MVIS Australia A-REITS Index in March. There will also be a bunch of capping changes. Estimated 1-way...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: ASKing for a Reversal

There are no constituent changes but there are float and capping changes. Estimated one-way turnover is 4.5% resulting in a one-way trade of A$26m....

Brian Freitas

Index Rebalance & ETF Flow Recap: STAR50, KOSPI200, Hang Seng, MVIS, AMFI, Jio, China ETF

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

Brian Freitas

MVIS Australia A-REITs Index Rebalance Preview: Abacus Group Could Be Deleted

Abacus Group could be deleted from the MVMVA Index - the stock is also a potential deletion from the ASX200 Index. There will be capping changes on...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

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

Brian Freitas

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