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>
<a href="https://www.smartkarma.com/entities/telix-pharmaceuticals-ltd" target="_blank" data-smartkarma-citation="entities:26052:1" rel="noopener">Telix Pharmaceuticals (TLX AU)</a> is the sole (and somewhat surprising) inclusion for 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> in December.</li>
<li>The one inclusion, float changes and capping changes result in a one-way turnover of 5.5% leading to a round-trip trade of A$290m.</li>
<li>Shorts have increased in <a href="https://www.smartkarma.com/entities/telix-pharmaceuticals-ltd" target="_blank" data-smartkarma-citation="entities:26052:1" rel="noopener">Telix Pharmaceuticals (TLX AU)</a> this year but there has been some covering in the stock recently.</li>
</ul>



Telix Pharmaceuticals (TLX AU) is the sole (and somewhat surprising) inclusion for the VanEck Vectors Australian Equal Weight ETF (MVW AU) in December.
The one inclusion, float changes and capping changes result in a one-way turnover of 5.5% leading to a round-trip trade of A$290m.
Shorts have increased in Telix Pharmaceuticals (TLX AU) this year but there has been some covering in the stock recently.


MV Australia Equal Weight Index Rebalance: One Add & Capping Leads to A$290m Trade

<ul>
<li>
<a href="https://www.smartkarma.com/entities/pro-medicus-ltd" target="_blank" data-smartkarma-citation="entities:13516:1" rel="noopener">Pro Medicus Ltd (PME AU)</a> will be added to the MV Australia Equal Weight Index while <a href="https://www.smartkarma.com/entities/igo-ltd" target="_blank" data-smartkarma-citation="entities:462:1" rel="noopener">IGO Ltd (IGO AU)</a> and <a href="https://www.smartkarma.com/entities/nib-holdings-ltd" target="_blank" data-smartkarma-citation="entities:7063:1" rel="noopener">nib holdings (NHF AU)</a> will be deleted.</li>
<li>Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a round-trip trade of A$330m.</li>
<li>Shorts are pretty big in <a href="https://www.smartkarma.com/entities/pro-medicus-ltd" target="_blank" data-smartkarma-citation="entities:13516:1" rel="noopener">Pro Medicus Ltd (PME AU)</a> while there has been a recent spike in short interest for <a href="https://www.smartkarma.com/entities/igo-ltd" target="_blank" data-smartkarma-citation="entities:462:1" rel="noopener">IGO Ltd (IGO AU)</a>. </li>
</ul>



Pro Medicus Ltd (PME AU) will be added to the MV Australia Equal Weight Index while IGO Ltd (IGO AU) and nib holdings (NHF AU) will be deleted.
Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a round-trip trade of A$330m.
Shorts are pretty big in Pro Medicus Ltd (PME AU) while there has been a recent spike in short interest for IGO Ltd (IGO AU). 


MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

<ul>
<li>With 2 days left to review cutoff, there could be 1 inclusion and 3 deletions for the index at the September rebalance.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a round-trip trade of A$212m.</li>
<li>The final list of inclusions/exclusions will depend on price movements till Friday and whether the index provider makes any significant changes to the free float of stocks in the universe.</li>
</ul>


With 2 days left to review cutoff, there could be 1 inclusion and 3 deletions for the index at the September rebalance.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a round-trip trade of A$212m.
The final list of inclusions/exclusions will depend on price movements till Friday and whether the index provider makes any significant changes to the free float of stocks in the universe.


MV Australia Equal Weight Index Rebalance Preview: One Add & A Few Deletes

<ul>
<li>The review period for the September rebalance ends on 30 August. We do not see any constituent changes for the index but there will be capping changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/home-consortium-ltd" target="_blank" data-smartkarma-citation="entities:29082:1" rel="noopener">Home Consortium Ltd (HMC AU)</a> is just outside inclusion zone at the moment and outperformance over the rest of the week could result in inclusion.</li>
<li>
<a href="https://www.smartkarma.com/entities/home-consortium-ltd" target="_blank" data-smartkarma-citation="entities:29082:1" rel="noopener">Home Consortium Ltd (HMC AU)</a>'s inclusion and capping changes will result in a one-way turnover of 5% and in a round-trip trade of A$62m. </li>
</ul>


The review period for the September rebalance ends on 30 August. We do not see any constituent changes for the index but there will be capping changes.

Home Consortium Ltd (HMC AU) is just outside inclusion zone at the moment and outperformance over the rest of the week could result in inclusion.

Home Consortium Ltd (HMC AU)'s inclusion and capping changes will result in a one-way turnover of 5% and in a round-trip trade of A$62m. 


MV Australia A-REITs Index Rebalance Preview: One Close Add & Capping Changes

<ul>
<li>With the review period for the March rebalance complete, <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> could be deleted from the index and there will be capping changes.</li>
<li>The index changes will lead to a one-way turnover of 3.6% resulting in a one-way trade of A$21m. There are three stocks with over A$4m to trade.</li>
<li>
<a href="https://www.smartkarma.com/entities/goodman-group" target="_blank" data-smartkarma-citation="entities:959:1" rel="noopener">Goodman Group (GMG AU)</a> is an inclusion to a global index in March and that buying will far outweigh the selling 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>. </li>
</ul>


With the review period for the March rebalance complete, Abacus Storage King (ASK AU) could be deleted from the index and there will be capping changes.
The index changes will lead to a one-way turnover of 3.6% resulting in a one-way trade of A$21m. There are three stocks with over A$4m to trade.

Goodman Group (GMG AU) is an inclusion to a global index in March and that buying will far outweigh the selling from the Vaneck Vectors Australian Property ETF (MVA AU). 


MVIS Australia A-REITs Index Rebalance Preview: One Deletion & Capping Changes

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)

MV Australia Equal Weight Index Rebalance: One Add & Capping Leads to A$290m Trade

Telix Pharma is a surprise inclusion in December. The add, float and capping changes lead to an estimated one-way turnover of 5.5% and to a round...

Brian Freitas

MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

PME is an add. NHF and IGO are deletes. Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a...

Brian Freitas

MV Australia Equal Weight Index Rebalance Preview: One Add & A Few Deletes

There could be 1 add and 3 deletes in Sep. Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a...

Brian Freitas

MV Australia A-REITs Index Rebalance Preview: One Close Add & Capping Changes

No constituent changes expected for now. HMC is a very close add and needs to outperform over the next 3 trading days to make it into the index....

Brian Freitas

MVIS Australia A-REITs Index Rebalance Preview: One Deletion & Capping Changes

ASK could be deleted from the index while GMG will be capped at 10%. The selling in GMG will be far outweighted by the inclusion of the stock in a...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

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