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

Event-Driven

<ul>
<li>Changes to the S&amp;P/ASX indices, <a href="https://www.smartkarma.com/entities/vaneck-vectors-rare-earth-strategic-metals-etf" target="_blank" data-smartkarma-citation="entities:32320:1" rel="noopener">VanEck Vectors Rare Earth/Strategic Metals ETF</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-junior-gold-miners-etf" target="_blank" data-smartkarma-citation="entities:32845:1" rel="noopener">VanEck Vectors Junior Gold Miners ETF</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-aus-equal-wei" target="_blank" data-smartkarma-citation="entities:24297:1" rel="noopener">Vaneck Aus Equal Weight ETF</a>, and other indices will be implemented 17 March.</li>
<li>There are plenty of stocks with multiple days of ADV to trade. Some pre-positioning would have taken place prior to announcement and positions adjusted in the last couple of weeks.</li>
<li>There has been a reversal in stock performance over the last few weeks and short interest has moved a lot in some stocks.</li>
</ul>


Changes to the S&amp;P/ASX indices, VanEck Vectors Rare Earth/Strategic Metals ETF, VanEck Vectors Junior Gold Miners ETF, Vaneck Aus Equal Weight ETF, and other indices will be implemented 17 March.
There are plenty of stocks with multiple days of ADV to trade. Some pre-positioning would have taken place prior to announcement and positions adjusted in the last couple of weeks.
There has been a reversal in stock performance over the last few weeks and short interest has moved a lot in some stocks.


Australia: S&P/​ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

Index Rebalance

HomeCo Daily Needs REIT / Index Rebalance

<ul>
<li>The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 17 March. There are no constituent changes, but there are float and capping changes.</li>
<li>Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of A$11.1m. There is limited impact on the index constituents.</li>
<li>The largest inflows are on <a href="https://www.smartkarma.com/entities/stockland" target="_blank" data-smartkarma-citation="entities:661:1" rel="noopener">Stockland</a>, <a href="https://www.smartkarma.com/entities/homeco-daily-needs-reit" target="_blank" data-smartkarma-citation="entities:33526:1" rel="noopener">HomeCo Daily Needs REIT</a>, <a href="https://www.smartkarma.com/entities/gpt-group" target="_blank" data-smartkarma-citation="entities:168:1" rel="noopener">Gpt Group</a> and <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall</a>, while the largest outflows are on <a href="https://www.smartkarma.com/entities/goodman-group" target="_blank" data-smartkarma-citation="entities:959:1" rel="noopener">Goodman Group</a>, <a href="https://www.smartkarma.com/entities/federation-centres" target="_blank" data-smartkarma-citation="entities:335:1" rel="noopener">Vicinity Centres</a>, <a href="https://www.smartkarma.com/entities/dexus" target="_blank" data-smartkarma-citation="entities:403:1" rel="noopener">Dexus Property</a> and <a href="https://www.smartkarma.com/entities/scentre-group" target="_blank" data-smartkarma-citation="entities:9538:1" rel="noopener">Scentre Group</a>.</li>
</ul>


The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 17 March. There are no constituent changes, but there are float and capping changes.
Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of A$11.1m. There is limited impact on the index constituents.
The largest inflows are on Stockland, HomeCo Daily Needs REIT, Gpt Group and Charter Hall, while the largest outflows are on Goodman Group, Vicinity Centres, Dexus Property and Scentre Group.


MVIS Australia A-REITs Index Rebalance:  Float/Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/cromwell-property-group" target="_blank" data-smartkarma-citation="entities:2780:1" rel="noopener">Cromwell Property (CMW AU)</a> is a deletion from the MVIS Australia A-REITS Index at the close on 16 December.</li>
<li>Passive trackers will need to sell 13.9m shares (5 days ADV) of <a href="https://www.smartkarma.com/entities/cromwell-property-group" target="_blank" data-smartkarma-citation="entities:2780:1" rel="noopener">Cromwell Property (CMW AU)</a> and there appears to be little to no pre-positioning on the stock.</li>
<li>There are a few other stocks that will have over 0.5 days of ADV to buy from passive trackers.</li>
</ul>



Cromwell Property (CMW AU) is a deletion from the MVIS Australia A-REITS Index at the close on 16 December.
Passive trackers will need to sell 13.9m shares (5 days ADV) of Cromwell Property (CMW AU) and there appears to be little to no pre-positioning on the stock.
There are a few other stocks that will have over 0.5 days of ADV to buy from passive trackers.


MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

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 <em>may</em> 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

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Cross Asset Strategy

<ul>
<li>Less than half the active Global managers in our analysis have exposure to Australian stocks, the lowest levels in over a decade.</li>
<li>Versus the MSCI ACWI benchmark, Australia is the 3rd largest underweight country holding globally, with sector-wide declines in ownership occurring over the last 6-months, headed by Materials.</li>
<li>Underweights are driven by BHP Group (BHP AU) and Commonwealth Bank of Australia (CBA AU), with CSL Ltd (CSL AU) the most widely held stock in Australia.</li>
</ul>


Less than half the active Global managers in our analysis have exposure to Australian stocks, the lowest levels in over a decade.
Versus the MSCI ACWI benchmark, Australia is the 3rd largest underweight country holding globally, with sector-wide declines in ownership occurring over the last 6-months, headed by Materials.
Underweights are driven by BHP Group (BHP AU) and Commonwealth Bank of Australia (CBA AU), with CSL Ltd (CSL AU) the most widely held stock in Australia.


Australia:  Underweight & Underowned as Allocations Slip to All-Time Lows.

Australia

Goodman Group is an integrated industrial property group. The Group has operations in Australia, New Zealand, UK, Asia and Europe. Goodman's activities include property investment, funds management, property development and property services. The Group's property portfolio includes business parks, industrial estates, office parks and warehouse/distribution centers.

Price Gauge
52-week Range	0.00 - 0.00
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Goodman Group (GMG AU)

Australia: S&P/ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

Implementation of the S&P/ASX, REMX, GDXJ, MVA and other indices take place at the close on Friday. There will be a lot of passive flow going...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Float/Capping Changes

There are no constituent changes in March but there are float & capping changes. Estimated one-way turnover at the rebalance is 1.8% resulting in a...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

Cromwell Property is a deletion from the MVIS Australia A-REIT Index. Passive trackers need to sell 13.9m shares (5.1x ADV) of CMW but short...

Brian Freitas

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: Underweight & Underowned as Allocations Slip to All-Time Lows.

Less than half the active Global managers in our analysis have exposure to Australian stocks, the lowest levels in over a decade.

Steven Holden

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Australia: S&P/​ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

Implementation of the S&P/ASX, REMX, GDXJ, MVA and other indices take place at the close on Friday. There will be a lot of passive flow going...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Float/Capping Changes

There are no constituent changes in March but there are float & capping changes. Estimated one-way turnover at the rebalance is 1.8% resulting in a...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

Cromwell Property is a deletion from the MVIS Australia A-REIT Index. Passive trackers need to sell 13.9m shares (5.1x ADV) of CMW but short...

Brian Freitas

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: Underweight & Underowned as Allocations Slip to All-Time Lows.

Less than half the active Global managers in our analysis have exposure to Australian stocks, the lowest levels in over a decade.

Steven Holden

Australia: S&P/ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday