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>Busy week in India with the adhoc changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX</a> and <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank</a> due to the <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited</a> and <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank</a> merger.</li>
<li>The IDX could announce the changes to the IDX30, LQ45 and IDX80 indices in the coming week, though there is no firm schedule for announcements.</li>
<li>Yet another week of inflows to the <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> ETF and outflows from the <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>. </li>
</ul>


Busy week in India with the adhoc changes to the NIFTY, NSE Nifty Next 50, S&amp;P BSE SENSEX and Nifty Bank due to the HDFC Limited and HDFC Bank merger.
The IDX could announce the changes to the IDX30, LQ45 and IDX80 indices in the coming week, though there is no firm schedule for announcements.
Yet another week of inflows to the Tracker Fund of Hong Kong Ltd (2800 HK) ETF and outflows from the Hang Seng H Share Index ETF (2828 HK). 


Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

<ul>
<li>We forecast 22 changes across the ASX50 Index, ASX100 Index, <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> and ASX300 Index at the September rebalance.</li>
<li>Some of the changes are high probability while others are close to cutoffs. The impact of passive trading will be pretty large on a lot of stocks.</li>
<li>Short interest on the potential deletes indicates some pre-positioning but there should still be a fair bit more to do.</li>
</ul>


We forecast 22 changes across the ASX50 Index, ASX100 Index, S&amp;P/ASX 200 (AS51 INDEX) and ASX300 Index at the September rebalance.
Some of the changes are high probability while others are close to cutoffs. The impact of passive trading will be pretty large on a lot of stocks.
Short interest on the potential deletes indicates some pre-positioning but there should still be a fair bit more to do.


S&P/​​​​​​​​ASX Index Rebalance Preview: Potential Changes in September

<ul>
<li>We do not expect any constituent changes in June (that could change though!). The only flows are likely to be from capping the constituents at 10% of the index weight.</li>
<li>Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m. There are two stocks with over A$5m to trade.</li>
<li>
<a href="https://www.smartkarma.com/entities/stockland" target="_blank" data-smartkarma-citation="entities:661:1" rel="noopener">Stockland (SGP AU)</a> will be the most affected stock with passive trackers needing to sell over 1 day of ADV. The stock has run up and shorts are increasing.</li>
</ul>


We do not expect any constituent changes in June (that could change though!). The only flows are likely to be from capping the constituents at 10% of the index weight.
Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m. There are two stocks with over A$5m to trade.

Stockland (SGP AU) will be the most affected stock with passive trackers needing to sell over 1 day of ADV. The stock has run up and shorts are increasing.


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

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

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>The S&amp;P DJI Index team announced the replacement for <a href="https://www.smartkarma.com/entities/ausnet-services" target="_blank" data-smartkarma-citation="entities:10293:1" rel="noopener">Ausnet Services (AST AU)</a> when it is deleted from the S&amp;P/ASX200 Friday at the close: <a href="https://www.smartkarma.com/entities/arena-reit" target="_blank" data-smartkarma-citation="entities:12209:1" rel="noopener">Arena Reit (ARF AU)</a> </li>
<li>There are other changes to sub-indices which are not publicly announced but which should align with previous analysis</li>
<li>This insight provides estimates for the index events Friday and ways to play them.</li>
</ul>


The S&amp;P DJI Index team announced the replacement for Ausnet Services (AST AU) when it is deleted from the S&amp;P/ASX200 Friday at the close: Arena Reit (ARF AU) 
There are other changes to sub-indices which are not publicly announced but which should align with previous analysis
This insight provides estimates for the index events Friday and ways to play them.


Australia

GPT Group is an active owner and manager of a diversified portfolio of Australian retail, office and industrial property assets. The Group's property portfolio include the MLC Centre, Australia Square, Rouse Hill Town Centre and Melbourne Central.

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Gpt Group (GPT AU)

Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

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

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes in September

There could be around 22 changes for the SnP/ASX family of indices in September. The impact of passive trading will be high on a lot of stocks and...

Brian Freitas

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

We do not see any constituent changes in June. Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m....

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

S&P/ASX200 - Ausnet OUT, Arena REIT IN

The S&P/ASX 200 will see Ausnet replaced by Arena REIT on 4 Feb. This is widely expected/predicted and Arena has outperformed, but it is a lot of...

Travis Lundy

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: ASX, Chinext, URA, Korea Stocks, NKY

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

Brian Freitas

S&P/​​​​​​​​ASX Index Rebalance Preview: Potential Changes in September

There could be around 22 changes for the SnP/ASX family of indices in September. The impact of passive trading will be high on a lot of stocks and...

Brian Freitas

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

We do not see any constituent changes in June. Capping changes will lead to a one-way turnover of 2.15% resulting in a one-way trade of A$14m....

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

S&P/ASX200 - Ausnet OUT, Arena REIT IN

The S&P/ASX 200 will see Ausnet replaced by Arena REIT on 4 Feb. This is widely expected/predicted and Arena has outperformed, but it is a lot of...

Travis Lundy

S&P/ASX Index Rebalance Preview: Potential Changes in September