Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>S&amp;P DJI Global Indices on Friday announced the changes to the S&amp;P500, S&amp;P Midcap 400, and S&amp;P 600 to be implement at the close on 17 December. </li>
<li>There were no surprises and the whole exercise is one of rearranging the deckchairs. Stocks move up an index, or down an index, but nothing moves out of the three.</li>
<li>The proprietary S&amp;P data suggests little opportunity, but empirical data suggests otherwise, and as in most cases, the interesting trades are the smaller ones.</li>
</ul>

<ul>
<li>The S&amp;P500 rebalance traded with appropriate-to-expectations volumes, but the path from announcement to actual event was somewhat surprising.</li>
<li>Historically, DELETEs underperform peers and index from announcement to event date, including an initial jump weaker. This time they saw initial strength, but fell hard on the last day.</li>
<li>"The trade" from here, statistically speaking, would be to buy the S&amp;P500 DELETEs (<a href="https://www.smartkarma.com/entities/leggett-platt-inc" target="_blank" data-smartkarma-citation="entities:15843:1" rel="noopener">Leggett &amp; Platt (LEG US)</a>, <a href="https://www.smartkarma.com/entities/hanesbrands-inc" target="_blank" data-smartkarma-citation="entities:13641:1" rel="noopener">Hanesbrands Inc (HBI US)</a>, and <a href="https://www.smartkarma.com/entities/western-union-co" target="_blank" data-smartkarma-citation="entities:16761:1" rel="noopener">Western Union Co (WU US)</a>) against index.</li>
</ul>

Brian Freitas

Pan-Asia Index Rebalances/Events/Delta One

<ul>
<li>Last week was busy towards the end with the implementation of the KOSPI200, KOSDAQ150, CSI300, STAR50, SSE50, SSE180 and SSE380 rebalances.</li>
<li>The coming week has the implementation of the FTSE All-World/All-Cap, FTSE EPRA Nareit, ASX100/200, Taiwan 50, China 50, China A50, KLCI and Sensex rebalances. All on the same day!</li>
<li>Over the week, there were inflows into China, Hong Kong and Australia focused ETFs, while there were outflows from Korea and Japan focused ETFs.</li>
</ul>

<ul>
<li>There are 3 stocks migrating from the S&amp;P500 to the S&amp;P400 and vice versa and another 3 stocks migrating from the S&amp;P600 to the S&amp;P400 and vice versa.</li>
<li>The impact of changes in the number of index shares for quite a few index constituents and the funding trade take the one-way trade size to US$18.5bn.</li>
<li>There appear to be pre-positions on some of the stocks. While the flow is large on many stocks, there are only a few that have over 2 days of ADV.</li>
</ul>

<ul>
<li>Its been a busy week with loads of announcements (FTSE EPRA/ China 50/ China A50/ Taiwan 50, KLCI and ASX100/200) and implementation of the MSCI, HSI and HSCEI rebalances.</li>
<li>The coming week will see the implementation of changes to the KOSPI200, KOSDAQ150, STAR50, CSI300, SSE180, SSE380 and SSE50 indices.</li>
<li>There have been large inflows to China (SSE50, CSI300) and Hong Kong (HSI) focused ETFs while there have been outflows in Korea focused ETFs (KOSPI200, MSCI Korea).</li>
</ul>

United States

Hanesbrands, Inc. manufactures men's, women's, and children's clothing.  The Company produces underwear, T-shirts, socks, sweatshirts, sleepwear, and shoes.

Hanesbrands Inc - HBI US

Description