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>There are a bunch of stocks that are constituents of the S&amp;P/ASX family of indices and could go private or merge prior to the next scheduled rebalance in December.</li>
<li>That will lead to ad hoc inclusions for the <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 could also lead to ad hoc inclusions for the S&amp;P/ASX 50 and S&amp;P/ASX 100 indices.</li>
<li>There is a fair amount of short interest on some of the potential inclusions and short covering due to index inclusion could take the stocks higher.</li>
</ul>


There are a bunch of stocks that are constituents of the S&amp;P/ASX family of indices and could go private or merge prior to the next scheduled rebalance in December.
That will lead to ad hoc inclusions for the S&amp;P/ASX 200 (AS51 INDEX) and could also lead to ad hoc inclusions for the S&amp;P/ASX 50 and S&amp;P/ASX 100 indices.
There is a fair amount of short interest on some of the potential inclusions and short covering due to index inclusion could take the stocks higher.


Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>The <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 INDEX</a> has been stuck in the 7000-7600 range for the past 2 years, with a brief dive to 6500 during the summer of 2022. </li>
<li>If we consider the bottom at 6411 in October 2022, the index may have started to build an uptrend since then, but failed repeatedly to breach past the 7600 barrier.</li>
<li>After a brief correction in August 2023, the index is currently rising, but soon it will encounter WEEKLY resistance that could hamper its chances of breaking out of its range.</li>
</ul>


The S&amp;P/ASX 200 INDEX has been stuck in the 7000-7600 range for the past 2 years, with a brief dive to 6500 during the summer of 2022. 
If we consider the bottom at 6411 in October 2022, the index may have started to build an uptrend since then, but failed repeatedly to breach past the 7600 barrier.
After a brief correction in August 2023, the index is currently rising, but soon it will encounter WEEKLY resistance that could hamper its chances of breaking out of its range.


EQD | SP/ASX200 Index: Will It Break Out of Its Range?

Index Rebalance

<ul>
<li>There is 1 change for the S&amp;P/ASX100 Index, 5 adds/ 6 deletes for the <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 INDEX</a>, and 10 adds/ 8 deletes for the S&amp;P/ASX300 Index at the September rebalance.</li>
<li>There will be 4-14 days of ADV to trade on the S&amp;P/ASX100 Index and <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 INDEX</a> adds while the impact on the deletions is between 3-12 days of ADV.</li>
<li>On average, the adds to the <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 S&amp;P/ASX 300 Index have outperformed the deletes over the last few months.</li>
</ul>


There is 1 change for the S&amp;P/ASX100 Index, 5 adds/ 6 deletes for the S&amp;P/ASX 200 INDEX, and 10 adds/ 8 deletes for the S&amp;P/ASX300 Index at the September rebalance.
There will be 4-14 days of ADV to trade on the S&amp;P/ASX100 Index and S&amp;P/ASX 200 INDEX adds while the impact on the deletions is between 3-12 days of ADV.
On average, the adds to the S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index have outperformed the deletes over the last few months.


S&P/​​​​ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The September 2023 review results for ASX indices were announced after the close on Friday 1st September 2023. </li>
<li>There will be 15 ADD names and 15 DELETE names across ASX 100, ASX 200, and ASX 300. Collectively, the ADDs could see one-way flow of roughly US$450mn. </li>
<li>Many names have a significant number of days to trade. Some of these names have seen a spike in short interest recently. This should be an interesting flow event.</li>
</ul>


The September 2023 review results for ASX indices were announced after the close on Friday 1st September 2023. 
There will be 15 ADD names and 15 DELETE names across ASX 100, ASX 200, and ASX 300. Collectively, the ADDs could see one-way flow of roughly US$450mn. 
Many names have a significant number of days to trade. Some of these names have seen a spike in short interest recently. This should be an interesting flow event.


Quiddity ASX Sep 23 Rebal: 15 Inflow/Outflow Names; Beware of Short Buildup; US$450mn One-Way

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Aug 25th (reported today) which has an aggregated short interest worth USD15.1bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Rio Tinto, Domino'S Pizza E, Qbe Insurance, Lottery, BHP, Macquarie, Magellan Fin Grp.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Aug 25th (reported today) which has an aggregated short interest worth USD15.1bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Rio Tinto, Domino'S Pizza E, Qbe Insurance, Lottery, BHP, Macquarie, Magellan Fin Grp.


ASX Short Interest Weekly (Aug 25th): Rio Tinto, Domino'S Pizza E, Qbe Insurance, Lottery, BHP

Australia

Harvey Norman Holdings Limited is a holding company for companies and trusts in a third party franchise agreement. The franchises operate stores under the name "Harvey Norman Discounts," selling home wares and electrical goods. The Company also provides advisory and advertising to the franchises. In addition, the Company provides consumer finance and has property investments.

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Harvey Norman Holdings (HVN AU)

Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

There are 5 companies that are members of the S&P/ASX indices and could be delisted prior to the next rebalance in December. That could mean ad hoc...

Brian Freitas

EQD | SP/ASX200 Index: Will It Break Out of Its Range?

The ASX 200 INDEX has repeatedly failed its attempts to breach the 7600 barrier for the past 2 years. Currently rising, but will face strong...

Nico Rosti

S&P/ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

There are 30 changes for the SP/ASX index family in Sep. Most of the changes were expected but there are a few surprises. There is a lot to trade...

Brian Freitas

Quiddity ASX Sep 23 Rebal: 15 Inflow/Outflow Names; Beware of Short Buildup; US$450mn One-Way

The Inclusion/Exclusion events can be expected to take place at the close of Friday 15th September 2023. I would be Bullish Inflow Names and...

Janaghan Jeyakumar, CFA

ASX Short Interest Weekly (Aug 25th): Rio Tinto, Domino'S Pizza E, Qbe Insurance, Lottery, BHP

We analyzed ASX short interest report for the past week and highlight short interest changes in Rio Tinto, Domino'S Pizza E, Qbe Insurance,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

There are 5 companies that are members of the S&P/ASX indices and could be delisted prior to the next rebalance in December. That could mean ad hoc...

Brian Freitas

EQD | SP/ASX200 Index: Will It Break Out of Its Range?

​The ASX 200 INDEX has repeatedly failed its attempts to breach the 7600 barrier for the past 2 years. Currently rising, but will face strong...

Nico Rosti

S&P/​​​​ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises

There are 30 changes for the SP/ASX index family in Sep. Most of the changes were expected but there are a few surprises. There is a lot to trade...

Brian Freitas

Quiddity ASX Sep 23 Rebal: 15 Inflow/Outflow Names; Beware of Short Buildup; US$450mn One-Way

The Inclusion/Exclusion events can be expected to take place at the close of Friday 15th September 2023. I would be Bullish Inflow Names and...

Janaghan Jeyakumar, CFA

ASX Short Interest Weekly (Aug 25th): Rio Tinto, Domino'S Pizza E, Qbe Insurance, Lottery, BHP

We analyzed ASX short interest report for the past week and highlight short interest changes in Rio Tinto, Domino'S Pizza E, Qbe Insurance,...

Ke Yan, CFA, FRM

The ASX 200 INDEX has repeatedly failed its attempts to breach the 7600 barrier for the past 2 years. Currently rising, but will face strong...

S&P/ASX Index Rebalance (Sep 2023): Mostly Expected with a Few Surprises