Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run up to the December 2023 Rebalance.</li>
<li>There could be up to five ASX 200 changes including the intra-review changes that could potentially be triggered by M&amp;A events.</li>
<li>There are also couple of possibly large reverse funding flow scenarios involving <a href="https://www.smartkarma.com/entities/newcrest-mining-ltd" target="_blank" data-smartkarma-citation="entities:691:1" rel="noopener">Newcrest Mining (NCM AU)</a> and <a href="https://www.smartkarma.com/entities/allkem-ltd" target="_blank" data-smartkarma-citation="entities:3572:1" rel="noopener">Allkem Ltd (AKE AU)</a>.</li>
</ul>


In this insight, we take a look at the potential index changes for ASX 200, 100, 50, and 20 in the run up to the December 2023 Rebalance.
There could be up to five ASX 200 changes including the intra-review changes that could potentially be triggered by M&amp;A events.
There are also couple of possibly large reverse funding flow scenarios involving Newcrest Mining (NCM AU) and Allkem Ltd (AKE AU).


Quiddity Leaderboard ASX Dec 23: 5 ASX 200 Changes and Other Large Potential Flow Events (NCM, AKE)

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

<ul>
<li>There are 4 trading days to go in the review period for the September rebalance of the S&amp;P/ASX indices. Announcement is on 2 September with implementation on 16 September.</li>
<li>There could be 6 changes 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>, increasing to 8 if <a href="https://www.smartkarma.com/entities/avz-minerals-ltd" target="_blank" data-smartkarma-citation="entities:6148:1" rel="noopener">AVZ Minerals (AVZ AU)</a> continues to be halted and if <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK)</a> is privatised.</li>
<li>The potential adds have outperformed the potential deletes over the last month. Short interest has increased on a few potential deletes. There will be pre-positions built up.</li>
</ul>


There are 4 trading days to go in the review period for the September rebalance of the S&amp;P/ASX indices. Announcement is on 2 September with implementation on 16 September.
There could be 6 changes to the S&amp;P/ASX 200 (AS51 INDEX), increasing to 8 if AVZ Minerals (AVZ AU) continues to be halted and if Link Administration (LNK) is privatised.
The potential adds have outperformed the potential deletes over the last month. Short interest has increased on a few potential deletes. There will be pre-positions built up.


S&P/​​​​ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

<ul>
<li>With the Reference Period for the September 2022 Rebalance nearing its end, we take a final look at the potential index changes for ASX 300, 200, 100, 50, and 20.</li>
<li>
<a href="https://www.smartkarma.com/entities/avz-minerals-ltd" target="_blank" data-smartkarma-citation="entities:6148:1" rel="noopener">AVZ Minerals (AVZ AU)</a> and <a href="https://www.smartkarma.com/entities/firefinch-ltd" target="_blank" data-smartkarma-citation="entities:16094:1" rel="noopener">Firefinch Ltd (FFX AU)</a> are both members of the ASX Index family and are currently suspended from trading. There could be index consequences here.</li>
<li>Based on current data, I expect 7 ADDs/DELs for the ASX 200 Index and 22 ADDs and 18 DELs for the ASX 300 Index.</li>
</ul>


With the Reference Period for the September 2022 Rebalance nearing its end, we take a final look at the potential index changes for ASX 300, 200, 100, 50, and 20.

AVZ Minerals (AVZ AU) and Firefinch Ltd (FFX AU) are both members of the ASX Index family and are currently suspended from trading. There could be index consequences here.
Based on current data, I expect 7 ADDs/DELs for the ASX 200 Index and 22 ADDs and 18 DELs for the ASX 300 Index.


S&P/​​​​​​​ASX Quiddity Leaderboard Sep 2022: Potential Last Minute Surprises

<ul>
<li>At the September rebalance, we expect changes to the S&amp;P/ASX 100 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 S&amp;P/ASX 300 Index. Announcement is on 2 September with implementation on 16 September.</li>
<li>Potential adds/deletes with large flow and impact include <a href="https://www.smartkarma.com/entities/shopping-centres-australasia" target="_blank" data-smartkarma-citation="entities:20100:1" rel="noopener">Shopping Cntrs Austrls (SCP AU)</a>, <a href="https://www.smartkarma.com/entities/sayona-mining-ltd" target="_blank" data-smartkarma-citation="entities:1589:1" rel="noopener">Sayona Mining (SYA AU)</a>, <a href="https://www.smartkarma.com/entities/charter-hall-social-infrastructure-reit" target="_blank" data-smartkarma-citation="entities:8288:1" rel="noopener">Charter Hall Social Infrastructure REIT (CQE AU)</a> and <a href="https://www.smartkarma.com/entities/capricorn-metals-ltd" target="_blank" data-smartkarma-citation="entities:10775:1" rel="noopener">Capricorn Metals (CMM AU)</a>.</li>
<li>Shorts have increased significantly on a few stocks over the last few weeks, indicating that there could be some pre-positioning on these stocks.</li>
</ul>


At the September rebalance, we expect changes to the S&amp;P/ASX 100 Index, S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index. Announcement is on 2 September with implementation on 16 September.
Potential adds/deletes with large flow and impact include Shopping Cntrs Austrls (SCP AU), Sayona Mining (SYA AU), Charter Hall Social Infrastructure REIT (CQE AU) and Capricorn Metals (CMM AU).
Shorts have increased significantly on a few stocks over the last few weeks, indicating that there could be some pre-positioning on these stocks.


S&P/​​​ASX Index Rebalance Preview: Busy Rebalance With Lots of Changes Expected

<ul>
<li>There could be one change 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> in July following the privatisation of <a href="https://www.smartkarma.com/entities/uniti-group-ltd" target="_blank" data-smartkarma-citation="entities:29042:1" rel="noopener">Uniti Group Ltd (UWL AU)</a>. </li>
<li>Then there will be a whole bunch of changes to the S&amp;P/ASX 100 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 S&amp;P/ASX 300 Index in September as part of the regular rebalance. </li>
<li>There is large short interest on a couple of the potential adds and a lot of the potential deletes. That will drive stock price moves closer to implementation.</li>
</ul>


There could be one change to the S&amp;P/ASX 200 (AS51 INDEX) in July following the privatisation of Uniti Group Ltd (UWL AU). 
Then there will be a whole bunch of changes to the S&amp;P/ASX 100 Index, S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index in September as part of the regular rebalance. 
There is large short interest on a couple of the potential adds and a lot of the potential deletes. That will drive stock price moves closer to implementation.


S&P/​​ASX Index Rebalance Preview (Sep): Plenty of High Impact Changes

Australia

Helia Group Limited operates as a holding company. The Company, through its subsidiaries, provides mortgage insurance to residential mortgage lenders. Helia Group serves customers in Australia.

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Helia Group (HLI AU)

Quiddity Leaderboard ASX Dec 23: 5 ASX 200 Changes and Other Large Potential Flow Events (NCM, AKE)

Boss Resources, Emerald Resources, Codan, Judo Capital, and Helia Group are currently the highest-ranked ASX 200 potential ADDs. I expect these...

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

There are a LOT of potential changes to the S&P/ASX indices as we near the end of the review period. The potential adds have outperformed the...

Brian Freitas

S&P/ASX Quiddity Leaderboard Sep 2022: Potential Last Minute Surprises

The ASX 200 ADDs have underperformed the ASX 200 DELs in the last 3 months. Over the next couple of weeks, the ADDs could outperform the DELs

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance Preview: Busy Rebalance With Lots of Changes Expected

There are no changes expected for the ASX20 & ASX50, maybe a couple for the ASX100, more for the ASX200 and many more for the ASX300 index at the...

Brian Freitas

S&P/ASX Index Rebalance Preview (Sep): Plenty of High Impact Changes

There are a lot of potential changes to the S&P/ASX family of indices over the next few months. Passive trading impact is high on a lot of stocks...

Brian Freitas

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Quiddity Leaderboard ASX Dec 23: 5 ASX 200 Changes and Other Large Potential Flow Events (NCM, AKE)

Boss Resources, Emerald Resources, Codan, Judo Capital, and Helia Group are currently the highest-ranked ASX 200 potential ADDs. I expect these...

Janaghan Jeyakumar, CFA

S&P/​​​​ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

There are a LOT of potential changes to the S&P/ASX indices as we near the end of the review period. The potential adds have outperformed the...

Brian Freitas

S&P/​​​​​​​ASX Quiddity Leaderboard Sep 2022: Potential Last Minute Surprises

The ASX 200 ADDs have underperformed the ASX 200 DELs in the last 3 months. Over the next couple of weeks, the ADDs could outperform the DELs

Janaghan Jeyakumar, CFA

S&P/​​​ASX Index Rebalance Preview: Busy Rebalance With Lots of Changes Expected

There are no changes expected for the ASX20 & ASX50, maybe a couple for the ASX100, more for the ASX200 and many more for the ASX300 index at the...

Brian Freitas

S&P/​​ASX Index Rebalance Preview (Sep): Plenty of High Impact Changes

There are a lot of potential changes to the S&P/ASX family of indices over the next few months. Passive trading impact is high on a lot of stocks...

Brian Freitas

S&P/ASX Index Rebalance Preview: Adds Outperform Deletes As Review Period End Nears

S&P/ASX Quiddity Leaderboard Sep 2022: Potential Last Minute Surprises

S&P/ASX Index Rebalance Preview: Busy Rebalance With Lots of Changes Expected

S&P/ASX Index Rebalance Preview (Sep): Plenty of High Impact Changes