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

TSMC (Taiwan Semiconductor Manufacturing) - ADR / Index Rebalance

TSMC (Taiwan Semiconductor Manufacturing) - ADR

<ul>
<li>There are no constituent changes for the <a href="https://www.smartkarma.com/entities/vaneck-vectors-semiconductor" target="_blank" data-smartkarma-citation="entities:32807:1" rel="noopener">VanEck Vectors Semiconductor (SMH US)</a> ETF in December but there are a lot of float and capping changes.</li>
<li>Estimated one-way turnover is 4.5% resulting in a one-way trade of US$1.1bn. Impact on the stocks is not big given they trade like water.</li>
<li>The selling in <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom</a> and <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA</a> will be amplified by selling from the <a href="https://www.smartkarma.com/entities/technology-select-sector-spdr" target="_blank" data-smartkarma-citation="entities:27543:1" rel="noopener">Technology Select Sector SPDR (XLK US)</a> and <a href="https://www.smartkarma.com/entities/invesco-s-p-500-equal-weight-e" target="_blank" data-smartkarma-citation="entities:32932:1" rel="noopener">Invesco S&amp;P 500 Equal Weight E (RSP US)</a> ETFs. </li>
</ul>


There are no constituent changes for the VanEck Vectors Semiconductor (SMH US) ETF in December but there are a lot of float and capping changes.
Estimated one-way turnover is 4.5% resulting in a one-way trade of US$1.1bn. Impact on the stocks is not big given they trade like water.
The selling in Broadcom and NVIDIA will be amplified by selling from the Technology Select Sector SPDR (XLK US) and Invesco S&amp;P 500 Equal Weight E (RSP US) ETFs. 


MV US Listed Semiconductor 25 Index Rebalance: Round-Trip Trade Over US$2.2bn

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Apollo Global Management  / Index Rebalance

<ul>
<li>On Friday post-close, S&amp;PDJI announced the changes to the S&amp;P500, S&amp;P MidCap400, and S&amp;P SmallCap600 Indices. The S&amp;P500 names will get added to/deleted from the S&amp;P500 Equal-Weight Index too.</li>
<li>
<a href="https://www.smartkarma.com/entities/apollo-global-management-inc" target="_blank" data-smartkarma-citation="entities:28770:1" rel="noopener">Apollo Global Management (APO US)</a> and <a href="https://www.smartkarma.com/entities/workday-inc-class-a" target="_blank" data-smartkarma-citation="entities:5660:1" rel="noopener">Workday Inc Class A (WDAY US)</a> are IN to the S&amp;P500. <a href="https://www.smartkarma.com/entities/qorvo-inc" target="_blank" data-smartkarma-citation="entities:11965:1" rel="noopener">Qorvo Inc (QRVO US)</a> and <a href="https://www.smartkarma.com/entities/amentum-holdings-inc" target="_blank" data-smartkarma-citation="entities:44105:1" rel="noopener">Amentum Holdings (AMTM US)</a> are demoted to SmallCap600.</li>
<li>There is a <em>theoretical</em> quantity to trade, and an <em>expected</em> quantity to trade</li>
</ul>


On Friday post-close, S&amp;PDJI announced the changes to the S&amp;P500, S&amp;P MidCap400, and S&amp;P SmallCap600 Indices. The S&amp;P500 names will get added to/deleted from the S&amp;P500 Equal-Weight Index too.

Apollo Global Management (APO US) and Workday Inc Class A (WDAY US) are IN to the S&amp;P500. Qorvo Inc (QRVO US) and Amentum Holdings (AMTM US) are demoted to SmallCap600.
There is a theoretical quantity to trade, and an expected quantity to trade


S&P500 Dec24 Rebalance: APO and WDAY IN; QRVO and AMTM Demoted

Event-Driven

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> and capping changes will result in a round-trip trade of US$15.9bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>The Select Sector index trackers and <a href="https://www.smartkarma.com/entities/invesco-s-p-500-equal-weight-e" target="_blank" data-smartkarma-citation="entities:32932:1" rel="noopener">S&amp;P 500 Equal Weight</a> trackers will need to buy <a href="https://www.smartkarma.com/entities/apollo-global-management-inc" target="_blank" data-smartkarma-citation="entities:28770:1" rel="noopener">Apollo Global Management</a> and <a href="https://www.smartkarma.com/entities/workday-inc-class-a" target="_blank" data-smartkarma-citation="entities:5660:1" rel="noopener">Workday</a>, adding to the buying from <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> trackers.</li>
<li>The flows will change over the next week as stock prices move around and final capping is done after the close on 13 December.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX and capping changes will result in a round-trip trade of US$15.9bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
The Select Sector index trackers and S&amp;P 500 Equal Weight trackers will need to buy Apollo Global Management and Workday, adding to the buying from S&amp;P 500 INDEX trackers.
The flows will change over the next week as stock prices move around and final capping is done after the close on 13 December.


Select Sector Indices and S&P Equal Weight Rebalance: US$16bn Trade; More Buying for APO and WDAY

<ul>
<li>There are 2 changes for the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a>, 2 changes for the S&amp;P Midcap400 Index and 6 changes for the S&amp;P SmallCap600 Index at the December rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/apollo-global-management-inc" target="_blank" data-smartkarma-citation="entities:28770:1" rel="noopener">Apollo Global</a> and <a href="https://www.smartkarma.com/entities/workday-inc-class-a" target="_blank" data-smartkarma-citation="entities:5660:1" rel="noopener">Workday</a> will have large flows from <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> trackers while<a href="https://www.smartkarma.com/entities/applovin-corp" target="_blank" data-smartkarma-citation="entities:32989:1" rel="noopener"> AppLovin</a> misses out. The SPX adds will have large inflows from the Select Sector index trackers too.</li>
<li>The outright adds are up a lot in the after-hours and there could be further upside over the next couple of weeks as positioning ramps up.</li>
</ul>


There are 2 changes for the S&amp;P 500 INDEX, 2 changes for the S&amp;P Midcap400 Index and 6 changes for the S&amp;P SmallCap600 Index at the December rebalance.

Apollo Global and Workday will have large flows from S&amp;P 500 INDEX trackers while AppLovin misses out. The SPX adds will have large inflows from the Select Sector index trackers too.
The outright adds are up a lot in the after-hours and there could be further upside over the next couple of weeks as positioning ramps up.


S&P500/400/600 Index Rebalance: Apollo Global, Workday Added to SPX; AppLovin Misses Out

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Our long-term outlook remains neutral on the S&amp;P 500 (SPX) as of our 8/6/24 Compass, after being bullish since early-November 2023.</li>
<li>Since late-July discussed expectations for a 1-to 4-month pullback/consolidation on SPX and QQQ; now it's likely to last closer to four months, and potentially 4- to 6-months from 7/17/24.</li>
<li>At that point the market will decide which way this consolidation resolves. Throughout this pullback we have said that this consolidation could end up being a significant topping pattern.</li>
</ul>


Our long-term outlook remains neutral on the S&amp;P 500 (SPX) as of our 8/6/24 Compass, after being bullish since early-November 2023.
Since late-July discussed expectations for a 1-to 4-month pullback/consolidation on SPX and QQQ; now it's likely to last closer to four months, and potentially 4- to 6-months from 7/17/24.
At that point the market will decide which way this consolidation resolves. Throughout this pullback we have said that this consolidation could end up being a significant topping pattern.


Upgrading Staples, Real Estate, and Health Care to Overweight; List of Concerns Continues to Grow

United States

Invesco S&P 500 Equal Weight ETF is an exchange-traded fund incorporated in the USA. The ETF tracks the S&P500 Equal Weighted Index, which equally weights the constituents of the cap weighted S&P 500 Index and rebalances the index to target weights quarterly.

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Invesco S&P 500 Equal Weight E (RSP US)

MV US Listed Semiconductor 25 Index Rebalance: Round-Trip Trade Over US$2.2bn

Float and capping changes result in an estimated one-way turnover of 4.5% and a round-trip trade of US$2.2bn. Broadcom and Nvidia will also have...

Brian Freitas

S&P500 Dec24 Rebalance: APO and WDAY IN; QRVO and AMTM Demoted

S&P500/400/600 Index rebal names were announced Friday. APO + WDAY are the big S&P500 adds. QRVO and AMTM get demoted to 600. 17x/13x ADV for the...

Travis Lundy

Select Sector Indices and S&P Equal Weight Rebalance: US$16bn Trade; More Buying for APO and WDAY

Constituent changes to the SPX and capping changes result in a round-trip trade of US$15.9bn. Apollo Global, Workday, Exxon and McDonald's are...

Brian Freitas

S&P500/400/600 Index Rebalance: Apollo Global, Workday Added to SPX; AppLovin Misses Out

There are 2 changes for SnP500, 2 for SnP400 and 6 for SnP600. The outright adds are up big in the after-hours market. There will be more flows for...

Brian Freitas

Upgrading Staples, Real Estate, and Health Care to Overweight; List of Concerns Continues to Grow

Upgrading Staples $XLP, Real Estate $XLRE, Health Care $XLV to Overweight; List of Concerns Continues to Grow; Dow $DJI, Equal-Weight S&P 500 $RSP,...

Vermilion Research

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