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>S&amp;P DJI have proposed methodology changes to the S&amp;P/ASX family of indices to enhance representativeness and more quickly reflecting changing market conditions.</li>
<li>The main changes are lowering the minimum float threshold, shortening the market cap calculation period and the liquidity calculation period, and including buffers for additions and deletions.</li>
<li>We currently forecast 47 changes to the S&amp;P/ASX family of indices in September and the short market cap computation period could lead to more change over the next two months.</li>
</ul>


S&amp;P DJI have proposed methodology changes to the S&amp;P/ASX family of indices to enhance representativeness and more quickly reflecting changing market conditions.
The main changes are lowering the minimum float threshold, shortening the market cap calculation period and the liquidity calculation period, and including buffers for additions and deletions.
We currently forecast 47 changes to the S&amp;P/ASX family of indices in September and the short market cap computation period could lead to more change over the next two months.


S&P/ASX Indices: Proposed Methodology Changes & The BIG September Rebalance

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the potential index changes for S&amp;P ASX 300, 200, 100, 50, and 20 in the September 2022 Rebalance.</li>
<li>In addition to the Regular Rebalance changes, M&amp;A events involving <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> and <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a><em>could</em> also cause index changes during this quarter.</li>
<li>The historical price and volume performance of high conviction ADDs/DELs and potential LONG-SHORT trade ideas involving these names are also discussed in this insight.</li>
</ul>


In this insight, we take a look at the potential index changes for S&amp;P ASX 300, 200, 100, 50, and 20 in the September 2022 Rebalance.
In addition to the Regular Rebalance changes, M&amp;A events involving Uniti Group Ltd (UWL AU) and Link Administration (LNK AU)could also cause index changes during this quarter.
The historical price and volume performance of high conviction ADDs/DELs and potential LONG-SHORT trade ideas involving these names are also discussed in this insight.


S&P/​​​​​ASX Quiddity Leaderboard Sep 2022: Uniti Deletion & Many Other Changes for ASX 200 & 300

Bumi Resources Minerals / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kinross-gold-corp-4566bc5d-6053-4c59-9b54-891e37079607" target="_blank" data-smartkarma-citation="entities:33288:1" rel="noopener">Kinross Gold Corp (KGC US)</a>, <a href="https://www.smartkarma.com/entities/fresnillo-plc" target="_blank" data-smartkarma-citation="entities:21939:1" rel="noopener">Fresnillo PLC (FRES LN)</a>, <a href="https://www.smartkarma.com/entities/kingsgate-consolidated-ltd" target="_blank" data-smartkarma-citation="entities:12544:1" rel="noopener">Kingsgate Consolidated (KCN AU)</a>, Dakota Gold are adds; <a href="https://www.smartkarma.com/entities/merdeka-copper-gold-tbk-pt" target="_blank" data-smartkarma-citation="entities:28447:1" rel="noopener">Merdeka Copper Gold Tbk PT (MDKA IJ)</a> and PGM Gold Mining are deletes.</li>
<li>One way turnover is US$390m and there is a big impact on a lot of stocks due to addition, deletion and float changes. Implementation at the close on 17 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/bumi-resources-minerals-tbk" target="_blank" data-smartkarma-citation="entities:9136:1" rel="noopener">Bumi Resources Minerals Tbk (BRMS IJ)</a> was added to the GDXJ in March and rallied over 30% in 4 days since announcement. Buying this time will be even larger.</li>
</ul>



Kinross Gold Corp (KGC US), Fresnillo PLC (FRES LN), Kingsgate Consolidated (KCN AU), Dakota Gold are adds; Merdeka Copper Gold Tbk PT (MDKA IJ) and PGM Gold Mining are deletes.
One way turnover is US$390m and there is a big impact on a lot of stocks due to addition, deletion and float changes. Implementation at the close on 17 June.

Bumi Resources Minerals Tbk (BRMS IJ) was added to the GDXJ in March and rallied over 30% in 4 days since announcement. Buying this time will be even larger.


MVIS Global Junior Gold Miners Index Rebalance: Big Flows & Impact

Australia

Kingsgate Consolidated Limited is a gold mining and exploration company with operations focused in Thailand at the Chatree gold project. The Company also explores for silver and other metals.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Kingsgate Consolidated (KCN AU)

S&P/ASX Indices: Proposed Methodology Changes & The BIG September Rebalance

The market consultation ends in 2 weeks, and the conclusions should be announced soon after that. A lot of the stocks have moved significantly over...

Brian Freitas

S&P/ASX Quiddity Leaderboard Sep 2022: Uniti Deletion & Many Other Changes for ASX 200 & 300

Uniti Group could get deleted from the ASX 200 and ASX 300 in July 2022. The potential replacement names could be very high impact index inclusion...

Janaghan Jeyakumar, CFA

MVIS Global Junior Gold Miners Index Rebalance: Big Flows & Impact

There are 4 adds and 2 deletes for the GDXJ Index resulting in one-way turnover of 10% and a one-way trade of US$390m. BRMS IJ has a big float...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/ASX Indices: Proposed Methodology Changes & The BIG September Rebalance

The market consultation ends in 2 weeks, and the conclusions should be announced soon after that. A lot of the stocks have moved significantly over...

Brian Freitas

S&P/​​​​​ASX Quiddity Leaderboard Sep 2022: Uniti Deletion & Many Other Changes for ASX 200 & 300

Uniti Group could get deleted from the ASX 200 and ASX 300 in July 2022. The potential replacement names could be very high impact index inclusion...

Janaghan Jeyakumar, CFA

MVIS Global Junior Gold Miners Index Rebalance: Big Flows & Impact

There are 4 adds and 2 deletes for the GDXJ Index resulting in one-way turnover of 10% and a one-way trade of US$390m. BRMS IJ has a big float...

Brian Freitas

S&P/ASX Quiddity Leaderboard Sep 2022: Uniti Deletion & Many Other Changes for ASX 200 & 300