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>Changes to the S&amp;P/ASX indices, <a href="https://www.smartkarma.com/entities/vaneck-rare-earth-strategic-me" target="_blank" data-smartkarma-citation="entities:32320:1" rel="noopener">REMX US</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-junior-gold-miners-etf" target="_blank" data-smartkarma-citation="entities:32845:1" rel="noopener">GDXJ US</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">MVA AU</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-equal-weight-etf" target="_blank" data-smartkarma-citation="entities:24297:1" rel="noopener">MVW AU</a> and other indices will be implemented at the close on Friday.</li>
<li>There is over +/-A$5m to trade or +/-3x ADV to trade on nearly 100 stocks and will be a huge volume day for the stocks at the close.</li>
<li>Use the volume on the buy and sell side to increase/reduce positions especially on the deletes where there will be liquidity to cover shorts on stocks that have dropped significantly.</li>
</ul>


Changes to the S&amp;P/ASX indices, REMX US, GDXJ US, MVA AU, MVW AU and other indices will be implemented at the close on Friday.
There is over +/-A$5m to trade or +/-3x ADV to trade on nearly 100 stocks and will be a huge volume day for the stocks at the close.
Use the volume on the buy and sell side to increase/reduce positions especially on the deletes where there will be liquidity to cover shorts on stocks that have dropped significantly.


Australia: S&P/ASX, REMX, GDXJ, MVA, MVW & Other Index Flows on Friday

Zhejiang Huayou Cobalt   / Index Rebalance

<ul>
<li>There is one add and two deletes for the MVIS Global Rare Earth/Strategic Metals Index at the September rebalance. Plus there are free float and capping changes.</li>
<li>One way turnover is estimated at 11.1% and will result in a one-way trade of US$58m. There are a few stocks with over 0.5 days of ADV to trade.</li>
<li>The inclusion of <a href="https://www.smartkarma.com/entities/sociedad-quimica-y-minera-de-chile-sa" target="_blank" data-smartkarma-citation="entities:27977:1" rel="noopener">Sociedad Quimica y Minera de Chile (SQM US)</a> and deletion of <a href="https://www.smartkarma.com/entities/zhejiang-huayou-cobalt-co-ltd" target="_blank" data-smartkarma-citation="entities:25048:1" rel="noopener">Zhejiang Huayou Cobalt (603799 CH)</a> are surprises.</li>
</ul>


There is one add and two deletes for the MVIS Global Rare Earth/Strategic Metals Index at the September rebalance. Plus there are free float and capping changes.
One way turnover is estimated at 11.1% and will result in a one-way trade of US$58m. There are a few stocks with over 0.5 days of ADV to trade.
The inclusion of Sociedad Quimica y Minera de Chile (SQM US) and deletion of Zhejiang Huayou Cobalt (603799 CH) are surprises.


MVIS Global Rare Earth/​​​​​Strategic Metals Index Rebalance: One Add, Two Deletes & Big Turnover

<ul>
<li>The changes at the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> September rebalance were announced on 4 September. The rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI was implemented on the same day.</li>
<li>The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.</li>
<li>After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.</li>
</ul>


The changes at the Nikkei 225 September rebalance were announced on 4 September. The rebalance of the HSI, HSCEI, HSTECH and HSCI was implemented on the same day.
The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.
After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

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

<ul>
<li>The review period for the MVIS Global Rare Earth/Strategic Metals Index ended 31 August. The changes will be announced on 8 September and implemented at the close on 15 September.</li>
<li>Coming in around the 85% cutoff, <a href="https://www.smartkarma.com/entities/rising-nonferrous-metals-share-co-ltd" target="_blank" data-smartkarma-citation="entities:14860:1" rel="noopener">Rising Nonferrous Metals Share (600259 CH)</a> is a potential inclusion. There are two stocks that are very close to the 98% deletion threshold.</li>
<li>
<a href="https://www.smartkarma.com/entities/lake-resources-nl" target="_blank" data-smartkarma-citation="entities:14597:1" rel="noopener">Lake Resources Nl (LKE AU)</a> is a deletion from 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> at the September rebalance and there could be more to sell if deleted from this index.</li>
</ul>


The review period for the MVIS Global Rare Earth/Strategic Metals Index ended 31 August. The changes will be announced on 8 September and implemented at the close on 15 September.
Coming in around the 85% cutoff, Rising Nonferrous Metals Share (600259 CH) is a potential inclusion. There are two stocks that are very close to the 98% deletion threshold.

Lake Resources Nl (LKE AU) is a deletion from the S&amp;P/ASX 200 (AS51 INDEX) at the September rebalance and there could be more to sell if deleted from this index.


MVIS Global Rare Earth/​​​​​​​​​Strategic Metals Index Rebalance Preview: Review Period Complete

Australia

Lake Resources NL is a specialist mineral exploration company with exploration projects in Pakistan and Argentina.

Price Gauge
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Lake Resources Nl (LKE AU)

Australia: S&P/ASX, REMX, GDXJ, MVA, MVW & Other Index Flows on Friday

There are a bunch of rebalances that will be implemented in Australia on Friday. Nearly 100 stocks will have over A$5m or more than 3x ADV to...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance: One Add, Two Deletes & Big Turnover

One add, two deletes, float and capping changes will result in one-way turnover estimated at 11.1% resulting in a one-way trade of US$58m. There...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

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

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Review Period Complete

With the review period complete, there is 1 potential add and 2 potential deletes. LKE is a potential delete and will also be deleted from the...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Australia: S&P/ASX, REMX, GDXJ, MVA, MVW & Other Index Flows on Friday

There are a bunch of rebalances that will be implemented in Australia on Friday. Nearly 100 stocks will have over A$5m or more than 3x ADV to...

Brian Freitas

MVIS Global Rare Earth/​​​​​Strategic Metals Index Rebalance: One Add, Two Deletes & Big Turnover

One add, two deletes, float and capping changes will result in one-way turnover estimated at 11.1% resulting in a one-way trade of US$58m. There...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

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

MVIS Global Rare Earth/​​​​​​​​​Strategic Metals Index Rebalance Preview: Review Period Complete

With the review period complete, there is 1 potential add and 2 potential deletes. LKE is a potential delete and will also be deleted from the...

Brian Freitas

MVIS Global Rare Earth/Strategic Metals Index Rebalance: One Add, Two Deletes & Big Turnover

MVIS Global Rare Earth/Strategic Metals Index Rebalance Preview: Review Period Complete