Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The index changes for the ASX Index family for the March 2023 Rebalance were announced after the close on Friday 3rd March 2023.</li>
<li>There will be one, two, and four changes for ASX 20, ASX 100, and ASX 200 indices, respectively. There will also be 12 ADDs and 9 DELs for ASX 300.</li>
<li>In this insight, we take a closer look at our expectations for index flows, short interest, and recent price performance of the names involved in the rebalance event.</li>
</ul>


The index changes for the ASX Index family for the March 2023 Rebalance were announced after the close on Friday 3rd March 2023.
There will be one, two, and four changes for ASX 20, ASX 100, and ASX 200 indices, respectively. There will also be 12 ADDs and 9 DELs for ASX 300.
In this insight, we take a closer look at our expectations for index flows, short interest, and recent price performance of the names involved in the rebalance event.


Quiddity ASX Rebal Mar 23: Good Hit Rate, Some Short Buildup, Decent Impact

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 is one change for the S&amp;P/ASX 100 Index, eight 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>, while there are 16 adds and 12 deletes for the S&amp;P/ASX 300 Index.</li>
<li>Passive trackers need to buy/sell a lot of stock for the ASX100 and ASX200 names. There appears to be large pre-positioning on the deletes.</li>
<li>
<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>'s privatisation may require an ad hoc inclusion prior to the implementation of the September rebalance - ACCC approval is key. </li>
</ul>


There is one change for the S&amp;P/ASX 100 Index, eight changes to the S&amp;P/ASX 200 (AS51 INDEX), while there are 16 adds and 12 deletes for the S&amp;P/ASX 300 Index.
Passive trackers need to buy/sell a lot of stock for the ASX100 and ASX200 names. There appears to be large pre-positioning on the deletes.

Link Administration (LNK AU)'s privatisation may require an ad hoc inclusion prior to the implementation of the September rebalance - ACCC approval is key. 


S&P/​​ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

<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>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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/crown-resorts-ltd" target="_blank" data-smartkarma-citation="entities:808:1" rel="noopener">Crown Resorts (CWN AU)</a>'s Second Court hearing is scheduled for 15 June and the stock is likely to stop trading at the close on that day. </li>
<li>Estimated passive tracker selling is 62m shares (A$809m; 31.2 days of ADV) of <a href="https://www.smartkarma.com/entities/crown-resorts-ltd" target="_blank" data-smartkarma-citation="entities:808:1" rel="noopener">Crown Resorts (CWN AU)</a> and that could open up some arb opportunities.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/whitehaven-coal-ltd" target="_blank" data-smartkarma-citation="entities:14253:1" rel="noopener">Whitehaven Coal (WHC AU)</a> will be added to the S&amp;P/ASX 100 Index, while <a href="https://www.smartkarma.com/entities/coronado-global-resources-inc" target="_blank" data-smartkarma-citation="entities:27473:1" rel="noopener">Coronado Global Resources Inc (CRN AU)</a> could be added 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>. </li>
</ul>



Crown Resorts (CWN AU)'s Second Court hearing is scheduled for 15 June and the stock is likely to stop trading at the close on that day. 
Estimated passive tracker selling is 62m shares (A$809m; 31.2 days of ADV) of Crown Resorts (CWN AU) and that could open up some arb opportunities.
We expect Whitehaven Coal (WHC AU) will be added to the S&amp;P/ASX 100 Index, while Coronado Global Resources Inc (CRN AU) could be added to the S&amp;P/ASX 200 (AS51 INDEX). 


Crown Resorts (CWN AU): Passive Sell Flow and Potential ASX100/200 Replacements

United States

Life360, Inc. designs and develops technological products. The Company offers mobile application for multi-channel messaging and tracking platform for family communication, lost item retrieving, and medical treatment services. Life360 serves customers in the United States.

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Life360 Inc (360 AU)

Quiddity ASX Rebal Mar 23: Good Hit Rate, Some Short Buildup, Decent Impact

The LONG ADDs - SHORT DELs trade seems interesting. According to my estimates, the average number of days-to-trade for the ADDs and DELs are +11.3...

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

There are a lot of changes to the ASX200 and ASX300 indices with high impact. There are a few surprises, mainly in the ASX300. Shorts have surged...

Brian Freitas

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 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

Crown Resorts (CWN AU): Passive Sell Flow and Potential ASX100/200 Replacements

Crown Resorts has received all reg approvals. The court hearing takes place 15 Jun & the stock could stop trading at the close. There will be large...

Brian Freitas

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Quiddity ASX Rebal Mar 23: Good Hit Rate, Some Short Buildup, Decent Impact

The LONG ADDs - SHORT DELs trade seems interesting. According to my estimates, the average number of days-to-trade for the ADDs and DELs are +11.3...

Janaghan Jeyakumar, CFA

S&P/​​ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

There are a lot of changes to the ASX200 and ASX300 indices with high impact. There are a few surprises, mainly in the ASX300. Shorts have surged...

Brian Freitas

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 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

Crown Resorts (CWN AU): Passive Sell Flow and Potential ASX100/200 Replacements

Crown Resorts has received all reg approvals. The court hearing takes place 15 Jun & the stock could stop trading at the close. There will be large...

Brian Freitas

S&P/ASX Index Rebalance (Sep 2022): Adds, Deletes, Surprises & Pre-Positioning

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

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