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

Event-Driven

<ul>
<li>The review period for the June rebalance of the S&amp;P/ASX family of indices ends tomorrow and we expect two changes 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>. </li>
<li>Impact of passive trading on the stocks varies between 4.3-11 days of ADV. Short interest on the potential adds is small while there are significant shorts on the potential deletes.</li>
<li>We expect there is pre-positioning on at least three of the four stocks. In some cases that is small, while it could be a lot larger in other stocks.</li>
</ul>


The review period for the June rebalance of the S&amp;P/ASX family of indices ends tomorrow and we expect two changes for the S&amp;P/ASX 200 (AS51 INDEX). 
Impact of passive trading on the stocks varies between 4.3-11 days of ADV. Short interest on the potential adds is small while there are significant shorts on the potential deletes.
We expect there is pre-positioning on at least three of the four stocks. In some cases that is small, while it could be a lot larger in other stocks.


S&P/​​​​​​​ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of May 5th (reported today) which has an aggregated short interest worth USD17.2bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Natl Aust Bank, Pilbara Minerals, Igo, Santos, Qantas Airways, Mineral Resource.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of May 5th (reported today) which has an aggregated short interest worth USD17.2bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Natl Aust Bank, Pilbara Minerals, Igo, Santos, Qantas Airways, Mineral Resource.


ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ventia-services-group" target="_blank" data-smartkarma-citation="entities:34917:1" rel="noopener">Ventia (VNT AU)</a> completed an A$300m placement overnight with Apollo and <a href="https://www.smartkarma.com/entities/cimic-group-ltd" target="_blank" data-smartkarma-citation="entities:20030:1" rel="noopener">CIMIC Group Ltd (CIM AU)</a> selling around 14% of the shares outstanding at a small discount to the close.</li>
<li>The placement will significantly increase <a href="https://www.smartkarma.com/entities/ventia-services-group" target="_blank" data-smartkarma-citation="entities:34917:1" rel="noopener">Ventia (VNT AU)</a>'s float and make the stock a high probability inclusion 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> at the June rebalance.</li>
<li>We now expect two 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> in June and the impact on the stocks is over 5.5 days of ADV to trade.</li>
</ul>



Ventia (VNT AU) completed an A$300m placement overnight with Apollo and CIMIC Group Ltd (CIM AU) selling around 14% of the shares outstanding at a small discount to the close.
The placement will significantly increase Ventia (VNT AU)'s float and make the stock a high probability inclusion to the S&amp;P/ASX 200 (AS51 INDEX) at the June rebalance.
We now expect two changes to the S&amp;P/ASX 200 (AS51 INDEX) in June and the impact on the stocks is over 5.5 days of ADV to trade.


Ventia (VNT AU) - Placement Could Lead to ASX200 Inclusion in June

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Apr 28th (reported today) which has an aggregated short interest worth USD16.5bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Bhp, Pilbara Minerals, Newcrest Mining, Macquarie, Rio Tinto, Igo, Northern Star Re.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Apr 28th (reported today) which has an aggregated short interest worth USD16.5bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Bhp, Pilbara Minerals, Newcrest Mining, Macquarie, Rio Tinto, Igo, Northern Star Re.


ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

<ul>
<li>Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a>. </li>
<li>Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>.</li>
<li>Short notional in Taiwan is lower over the quarter even as the <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">TWSE INDEX</a> has moved higher over the period. There has been big short covering on some stocks.</li>
</ul>


Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.


Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

Australia

Megaport Limited operates as a software-based elastic connectivity provider. The Company develops an elastic connectivity platform that provides customers interconnectivity and flexibility between other networks and cloud providers connected to the platform. Megaport serves customers worldwide.

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Megaport Ltd (MP1 AU)

S&P/ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning

There could be 2 changes for the ASX200 in June. Impact is high on most stocks. Shorts are small on the adds & very high on the deletes. There...

Brian Freitas

ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

We analyzed ASX short interest report for the past week and highlight short interest changes in Natl Aust Bank, Pilbara Minerals, Igo, Santos,...

Ke Yan, CFA, FRM

Ventia (VNT AU) - Placement Could Lead to ASX200 Inclusion in June

Apollo & CIMIC sold 14% of Ventia yesterday. That increases Ventia's float and should result in ASX200 inclusion in June. The placement was...

Brian Freitas

ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

We analyzed ASX short interest report for the past week and highlight short interest changes in Bhp, Pilbara Minerals, Newcrest Mining, Macquarie,...

Ke Yan, CFA, FRM

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

The Insight looks at movements in short interest across HK, Korea, Taiwan and Australia stocks over Q1 and highlights large increases/decreases in...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/​​​​​​​ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning

There could be 2 changes for the ASX200 in June. Impact is high on most stocks. Shorts are small on the adds & very high on the deletes. There...

Brian Freitas

ASX Short Interest Weekly (May 5th): NAB, Pilbara Minerals, Igo, Santos, Qantas

We analyzed ASX short interest report for the past week and highlight short interest changes in Natl Aust Bank, Pilbara Minerals, Igo, Santos,...

Ke Yan, CFA, FRM

Ventia (VNT AU) - Placement Could Lead to ASX200 Inclusion in June

Apollo & CIMIC sold 14% of Ventia yesterday. That increases Ventia's float and should result in ASX200 inclusion in June. The placement was...

Brian Freitas

ASX Short Interest Weekly (Apr 28th): BHP, Pilbara, Newcrest Mining, Macquarie, Rio Tinto, Igo

We analyzed ASX short interest report for the past week and highlight short interest changes in Bhp, Pilbara Minerals, Newcrest Mining, Macquarie,...

Ke Yan, CFA, FRM

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

The Insight looks at movements in short interest across HK, Korea, Taiwan and Australia stocks over Q1 and highlights large increases/decreases in...

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning