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

Endeavour Group /Australia / Event-Driven

<ul>
<li>Up to six Aussie stocks could be deleted from global passive portfolios in February. The final list of deletions depends on stock performance over the next 2-3 weeks.</li>
<li>If deleted, passive trackers will need to sell between A$370m-A$500m in the stocks. Impact is high at between 7-24 days of ADV.</li>
<li>The potential deletions have underperformed 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> over every time period from 1 week to 3 months. Positioning is still low in a few stocks.</li>
</ul>


Up to six Aussie stocks could be deleted from global passive portfolios in February. The final list of deletions depends on stock performance over the next 2-3 weeks.
If deleted, passive trackers will need to sell between A$370m-A$500m in the stocks. Impact is high at between 7-24 days of ADV.
The potential deletions have underperformed the S&amp;P/ASX 200 (AS51 INDEX) over every time period from 1 week to 3 months. Positioning is still low in a few stocks.


Australia: Six Stocks in Passive Selling Crosshairs for February

Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ingenia-communities-group" target="_blank" data-smartkarma-citation="entities:5495:1" rel="noopener">Ingenia Communities (INA AU)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> in September. There are float changes and capping changes too.</li>
<li>Estimated one-way turnover is 2.9% and will result in a one-way trade of A$19m.</li>
<li>After declining over the last year, shorts have started to tick higher in <a href="https://www.smartkarma.com/entities/ingenia-communities-group" target="_blank" data-smartkarma-citation="entities:5495:1" rel="noopener">Ingenia Communities (INA AU)</a>. </li>
</ul>



Ingenia Communities (INA AU) will be deleted from the Vaneck Vectors Australian Property ETF (MVA AU) in September. There are float changes and capping changes too.
Estimated one-way turnover is 2.9% and will result in a one-way trade of A$19m.
After declining over the last year, shorts have started to tick higher in Ingenia Communities (INA AU). 


MV Australia A-REITs Index Rebalance: Ingenia Communities Deleted

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 Sep 6th (reported today) which has an aggregated short interest worth USD24.3bn.</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 Macquarie, Fortescue, Mirvac, Insurance Australia, BHP, Wesfarmers, CSL.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Sep 6th (reported today) which has an aggregated short interest worth USD24.3bn.
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 Macquarie, Fortescue, Mirvac, Insurance Australia, BHP, Wesfarmers, CSL.


ASX Short Interest Weekly (Sep 6th): Macquarie, Fortescue, Mirvac, Insurance Australia, BHP

<ul>
<li>The review period for the September rebalance ends on 30 August. We do not see any constituent changes for the index but there will be capping changes.</li>
<li>
<a href="https://www.smartkarma.com/entities/home-consortium-ltd" target="_blank" data-smartkarma-citation="entities:29082:1" rel="noopener">Home Consortium Ltd (HMC AU)</a> is just outside inclusion zone at the moment and outperformance over the rest of the week could result in inclusion.</li>
<li>
<a href="https://www.smartkarma.com/entities/home-consortium-ltd" target="_blank" data-smartkarma-citation="entities:29082:1" rel="noopener">Home Consortium Ltd (HMC AU)</a>'s inclusion and capping changes will result in a one-way turnover of 5% and in a round-trip trade of A$62m. </li>
</ul>


The review period for the September rebalance ends on 30 August. We do not see any constituent changes for the index but there will be capping changes.

Home Consortium Ltd (HMC AU) is just outside inclusion zone at the moment and outperformance over the rest of the week could result in inclusion.

Home Consortium Ltd (HMC AU)'s inclusion and capping changes will result in a one-way turnover of 5% and in a round-trip trade of A$62m. 


MV Australia A-REITs Index Rebalance Preview: One Close Add & Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/abacus-storage-king" target="_blank" data-smartkarma-citation="entities:39857:1" rel="noopener">Abacus Storage King (ASK AU)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-property-etf" target="_blank" data-smartkarma-citation="entities:30998:1" rel="noopener">Vaneck Vectors Australian Property ETF (MVA AU)</a> in June. There are float changes and capping changes too.</li>
<li>Estimated one-way turnover is 3.33% and will result in a one-way trade of A$19m. There are a couple of stocks with over 1x ADV to trade.</li>
<li>There has been a recent spike in shorts on <a href="https://www.smartkarma.com/entities/abacus-storage-king" target="_blank" data-smartkarma-citation="entities:39857:1" rel="noopener">Abacus Storage King (ASK AU)</a> but passive selling will be larger than the short interest.</li>
</ul>



Abacus Storage King (ASK AU) will be deleted from the Vaneck Vectors Australian Property ETF (MVA AU) in June. There are float changes and capping changes too.
Estimated one-way turnover is 3.33% and will result in a one-way trade of A$19m. There are a couple of stocks with over 1x ADV to trade.
There has been a recent spike in shorts on Abacus Storage King (ASK AU) but passive selling will be larger than the short interest.


MV Australia A-REITs Index Rebalance: Abacus Storage King Deleted (Finally!)

Australia

Mirvac Group is an integrated, diversified Australian property group comprising an investment portfolio and a development business. The Company's investment portfolio, Mirvac Property Trust, invests in and manages office, retail and industrial assets and the development business has exposure to both residential and commercial projects.

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Mirvac Group (MGR AU)

Australia: Six Stocks in Passive Selling Crosshairs for February

6 Aussie stocks appear in the crosshairs of passive selling in Feb. If deleted, passives will need to sell between A$370m-A$500m in the stocks....

Brian Freitas

MV Australia A-REITs Index Rebalance: Ingenia Communities Deleted

Ingenia Communities will be deleted from the index at the close on 20 Sep. Estimated one-way turnover is 2.9% and will result in a one-way trade of...

Brian Freitas

ASX Short Interest Weekly (Sep 6th): Macquarie, Fortescue, Mirvac, Insurance Australia, BHP

We analyzed ASX short interest report for the past week and highlight short interest changes in Macquarie, Fortescue, Mirvac, Insurance Australia,...

Ke Yan, CFA, FRM

MV Australia A-REITs Index Rebalance Preview: One Close Add & Capping Changes

No constituent changes expected for now. HMC is a very close add and needs to outperform over the next 3 trading days to make it into the index....

Brian Freitas

MV Australia A-REITs Index Rebalance: Abacus Storage King Deleted (Finally!)

Abacus Storage King (ASK) will be deleted from the MVA ETF at the close on 21 June. Estimated one-way turnover is 3.33% and will result in a one...

Brian Freitas

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