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>As expected, <a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> will be deleted from the MVIS Australia A-REIT Index at the close on 15 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> will also be deleted 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> on the same day, so this increases the sell flow on the stock.</li>
<li>Estimated one-way turnover at the rebalance is 3.8% resulting in a one-way trade of A$23.8m. There are a few stocks with over 1x ADV to trade from passive trackers.</li>
</ul>


As expected, Abacus Group (ABG AU) will be deleted from the MVIS Australia A-REIT Index at the close on 15 September.

Abacus Group (ABG AU) will also be deleted from the S&amp;P/ASX 200 (AS51 INDEX) on the same day, so this increases the sell flow on the stock.
Estimated one-way turnover at the rebalance is 3.8% resulting in a one-way trade of A$23.8m. There are a few stocks with over 1x ADV to trade from passive trackers.


MVIS Australia A-REITs Index Rebalance: Abacus Group Deletion Means More Outflow

<ul>
<li>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 rebalances will take place at the close on 4 September since the market was closed on 1 September due to Typhoon Saola.</li>
<li>There will be a few announcements next week with <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> early in the week and the MVIS series post close on Friday. Plus the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a> rebalances on Friday.</li>
<li>Another week of huge inflows into mainland China ETFs focused on the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a>.</li>
</ul>


The HSI, HSCEI, HSTECH and HSCI rebalances will take place at the close on 4 September since the market was closed on 1 September due to Typhoon Saola.
There will be a few announcements next week with Nikkei 225 early in the week and the MVIS series post close on Friday. Plus the STAR50 rebalances on Friday.
Another week of huge inflows into mainland China ETFs focused on the CSI 300 Index, STAR50 INDEX and CSI Smallcap 500 Index.


Index Rebalance & ETF Flow Recap: STAR50, KOSPI200, Hang Seng, MVIS, AMFI, Jio, China ETF

<ul>
<li>The review period for the September rebalance ended yesterday. There could be one deletion from the index and a bunch of capping changes.</li>
<li>The index changes will lead to a one-way turnover of 3.4% resulting in a one-way trade of A$21m. There are two stocks with over A$5m to trade.</li>
<li>Short interest has increased on a few REITs recently while decreasing on most of the other names.</li>
</ul>


The review period for the September rebalance ended yesterday. There could be one deletion from the index and a bunch of capping changes.
The index changes will lead to a one-way turnover of 3.4% resulting in a one-way trade of A$21m. There are two stocks with over A$5m to trade.
Short interest has increased on a few REITs recently while decreasing on most of the other names.


MVIS Australia A-REITs Index Rebalance Preview: Abacus Group Could Be Deleted

Brilliance China Automotive / Index Rebalance

<ul>
<li>Friday was the review cutoff for the September rebalance of the ASX family of indices. The September changes for the Hang Seng family of indices were also announced.</li>
<li>The September changes for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> will be announced after the close of trading on 25 August.</li>
<li>For a second week running, there were big inflows to mainland China ETFs and were spread across multiple index trackers. There were outflows from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM US)</a>. </li>
</ul>


Friday was the review cutoff for the September rebalance of the ASX family of indices. The September changes for the Hang Seng family of indices were also announced.
The September changes for the SSE STAR50 (STAR50 INDEX) will be announced after the close of trading on 25 August.
For a second week running, there were big inflows to mainland China ETFs and were spread across multiple index trackers. There were outflows from iShares Emerging Markets (EEM US). 


Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

<ul>
<li>There should be one deletion from the index in September. And there could be another deletion. And there will be capping changes for a few stocks.</li>
<li>The index changes will lead to a one-way turnover of 2.12% resulting in a one-way trade of A$13m. There is only one stock with over A$5m to trade.</li>
<li>Following the spinoff, <a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> and <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 the lowest ranked index constituents and at risk of deletion from the index.</li>
</ul>


There should be one deletion from the index in September. And there could be another deletion. And there will be capping changes for a few stocks.
The index changes will lead to a one-way turnover of 2.12% resulting in a one-way trade of A$13m. There is only one stock with over A$5m to trade.
Following the spinoff, Abacus Group (ABG AU) and Abacus Storage King (ASK AU) will be the lowest ranked index constituents and at risk of deletion from the index.


MVIS Australia A-REITs Index Rebalance Preview: One Delete, One Close Delete & Capping

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)

MVIS Australia A-REITs Index Rebalance: Abacus Group Deletion Means More Outflow

Abacus Group will be deleted from the index; there is a surprising float increase on Abacus Storage King. That will add to or offset flows from...

Brian Freitas

Index Rebalance & ETF Flow Recap: STAR50, KOSPI200, Hang Seng, MVIS, AMFI, Jio, China ETF

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

Brian Freitas

MVIS Australia A-REITs Index Rebalance Preview: Abacus Group Could Be Deleted

Abacus Group could be deleted from the MVMVA Index - the stock is also a potential deletion from the ASX200 Index. There will be capping changes on...

Brian Freitas

Index Rebalance & ETF Flow Recap: ASX, NEXT50, MVMVA, MVMVW, Celltrion, Brilliance, KQ150, HSCI

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

Brian Freitas

MVIS Australia A-REITs Index Rebalance Preview: One Delete, One Close Delete & Capping

There should be one deletion, could be another deletion, and some capping changes. One-way turnover is 2.12% resulting in a one-way trade of A$13m....

Brian Freitas

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