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>There are no constituent changes for the MVIS Australia Equal Weight Index at the March rebalance. </li>
<li>Float and capping changes will result in a one-way turnover of 4.4% and in a round-trip trade of A$195m.</li>
<li>We had <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a>, <a href="https://www.smartkarma.com/entities/idp-education-ltd" target="_blank" data-smartkarma-citation="entities:1098:1" rel="noopener">IDP Education (IEL AU)</a> and <a href="https://www.smartkarma.com/entities/nib-holdings-ltd" target="_blank" data-smartkarma-citation="entities:7063:1" rel="noopener">nib holdings (NHF AU)</a> as close deletes and they will now have inflows due to capping.</li>
</ul>


There are no constituent changes for the MVIS Australia Equal Weight Index at the March rebalance. 
Float and capping changes will result in a one-way turnover of 4.4% and in a round-trip trade of A$195m.
We had Lendlease Group (LLC AU), IDP Education (IEL AU) and nib holdings (NHF AU) as close deletes and they will now have inflows due to capping.


MV Australia Equal Weight Index Rebalance: Float & Capping Changes to Drive Flow

<ul>
<li>With the review period complete, there are 3 stocks that are close to the deletion zone and could be removed from the index at the March rebalance.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a one-way trade of A$97m.</li>
<li>There are 9 stocks with over A$5m to trade from passive trackers but the impact on the stocks is not very high.</li>
</ul>


With the review period complete, there are 3 stocks that are close to the deletion zone and could be removed from the index at the March rebalance.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.4% and a one-way trade of A$97m.
There are 9 stocks with over A$5m to trade from passive trackers but the impact on the stocks is not very high.


MVIS Australia Equal Weight Index Rebalance Preview: Three Close Deletions

Brilliance China Automotive / Event-Driven

<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 could be two deletes for the index in September. There are two other stocks that are close to the deletion threshold.</li>
<li>Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of around 2.7% and a one-way trade of A$51m.</li>
<li>Short interest has been increasing on <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall (CHC AU)</a> and <a href="https://www.smartkarma.com/entities/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a> and could be partially driven by potential index deletions.</li>
</ul>


There could be two deletes for the index in September. There are two other stocks that are close to the deletion threshold.
Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of around 2.7% and a one-way trade of A$51m.
Short interest has been increasing on Charter Hall (CHC AU) and JB Hi-Fi Ltd (JBH AU) and could be partially driven by potential index deletions.


MVIS Australia Equal Weight Index Rebalance Preview: Deletes, Close Deletes, Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ansell-ltd" target="_blank" data-smartkarma-citation="entities:10777:1" rel="noopener">Ansell Ltd (ANN AU)</a> and <a href="https://www.smartkarma.com/entities/challenger-ltd" target="_blank" data-smartkarma-citation="entities:16870:1" rel="noopener">Challenger Ltd (CGF AU)</a> will be deleted from the MVIS Australia Equal Weight Index at the close of trading on 16 June.</li>
<li>One way turnover is 5.9% resulting in a one-way trade of A$107m. Only the two deletions have more than 1 day of ADV to sell from passive trackers.</li>
<li>With the passive selling between 33-50% of short interest on the deletions, there could be short covering at the close on Friday.</li>
</ul>



Ansell Ltd (ANN AU) and Challenger Ltd (CGF AU) will be deleted from the MVIS Australia Equal Weight Index at the close of trading on 16 June.
One way turnover is 5.9% resulting in a one-way trade of A$107m. Only the two deletions have more than 1 day of ADV to sell from passive trackers.
With the passive selling between 33-50% of short interest on the deletions, there could be short covering at the close on Friday.


MVIS Australia Equal Weight Index Rebalance: Two Deletions & Other Changes

Australia

NIB Holdings Ltd. offers health insurance products.  Depending on the specific product, the Company covers ambulance costs; and reimburses for costs not covered by Medicare including dental, optical, physiotherapy and natural therapies; and some hospitalization costs.

nib holdings (NHF AU)

MV Australia Equal Weight Index Rebalance: Float & Capping Changes to Drive Flow

There are no constituent changes for the index in March but float and capping changes will result in a one-way turnover of 4.4% and in a round-trip...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance Preview: Three Close Deletions

There are 3 close deletes for the index in March. Even if there are no changes, 1-way turnover is 4.4% and 1-way trade is A$97m. Shorts have been...

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 Equal Weight Index Rebalance Preview: Deletes, Close Deletes, Capping Changes

With a couple of weeks to review cutoff, there are two stocks in deletion zone and another two that are close to the deletion zone. Most likely, no...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance: Two Deletions & Other Changes

There are 2 deletions and a lot of capping changes for the index. One way turnover is 5.9% resulting in a one-way trade of A$107m. The two...

Brian Freitas