Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>We are seeing snap-back rallies in the largest global economies -- notably the U.S. and Japan, and also Europe to a lesser extent. However...</li>
<li>We're expecting to see lower highs develop at prior breakdown levels at 2690-2700 on the TOPIX and 4884 on the EURO STOXX 50, which are significant resistance levels.</li>
<li>Watching SPX resistance at 5585, or possible test of YTD highs/marginal new high, all fitting with our ongoing belief (since July 25) that ACWI-US going through 1-to 4-month pullback/consolidation.</li>
</ul>


We are seeing snap-back rallies in the largest global economies -- notably the U.S. and Japan, and also Europe to a lesser extent. However...
We're expecting to see lower highs develop at prior breakdown levels at 2690-2700 on the TOPIX and 4884 on the EURO STOXX 50, which are significant resistance levels.
Watching SPX resistance at 5585, or possible test of YTD highs/marginal new high, all fitting with our ongoing belief (since July 25) that ACWI-US going through 1-to 4-month pullback/consolidation.


MSCI ACWI Consolidation Continues; Outlook Remains Neutral; Buys Across Defensives & Other Sectors

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>STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.</li>
<li>In this insight, we take a look at our expectations for potential ADDs and DELs for the STAR 50 index during the September 2024 index rebal event.</li>
<li>We currently see two ADDs and two DELs for the STAR 50 index resulting in one-way flows of US$681mn.</li>
</ul>


STAR 50 Index is a tech-focused, blue-chip index in Mainland China which tracks the top 50 largest and most liquid names in the STAR market of the Shanghai Stock Exchange.
In this insight, we take a look at our expectations for potential ADDs and DELs for the STAR 50 index during the September 2024 index rebal event.
We currently see two ADDs and two DELs for the STAR 50 index resulting in one-way flows of US$681mn.


Quiddity Leaderboard STAR 50 Sep 24: Two Changes; US$681mn One-Way; New Trade Ideas

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>The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We forecast 6 changes for the index, including migrations between the STAR100 Index and 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 INDEX</a>. There is uncertainty for a few adds given profitability (or lack of it). </li>
<li>The outright potential adds have outperformed the outright potential deletes since the start of the calendar year with 12% outperformance in just the last 3 weeks.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We forecast 6 changes for the index, including migrations between the STAR100 Index and the STAR50 INDEX. There is uncertainty for a few adds given profitability (or lack of it). 
The outright potential adds have outperformed the outright potential deletes since the start of the calendar year with 12% outperformance in just the last 3 weeks.


STAR100 Index Rebalance Preview: Potential Adds Diverge Further from Potential Deletes

<ul>
<li>There are only 3 trading days left in the review period for the September rebalance of 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>. </li>
<li>We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).</li>
<li>Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.</li>
</ul>


There are only 3 trading days left in the review period for the September rebalance of the SSE STAR50 (STAR50 INDEX). 
We see two potential changes that could result in a one-way turnover of 3.6% and in a one-way trade of CNY 4.7bn (US$644m).
Cumulative excess volume has started to pick up in the stocks over the last few weeks and that could be an indicator of further gains for a long/short trade.


STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

<ul>
<li>The review period for the September rebalance ends 30 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.</li>
<li>We forecast 6 changes for the index, including migrations between the STAR 100 Index and 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>.</li>
<li>Excluding the migrations, the potential adds have outperformed the potential deletes since the start of the calendar year and there could be further outperformance over the next few weeks.</li>
</ul>


The review period for the September rebalance ends 30 July. We expect the changes to be announced 30 August with the implementation taking place after the close on 13 September.
We forecast 6 changes for the index, including migrations between the STAR 100 Index and the SSE STAR50 (STAR50 INDEX).
Excluding the migrations, the potential adds have outperformed the potential deletes since the start of the calendar year and there could be further outperformance over the next few weeks.


STAR100 Index Rebalance Preview: Outright Adds Outperforming Outright Deletes

China

Ninebot Limited researches, develops, and manufactures robots. The Company produces and markets balance bikes, scooters, children cars, karts, smart home service robots, intelligent public service robots, and other products. Ninebot markets its products across worldwide.

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Ninebot (689009 CH)

MSCI ACWI Consolidation Continues; Outlook Remains Neutral; Buys Across Defensives & Other Sectors

MSCI $ACWI Consolidation Continues; Outlook Remains Neutral; Snap-Back Rallies in Japan $Nikkei $TOPIX, U.S. $SPX, Europe $STOXX fits with our view...

Vermilion Research

Quiddity Leaderboard STAR 50 Sep 24: Two Changes; US$681mn One-Way; New Trade Ideas

Today is the last day of the reference period for the STAR 50 September 2024 index rebal event. The expectations discussed in this insight are...

Janaghan Jeyakumar, CFA

STAR100 Index Rebalance Preview: Potential Adds Diverge Further from Potential Deletes

There could be 6 index changes in Sep. The list of adds will depend on the index committee using the profitability criterion (or not). The adds...

Brian Freitas

STAR50 Index Rebalance Preview: Positioning Indicates Further Gains for a Long/Short Trade

There could be 2 changes in September. A long adds/short deletes trade has been flat over the last 3 months. Recent changes in cumulative excess...

Brian Freitas

STAR100 Index Rebalance Preview: Outright Adds Outperforming Outright Deletes

There could be 6 changes for the STAR100 Index in September of which 2 are migrations with the STAR50. The outright adds have outperformed the...

Brian Freitas

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