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>There is one change for the ASX20, two for the ASX100, four 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 INDEX</a> and 12 adds/ 9 deletes for the ASX300 Index at the March rebalance.</li>
<li>There will be between 7-20 days of ADV to trade on the ASX100 and ASX200 adds while the impact on the deletions is between 1-11 days of ADV.</li>
<li>The adds have outperformed the deletes on all indices over the last few months. Short interest has jumped on a lot of the large deletes.</li>
</ul>


There is one change for the ASX20, two for the ASX100, four for the S&amp;P/ASX 200 INDEX and 12 adds/ 9 deletes for the ASX300 Index at the March rebalance.
There will be between 7-20 days of ADV to trade on the ASX100 and ASX200 adds while the impact on the deletions is between 1-11 days of ADV.
The adds have outperformed the deletes on all indices over the last few months. Short interest has jumped on a lot of the large deletes.


S&P/​​​ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

<ul>
<li>We currently see 1 change for the ASX20 Index, 2 changes for the ASX100 Index, 4 changes for the ASX200 Index, 10 adds/7 deletes for the ASX300 Index in March.</li>
<li>On average, the potential adds to each of the indices have outperformed the potential deletes with the largest outperformance for the ASX300 Index.</li>
<li>Shorts have continued to increase positions on the potential deletes while covering their positions on the potential adds. We expect there are large pre-positions on some of the stocks now.</li>
</ul>


We currently see 1 change for the ASX20 Index, 2 changes for the ASX100 Index, 4 changes for the ASX200 Index, 10 adds/7 deletes for the ASX300 Index in March.
On average, the potential adds to each of the indices have outperformed the potential deletes with the largest outperformance for the ASX300 Index.
Shorts have continued to increase positions on the potential deletes while covering their positions on the potential adds. We expect there are large pre-positions on some of the stocks now.


S&P/​​​​​​​ASX Index Rebalance Preview: Review Period (Nearly) Complete

<ul>
<li>We currently see 1 change for the ASX20, 2 for the ASX100, 4 changes for the ASX 200 and 9 adds/ 6 deletes for the ASX300 Index in March.</li>
<li>Passive trackers will need to trade over 3 days of ADV on 13 stocks, over 5 days of ADV on 9 stocks and over 10x ADV on 4 stocks. </li>
<li>Shorts have been covering positions on stocks where there are expected to be passive inflows and increasing positions on stocks that are expected to have passive outflows.</li>
</ul>


We currently see 1 change for the ASX20, 2 for the ASX100, 4 changes for the ASX 200 and 9 adds/ 6 deletes for the ASX300 Index in March.
Passive trackers will need to trade over 3 days of ADV on 13 stocks, over 5 days of ADV on 9 stocks and over 10x ADV on 4 stocks. 
Shorts have been covering positions on stocks where there are expected to be passive inflows and increasing positions on stocks that are expected to have passive outflows.


S&P/​​​​​​ASX Index Rebalance Preview: High Impact Changes in March

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the potential index changes for S&amp;P ASX 20, 50, 100, 200, 300 in the run up to the March 2023 Rebalance.</li>
<li>I expect there to be one, two, and four changes, respectively, for the ASX 20, ASX 100, and ASX 200 indices in the March 2023 Rebalance. </li>
<li>For ASX 300, there could be 14 ADDs and 12 DELs in the March 2023 Rebalance including some high impact names based on days-to-trade.</li>
</ul>


In this insight, we take a look at the potential index changes for S&amp;P ASX 20, 50, 100, 200, 300 in the run up to the March 2023 Rebalance.
I expect there to be one, two, and four changes, respectively, for the ASX 20, ASX 100, and ASX 200 indices in the March 2023 Rebalance. 
For ASX 300, there could be 14 ADDs and 12 DELs in the March 2023 Rebalance including some high impact names based on days-to-trade.


Quiddity Leaderboard-S&P/​​​​​​​​​ASX Mar 23: Multiple Names with Decent Impact

<ul>
<li>
<a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> will replace <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> in 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 close of trading on 12 January.</li>
<li>Passive <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> trackers will receive <a href="https://www.smartkarma.com/entities/pexa-group-ltd" target="_blank" data-smartkarma-citation="entities:34716:1" rel="noopener">PEXA Group (PXA AU)</a> shares from their <a href="https://www.smartkarma.com/entities/link-administration-holdings-ltd" target="_blank" data-smartkarma-citation="entities:970:1" rel="noopener">Link Administration (LNK AU)</a> holdings and will have to buy the rest from the market.</li>
<li>There will be selling in <a href="https://www.smartkarma.com/entities/pendal-group-ltd" target="_blank" data-smartkarma-citation="entities:15795:1" rel="noopener">Pendal Group (PDL AU)</a> from <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> and S&amp;P/ASX 300 Index trackers as well as from global trackers.</li>
</ul>



PEXA Group (PXA AU) will replace Pendal Group (PDL AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close of trading on 12 January.
Passive S&amp;P/ASX 200 (AS51 INDEX) trackers will receive PEXA Group (PXA AU) shares from their Link Administration (LNK AU) holdings and will have to buy the rest from the market.
There will be selling in Pendal Group (PDL AU) from S&amp;P/ASX 200 (AS51 INDEX) and S&amp;P/ASX 300 Index trackers as well as from global trackers.


ASX200 Index Rebalance: PEXA to Replace Pendal

Australia

NRW Holdings Limited provides mining and civil construction services. The Company offers rail formation, bulk earthworks, mine development, road and tunnel construction, topsoil removal, and a range of contract mining services. NRW Holdings serves customers in Australia.

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NRW Holdings (NWH AU)

S&P/ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

There are 19 adds and 16 deletes across the S&P/ASX family of indices. On the larger names, passives need to buy 7-20x ADV while selling between 1...

Brian Freitas

S&P/ASX Index Rebalance Preview: Review Period (Nearly) Complete

We forecast 1 change for the ASX20, 2 for the ASX100, 4 for the ASX 200 & 10 adds/7 deletes for the ASX300 in March. Adds have outperformed deletes...

Brian Freitas

S&P/ASX Index Rebalance Preview: High Impact Changes in March

We currently see 1 change for the ASX20, 2 for the ASX100, 4 changes for the ASX 200 and 9 adds/ 6 deletes for the ASX300 Index in March. Lots of...

Brian Freitas

Quiddity Leaderboard-S&P/ASX Mar 23: Multiple Names with Decent Impact

I expect there to be 40 names involved in the March 2023 Rebalance collectively for the ASX 20, 50, 200, and 300 indices. The majority of these...

Janaghan Jeyakumar, CFA

ASX200 Index Rebalance: PEXA to Replace Pendal

PEXA will replace Pendal in the ASX200 at the close on 12 January. We then expect another 4 index changes in March with impacts ranging from 2.5...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/​​​ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

There are 19 adds and 16 deletes across the S&P/ASX family of indices. On the larger names, passives need to buy 7-20x ADV while selling between 1...

Brian Freitas

S&P/​​​​​​​ASX Index Rebalance Preview: Review Period (Nearly) Complete

We forecast 1 change for the ASX20, 2 for the ASX100, 4 for the ASX 200 & 10 adds/7 deletes for the ASX300 in March. Adds have outperformed deletes...

Brian Freitas

S&P/​​​​​​ASX Index Rebalance Preview: High Impact Changes in March

We currently see 1 change for the ASX20, 2 for the ASX100, 4 changes for the ASX 200 and 9 adds/ 6 deletes for the ASX300 Index in March. Lots of...

Brian Freitas

Quiddity Leaderboard-S&P/​​​​​​​​​ASX Mar 23: Multiple Names with Decent Impact

I expect there to be 40 names involved in the March 2023 Rebalance collectively for the ASX 20, 50, 200, and 300 indices. The majority of these...

Janaghan Jeyakumar, CFA

ASX200 Index Rebalance: PEXA to Replace Pendal

PEXA will replace Pendal in the ASX200 at the close on 12 January. We then expect another 4 index changes in March with impacts ranging from 2.5...

Brian Freitas

S&P/ASX Index Rebalance (Mar 2023): Big Impact Changes as Adds Outperform Deletes

S&P/ASX Index Rebalance Preview: Review Period (Nearly) Complete

S&P/ASX Index Rebalance Preview: High Impact Changes in March

Quiddity Leaderboard-S&P/ASX Mar 23: Multiple Names with Decent Impact