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 were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

<ul>
<li>
<a href="https://www.smartkarma.com/entities/gentrack-group-ltd" target="_blank" data-smartkarma-citation="entities:2752:1" rel="noopener">Gentrack (GTK NZ)</a> and <a href="https://www.smartkarma.com/entities/dorchester-pacific-ltd" target="_blank" data-smartkarma-citation="entities:1854:1" rel="noopener">Turners Automotive (TRA NZ)</a> will be added to the S&amp;P/NZX 50 Index while <a href="https://www.smartkarma.com/entities/synlait-milk-ltd" target="_blank" data-smartkarma-citation="entities:16298:1" rel="noopener">Synlait Milk (SML NZ)</a> and <a href="https://www.smartkarma.com/entities/pacific-edge-ltd" target="_blank" data-smartkarma-citation="entities:20261:1" rel="noopener">Pacific Edge (PEB NZ)</a> will be deleted.</li>
<li>There is a lot to trade on the stocks. The impact in terms of days of ADV appears high but historically there has been volume on implementation date.</li>
<li>The adds have jumped recently and there will be pre-positioning on the stocks. Not so much on the deletes.</li>
</ul>



Gentrack (GTK NZ) and Turners Automotive (TRA NZ) will be added to the S&amp;P/NZX 50 Index while Synlait Milk (SML NZ) and Pacific Edge (PEB NZ) will be deleted.
There is a lot to trade on the stocks. The impact in terms of days of ADV appears high but historically there has been volume on implementation date.
The adds have jumped recently and there will be pre-positioning on the stocks. Not so much on the deletes.


S&P/NZX 50 Index Rebalance: Two High Impact Changes Coming Up

The S&amp;P/NZX 50 Index is designed to measure the performance of the 50 largest stocks listed on the Main Board of the NZX by float-adjusted market capitalization. The index is float-adjusted, covering approximately 90% of New Zealand equity market capitalization.Last evening, S&amp;P SJI announced the deletion of <a href="https://www.smartkarma.com/entities/metlifecare-ltd" target="_blank" data-smartkarma-citation="entities:19219:1" rel="noopener">Metlifecare Ltd (MET NZ)</a> following its acquisition by Asia Pacific Village Group Limited. <a href="https://www.smartkarma.com/entities/pacific-edge-ltd" target="_blank" data-smartkarma-citation="entities:20261:1" rel="noopener">Pacific Edge (PEB NZ)</a> will be included in the index to keep the number of constituents at 50. The changes will be effective after the close of trading on 20 October.Based on assets tracking the index, we estimate passive funds will need to buy 9.1m shares of <a href="https://www.smartkarma.com/entities/pacific-edge-ltd" target="_blank" data-smartkarma-citation="entities:20261:1" rel="noopener">Pacific Edge (PEB NZ)</a> which is around 12 days of ADV. The stock was trading 12% higher earlier today, was then halted, then traded 20% higher and is now 15% higher on volumes of just over 3m shares. The stock could move higher over the next few days as passive investors step in to buy the stock.

The S&amp;P/NZX 50 Index is designed to measure the performance of the 50 largest stocks listed on the Main Board of the NZX by float-adjusted market capitalization. The index is float-adjusted, covering approximately 90% of New Zealand equity market capitalization.Last evening, S&amp;P SJI announced the deletion of Metlifecare Ltd (MET NZ) following its acquisition by Asia Pacific Village Group Limited. Pacific Edge (PEB NZ) will be included in the index to keep the number of constituents at 50. The changes will be effective after the close of trading on 20 October.Based on assets tracking the index, we estimate passive funds will need to buy 9.1m shares of Pacific Edge (PEB NZ) which is around 12 days of ADV. The stock was trading 12% higher earlier today, was then halted, then traded 20% higher and is now 15% higher on volumes of just over 3m shares. The stock could move higher over the next few days as passive investors step in to buy the stock.

S&P/NZX 50 Index Rebalance: Pacific Edge IN With A Lot to Buy

New Zealand

Pacific Edge Ltd is a biomedical company specialising in the discovery and commercialisation of diagnostic and prognostic technology for the early detection and monitoring of cancer. The Company has completed successful trials in bladder cancer detection and colorectal cancer prognosis.

Pacific Edge (PEB NZ)

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

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

Brian Freitas

S&P/NZX 50 Index Rebalance: Two High Impact Changes Coming Up

As expected, Gentrack and Turners Auto will replace Synlait Milk and Pacific Edge in the NZX50 Index. The adds have jumped recently and there...

Brian Freitas

S&P/NZX 50 Index Rebalance: Pacific Edge IN With A Lot to Buy

Ad hoc changes have been announced to the S&P/NZX50 index following APVG's acquisition of Metlifecare. The real impact is on Pacific Edge, the...

Brian Freitas