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>The changes at the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> September rebalance were announced on 4 September. The rebalance of 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 was implemented on the same day.</li>
<li>The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.</li>
<li>After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.</li>
</ul>


The changes at the Nikkei 225 September rebalance were announced on 4 September. The rebalance of the HSI, HSCEI, HSTECH and HSCI was implemented on the same day.
The changes to the MVIS indices were announced on 8 September and will be implemented at the close on 15 September. The S&amp;P/ASX family will also rebalance on 15 September.
After a month and a half of big inflows to onshore China ETFs, there were small outflows from a lot of ETFs during the week.


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

<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

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>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> has been stuck in the 7000-7600 range for the past 2 years, with a brief dive to 6500 during the summer of 2022. </li>
<li>If we consider the bottom at 6411 in October 2022, the index may have started to build an uptrend since then, but failed repeatedly to breach past the 7600 barrier.</li>
<li>After a brief correction in August 2023, the index is currently rising, but soon it will encounter WEEKLY resistance that could hamper its chances of breaking out of its range.</li>
</ul>


The S&amp;P/ASX 200 INDEX has been stuck in the 7000-7600 range for the past 2 years, with a brief dive to 6500 during the summer of 2022. 
If we consider the bottom at 6411 in October 2022, the index may have started to build an uptrend since then, but failed repeatedly to breach past the 7600 barrier.
After a brief correction in August 2023, the index is currently rising, but soon it will encounter WEEKLY resistance that could hamper its chances of breaking out of its range.


EQD | SP/ASX200 Index: Will It Break Out of Its Range?

<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

Australia

Scentre Group develops and owns retail real estate properties. The Company is responsible for the development, design, management, leasing, and marketing of its portfolio of Westfield branded shopping centers. Scentre Group owns properties throughout Australia and New Zealand.

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Scentre Group (SCG AU)

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

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: 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

EQD | SP/ASX200 Index: Will It Break Out of Its Range?

The ASX 200 INDEX has repeatedly failed its attempts to breach the 7600 barrier for the past 2 years. Currently rising, but will face strong...

Nico Rosti

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, KOSDAQ150, Yuanta ETFs, MVA, MVW, SMH

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: 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

EQD | SP/ASX200 Index: Will It Break Out of Its Range?

​The ASX 200 INDEX has repeatedly failed its attempts to breach the 7600 barrier for the past 2 years. Currently rising, but will face strong...

Nico Rosti

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

The ASX 200 INDEX has repeatedly failed its attempts to breach the 7600 barrier for the past 2 years. Currently rising, but will face strong...