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 a bunch of stocks that are constituents of the S&amp;P/ASX family of indices and could go private or merge prior to the next scheduled rebalance in December.</li>
<li>That will lead to ad hoc inclusions 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 (AS51 INDEX)</a> and could also lead to ad hoc inclusions for the S&amp;P/ASX 50 and S&amp;P/ASX 100 indices.</li>
<li>There is a fair amount of short interest on some of the potential inclusions and short covering due to index inclusion could take the stocks higher.</li>
</ul>


There are a bunch of stocks that are constituents of the S&amp;P/ASX family of indices and could go private or merge prior to the next scheduled rebalance in December.
That will lead to ad hoc inclusions for the S&amp;P/ASX 200 (AS51 INDEX) and could also lead to ad hoc inclusions for the S&amp;P/ASX 50 and S&amp;P/ASX 100 indices.
There is a fair amount of short interest on some of the potential inclusions and short covering due to index inclusion could take the stocks higher.


Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

<ul>
<li>
<a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare</a> has entered into a scheme implementation deed with TPG at A$12.7/share. This is higher than the initial offer of A$12.65/share but lower than the revised offer of A$13/share.</li>
<li>There is an extra A$0.26/share in franking credits for <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> shareholders that can use them.</li>
<li>Passives will need to sell nearly 11m shares of <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> on the last trading day and there will be an adhoc inclusion to 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>.</li>
</ul>



Invocare has entered into a scheme implementation deed with TPG at A$12.7/share. This is higher than the initial offer of A$12.65/share but lower than the revised offer of A$13/share.
There is an extra A$0.26/share in franking credits for Invocare Ltd (IVC AU) shareholders that can use them.
Passives will need to sell nearly 11m shares of Invocare Ltd (IVC AU) on the last trading day and there will be an adhoc inclusion to the S&amp;P/ASX 200 Index.


InvoCare (IVC AU): SID Signed with TPG at A$12.7/Share

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Mar 17th (reported today) which has an aggregated short interest worth USD42.6bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon, Suncorp, Beach Energy.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Mar 17th (reported today) which has an aggregated short interest worth USD42.6bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon, Suncorp, Beach Energy.


ASX Short Interest Weekly (Mar 17th): Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon

<ul>
<li>Changes to the S&amp;P/ASX indices, <a href="https://www.smartkarma.com/entities/vaneck-vectors-rare-earth-strategic-metals-etf" target="_blank" data-smartkarma-citation="entities:32320:1" rel="noopener">VanEck Vectors Rare Earth/Strategic Metals ETF</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-junior-gold-miners-etf" target="_blank" data-smartkarma-citation="entities:32845:1" rel="noopener">VanEck Vectors Junior Gold Miners ETF</a>, <a href="https://www.smartkarma.com/entities/vaneck-vectors-aus-equal-wei" target="_blank" data-smartkarma-citation="entities:24297:1" rel="noopener">Vaneck Aus Equal Weight ETF</a>, and other indices will be implemented 17 March.</li>
<li>There are plenty of stocks with multiple days of ADV to trade. Some pre-positioning would have taken place prior to announcement and positions adjusted in the last couple of weeks.</li>
<li>There has been a reversal in stock performance over the last few weeks and short interest has moved a lot in some stocks.</li>
</ul>


Changes to the S&amp;P/ASX indices, VanEck Vectors Rare Earth/Strategic Metals ETF, VanEck Vectors Junior Gold Miners ETF, Vaneck Aus Equal Weight ETF, and other indices will be implemented 17 March.
There are plenty of stocks with multiple days of ADV to trade. Some pre-positioning would have taken place prior to announcement and positions adjusted in the last couple of weeks.
There has been a reversal in stock performance over the last few weeks and short interest has moved a lot in some stocks.


Australia: S&P/​ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

<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

Australia

SmartGroup Corp Ltd. is an Australian outsourced salary packaging company within the health, not-for-profit, State and Federal Government departments and corporate sectors nationwide.

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Smartgroup Corp (SIQ AU)

Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

There are 5 companies that are members of the S&P/ASX indices and could be delisted prior to the next rebalance in December. That could mean ad hoc...

Brian Freitas

ASX Short Interest Weekly (Mar 17th): Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon

We analyzed ASX short interest report for the past week and highlight short interest changes in Pilbara Minerals, Northern Star Re, Arafura Rare...

Ke Yan, CFA, FRM

Australia: S&P/ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

Implementation of the S&P/ASX, REMX, GDXJ, MVA and other indices take place at the close on Friday. There will be a lot of passive flow going...

Brian Freitas

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Mergers, Acquisitions and Potential S&P/ASX Index Ad Hoc Inclusions

There are 5 companies that are members of the S&P/ASX indices and could be delisted prior to the next rebalance in December. That could mean ad hoc...

Brian Freitas

InvoCare (IVC AU): SID Signed with TPG at A$12.7/Share

TPG has signed an SID to buy all shares in Invocare at A$12.7/sh. There is an extra A$0.257/share in franking credits for those that can use it....

Brian Freitas

ASX Short Interest Weekly (Mar 17th): Pilbara Minerals, Northern Star Re, Arafura Rare Ear, Aurizon

We analyzed ASX short interest report for the past week and highlight short interest changes in Pilbara Minerals, Northern Star Re, Arafura Rare...

Ke Yan, CFA, FRM

Australia: S&P/​ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

Implementation of the S&P/ASX, REMX, GDXJ, MVA and other indices take place at the close on Friday. There will be a lot of passive flow going...

Brian Freitas

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

Australia: S&P/ASX, REMX, GDXJ, MVA, MVW, Other Flows on Friday

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