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>With the review period complete, we forecast no inclusions to the index in June. There could be up to 3 deletions at the review though.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 3.9% and a round-trip trade of A$216m.</li>
<li>
<a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals</a> is a potential deletion from the S&amp;P/ASX 50 Index with implementation on the same date. Shorts have been covering but short interest is a big percentage of float.</li>
</ul>


With the review period complete, we forecast no inclusions to the index in June. There could be up to 3 deletions at the review though.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 3.9% and a round-trip trade of A$216m.

Pilbara Minerals is a potential deletion from the S&amp;P/ASX 50 Index with implementation on the same date. Shorts have been covering but short interest is a big percentage of float.


MV Australia Equal Weight Index Rebalance Preview: Three Potential Deletions in June

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of May 2nd (reported today) which has an aggregated short interest worth USD26.3bn.</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 Westpac, Nextdc, Goodman, Asx, South32.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of May 2nd (reported today) which has an aggregated short interest worth USD26.3bn.
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 Westpac, Nextdc, Goodman, Asx, South32.


ASX Short Interest Weekly (May 2nd): Westpac, Nextdc, Goodman, Asx, South32

<ul>
<li>
<a href="https://www.smartkarma.com/entities/telix-pharmaceuticals-ltd" target="_blank" data-smartkarma-citation="entities:26052:1" rel="noopener">Telix Pharmaceuticals (TLX AU)</a> is the sole (and somewhat surprising) inclusion for the <a href="https://www.smartkarma.com/entities/vaneck-vectors-australian-equal-weight-etf" target="_blank" data-smartkarma-citation="entities:24297:1" rel="noopener">VanEck Vectors Australian Equal Weight ETF (MVW AU)</a> in December.</li>
<li>The one inclusion, float changes and capping changes result in a one-way turnover of 5.5% leading to a round-trip trade of A$290m.</li>
<li>Shorts have increased in <a href="https://www.smartkarma.com/entities/telix-pharmaceuticals-ltd" target="_blank" data-smartkarma-citation="entities:26052:1" rel="noopener">Telix Pharmaceuticals (TLX AU)</a> this year but there has been some covering in the stock recently.</li>
</ul>



Telix Pharmaceuticals (TLX AU) is the sole (and somewhat surprising) inclusion for the VanEck Vectors Australian Equal Weight ETF (MVW AU) in December.
The one inclusion, float changes and capping changes result in a one-way turnover of 5.5% leading to a round-trip trade of A$290m.
Shorts have increased in Telix Pharmaceuticals (TLX AU) this year but there has been some covering in the stock recently.


MV Australia Equal Weight Index Rebalance: One Add & Capping Leads to A$290m Trade

<ul>
<li>With 4 days left to review cutoff, there is 1 close add and 3 potential deletions for the MV Australia Equal Weight Index at the December rebalance.</li>
<li>Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.6% and a round-trip trade of A$243m.</li>
<li>The final list of inclusions/exclusions will depend on price movements till Friday and whether the index provider makes any significant changes to the free float of stocks in the universe.</li>
</ul>


With 4 days left to review cutoff, there is 1 close add and 3 potential deletions for the MV Australia Equal Weight Index at the December rebalance.
Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.6% and a round-trip trade of A$243m.
The final list of inclusions/exclusions will depend on price movements till Friday and whether the index provider makes any significant changes to the free float of stocks in the universe.


MV Australia Equal Weight Index Rebalance Preview: 1 Close Add & 3 Deletions

<ul>
<li>
<a href="https://www.smartkarma.com/entities/pro-medicus-ltd" target="_blank" data-smartkarma-citation="entities:13516:1" rel="noopener">Pro Medicus Ltd (PME AU)</a> will be added to the MV Australia Equal Weight Index while <a href="https://www.smartkarma.com/entities/igo-ltd" target="_blank" data-smartkarma-citation="entities:462:1" rel="noopener">IGO Ltd (IGO AU)</a> and <a href="https://www.smartkarma.com/entities/nib-holdings-ltd" target="_blank" data-smartkarma-citation="entities:7063:1" rel="noopener">nib holdings (NHF AU)</a> will be deleted.</li>
<li>Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a round-trip trade of A$330m.</li>
<li>Shorts are pretty big in <a href="https://www.smartkarma.com/entities/pro-medicus-ltd" target="_blank" data-smartkarma-citation="entities:13516:1" rel="noopener">Pro Medicus Ltd (PME AU)</a> while there has been a recent spike in short interest for <a href="https://www.smartkarma.com/entities/igo-ltd" target="_blank" data-smartkarma-citation="entities:462:1" rel="noopener">IGO Ltd (IGO AU)</a>. </li>
</ul>



Pro Medicus Ltd (PME AU) will be added to the MV Australia Equal Weight Index while IGO Ltd (IGO AU) and nib holdings (NHF AU) will be deleted.
Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a round-trip trade of A$330m.
Shorts are pretty big in Pro Medicus Ltd (PME AU) while there has been a recent spike in short interest for IGO Ltd (IGO AU). 


MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

Australia

South32 Limited operates as a diversified metals and mining company. The Company produces alumina, aluminum, coal, manganese, nickel, silver, lead, and zinc. South32 conducts business globally.

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South32 Ltd (S32 AU)

MV Australia Equal Weight Index Rebalance Preview: Three Potential Deletions in June

We do not forecast any inclusions but there could be 3 deletions. Just capping changes will lead to one-way turnover of 3.9% and a round-trip trade...

Brian Freitas

ASX Short Interest Weekly (May 2nd): Westpac, Nextdc, Goodman, Asx, South32

We analyzed ASX short interest report for the past week and highlight short interest changes in Westpac, Nextdc, Goodman, Asx, South32.

Ke Yan, CFA, FRM

MV Australia Equal Weight Index Rebalance: One Add & Capping Leads to A$290m Trade

Telix Pharma is a surprise inclusion in December. The add, float and capping changes lead to an estimated one-way turnover of 5.5% and to a round...

Brian Freitas

MV Australia Equal Weight Index Rebalance Preview: 1 Close Add & 3 Deletions

There could be 1 add and 3 deletes in Dec. Even if there are no constituent changes, capping changes will lead to one-way turnover of 4.6% and a...

Brian Freitas

MV Australia Equal Weight Index Rebalance: One Add, Two Deletes, Capping to Drive Flow

PME is an add. NHF and IGO are deletes. Constituent changes, float changes and capping changes result in a one-way turnover of 6.9% leading to a...

Brian Freitas

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