Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.</li>
<li>The 6-month reference period for the December 2022 Rebalance is now complete.</li>
<li>I do not see any changes for ASX 20 or ASX 100. I see one ADD/DEL for ASX 50 and three ADDs/DELs for ASX 200.</li>
</ul>


In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.
The 6-month reference period for the December 2022 Rebalance is now complete.
I do not see any changes for ASX 20 or ASX 100. I see one ADD/DEL for ASX 50 and three ADDs/DELs for ASX 200.


S&P/​​​​​​​​ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

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

<ul>
<li>Volatile stock prices could mean one change for the S&amp;P/ASX 50 Index and one change 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> at the December rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/atlas-arteria-ltd" target="_blank" data-smartkarma-citation="entities:14430:1" rel="noopener">Atlas Arteria (ALX AU)</a> could replace <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> in the S&amp;P/ASX 50 Index, while <a href="https://www.smartkarma.com/entities/monadelphous-group-ltd" target="_blank" data-smartkarma-citation="entities:553:1" rel="noopener">Monadelphous (MND AU)</a> could replace <a href="https://www.smartkarma.com/entities/st-barbara-ltd" target="_blank" data-smartkarma-citation="entities:3764:1" rel="noopener">St Barbara Ltd (SBM 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</a>.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/st-barbara-ltd" target="_blank" data-smartkarma-citation="entities:3764:1" rel="noopener">St Barbara Ltd (SBM AU)</a> has spiked in the last few weeks and there could be short covering ahead of implementation of the changes.</li>
</ul>


Volatile stock prices could mean one change for the S&amp;P/ASX 50 Index and one change for the S&amp;P/ASX 200 (AS51 INDEX) at the December rebalance.

Atlas Arteria (ALX AU) could replace Lendlease Group (LLC AU) in the S&amp;P/ASX 50 Index, while Monadelphous (MND AU) could replace St Barbara Ltd (SBM AU) in the S&amp;P/ASX 200.
Short interest on St Barbara Ltd (SBM AU) has spiked in the last few weeks and there could be short covering ahead of implementation of the changes.


S&P/​​​​​​ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

<ul>
<li>We see one potential change for the S&amp;P/ASX 50 Index and two potential changes 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</a> at the December rebalance, though some stocks are close to the cutoffs.</li>
<li>The potential passive buying on 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> adds will exceed 11 days of ADV while the impact on the other stocks ranges from 1.5-4 days of ADV.</li>
<li>Most stocks have been moving the right way and there will be pre-positions built up on some of the stocks. Shorts have been active on a few names too.</li>
</ul>


We see one potential change for the S&amp;P/ASX 50 Index and two potential changes for the S&amp;P/ASX 200 at the December rebalance, though some stocks are close to the cutoffs.
The potential passive buying on the S&amp;P/ASX 200 (AS51 INDEX) adds will exceed 11 days of ADV while the impact on the other stocks ranges from 1.5-4 days of ADV.
Most stocks have been moving the right way and there will be pre-positions built up on some of the stocks. Shorts have been active on a few names too.


S&P/​​​​​ASX Index Rebalance Preview: Moving the Right Way

<ul>
<li>In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.</li>
<li>The top 5 highest ranked ASX 200 Potential ADDs have 10+ days to buy and a couple of these names could become intra-review additions. </li>
<li>
<a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a> is an ASX 50 ADD and <a href="https://www.smartkarma.com/entities/lendlease-group" target="_blank" data-smartkarma-citation="entities:11248:1" rel="noopener">Lendlease Group (LLC AU)</a> is an ASX 50 DEL as it stands. </li>
</ul>


In this insight, we take a look at the potential index changes for S&amp;P ASX 200, 100, 50, and 20 in the run up to the December 2022 Rebalance.
The top 5 highest ranked ASX 200 Potential ADDs have 10+ days to buy and a couple of these names could become intra-review additions. 

Pilbara Minerals (PLS AU) is an ASX 50 ADD and Lendlease Group (LLC AU) is an ASX 50 DEL as it stands. 


S&P/​​​​​​​ASX Quiddity Leaderboard Dec 22: Top Ranked ASX200 ADDs Look Interesting

<ul>
<li>Last week we had the implementation of the first two tranches of the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> rebalance with the third tranche to be implemented at the close on Monday.</li>
<li>Thursday saw the NIFTY indices implementation while Friday marked the end of the review period for the December rebalance of the Hang Seng family of indices.</li>
<li>There were large inflows to China, Taiwan, Korea and Hong Kong ETFs during the week while there were some outflows from Japan.</li>
</ul>


Last week we had the implementation of the first two tranches of the Nikkei 225 (NKY INDEX) rebalance with the third tranche to be implemented at the close on Monday.
Thursday saw the NIFTY indices implementation while Friday marked the end of the review period for the December rebalance of the Hang Seng family of indices.
There were large inflows to China, Taiwan, Korea and Hong Kong ETFs during the week while there were some outflows from Japan.


Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

Australia

St. Barbara Limited is a gold exploration and production company.  The Company's exploration projects include its Southern Cross and Leonora Operations which are located in Western Australia.

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St Barbara Ltd (SBM AU)

S&P/ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

Among the Expected DELs, St Barbara and Smartgroup have significant short buildup. The ASX 50 Expected ADDs/DELs are fairly low-impact names. But...

Janaghan Jeyakumar, CFA

S&P/ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

With 3 days left in the review period, we forecast one change each for the ASX50 & ASX200 indices. The largest impact of passive trading will be on...

Brian Freitas

S&P/ASX Index Rebalance Preview: Moving the Right Way

We see 1 change for the ASX50 and 2 for the ASX200. Impact on the ASX200 adds is high. There is pre-positioning on the long & short side and the...

Brian Freitas

S&P/ASX Quiddity Leaderboard Dec 22: Top Ranked ASX200 ADDs Look Interesting

Tassal and Nearmap could get deleted from the ASX 200 index before the December 2022 Rebalance. Monadelphous and PolyNovo are leading the race to...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

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

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

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S&P/​​​​​​​​ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

Among the Expected DELs, St Barbara and Smartgroup have significant short buildup. The ASX 50 Expected ADDs/DELs are fairly low-impact names. But...

Janaghan Jeyakumar, CFA

S&P/​​​​​​ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

With 3 days left in the review period, we forecast one change each for the ASX50 & ASX200 indices. The largest impact of passive trading will be on...

Brian Freitas

S&P/​​​​​ASX Index Rebalance Preview: Moving the Right Way

We see 1 change for the ASX50 and 2 for the ASX200. Impact on the ASX200 adds is high. There is pre-positioning on the long & short side and the...

Brian Freitas

S&P/​​​​​​​ASX Quiddity Leaderboard Dec 22: Top Ranked ASX200 ADDs Look Interesting

Tassal and Nearmap could get deleted from the ASX 200 index before the December 2022 Rebalance. Monadelphous and PolyNovo are leading the race to...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

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

Brian Freitas

S&P/ASX Quiddity Final Expectations Dec 22: Mostly Mining Companies, Avoid Short Buildup!

S&P/ASX Index Rebalance Preview: Shrinking Number of Changes in Dec

S&P/ASX Index Rebalance Preview: Moving the Right Way

S&P/ASX Quiddity Leaderboard Dec 22: Top Ranked ASX200 ADDs Look Interesting