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>There are unlikely to be any inclusions to the index in June while there are three stocks that are close to the deletion threshold.</li>
<li>Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of over 4% and a one-way trade of A$78m.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/amp-ltd" target="_blank" data-smartkarma-citation="entities:678:1" rel="noopener">AMP Ltd (AMP AU)</a> has been increasing as the stock has dropped and a further decline in the stock could lead to deletion.</li>
</ul>


There are unlikely to be any inclusions to the index in June while there are three stocks that are close to the deletion threshold.
Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of over 4% and a one-way trade of A$78m.
Short interest on AMP Ltd (AMP AU) has been increasing as the stock has dropped and a further decline in the stock could lead to deletion.


MVIS Australia Equal Weight Index Rebalance: Potential Deletes & Capping Changes

Quantitative Analysis

<ul>
<li>Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a>. </li>
<li>Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI2 INDEX</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>.</li>
<li>Short notional in Taiwan is lower over the quarter even as the <a href="https://www.smartkarma.com/entities/taiwan-stock-exchange-weighted-index" target="_blank" data-smartkarma-citation="entities:26056:1" rel="noopener">TWSE INDEX</a> has moved higher over the period. There has been big short covering on some stocks.</li>
</ul>


Total short interest in Hong Kong is HK$435.1bn, marginally higher from end-December. Short notional has moved in line with the Hong Kong Hang Seng Index (HSI INDEX). 
Total short notional of the KOSPI and KOSDAQ market has moved up since end-December and is in line with the move higher in the KOSPI2 INDEX and KOSDAQ 150 Index.
Short notional in Taiwan is lower over the quarter even as the TWSE INDEX has moved higher over the period. There has been big short covering on some stocks.


Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

HomeCo Daily Needs REIT / Index Rebalance

<ul>
<li>The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 17 March. There are no constituent changes, but there are float and capping changes.</li>
<li>Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of A$11.1m. There is limited impact on the index constituents.</li>
<li>The largest inflows are on <a href="https://www.smartkarma.com/entities/stockland" target="_blank" data-smartkarma-citation="entities:661:1" rel="noopener">Stockland</a>, <a href="https://www.smartkarma.com/entities/homeco-daily-needs-reit" target="_blank" data-smartkarma-citation="entities:33526:1" rel="noopener">HomeCo Daily Needs REIT</a>, <a href="https://www.smartkarma.com/entities/gpt-group" target="_blank" data-smartkarma-citation="entities:168:1" rel="noopener">Gpt Group</a> and <a href="https://www.smartkarma.com/entities/charter-hall-group" target="_blank" data-smartkarma-citation="entities:5593:1" rel="noopener">Charter Hall</a>, while the largest outflows are on <a href="https://www.smartkarma.com/entities/goodman-group" target="_blank" data-smartkarma-citation="entities:959:1" rel="noopener">Goodman Group</a>, <a href="https://www.smartkarma.com/entities/federation-centres" target="_blank" data-smartkarma-citation="entities:335:1" rel="noopener">Vicinity Centres</a>, <a href="https://www.smartkarma.com/entities/dexus" target="_blank" data-smartkarma-citation="entities:403:1" rel="noopener">Dexus Property</a> and <a href="https://www.smartkarma.com/entities/scentre-group" target="_blank" data-smartkarma-citation="entities:9538:1" rel="noopener">Scentre Group</a>.</li>
</ul>


The upcoming rebalance of the MVIS Australia A-REIT Index will be implemented at the close on 17 March. There are no constituent changes, but there are float and capping changes.
Estimated one-way turnover at the rebalance is 1.8% resulting in a one-way trade of A$11.1m. There is limited impact on the index constituents.
The largest inflows are on Stockland, HomeCo Daily Needs REIT, Gpt Group and Charter Hall, while the largest outflows are on Goodman Group, Vicinity Centres, Dexus Property and Scentre Group.


MVIS Australia A-REITs Index Rebalance:  Float/Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/cromwell-property-group" target="_blank" data-smartkarma-citation="entities:2780:1" rel="noopener">Cromwell Property (CMW AU)</a> is a deletion from the MVIS Australia A-REITS Index at the close on 16 December.</li>
<li>Passive trackers will need to sell 13.9m shares (5 days ADV) of <a href="https://www.smartkarma.com/entities/cromwell-property-group" target="_blank" data-smartkarma-citation="entities:2780:1" rel="noopener">Cromwell Property (CMW AU)</a> and there appears to be little to no pre-positioning on the stock.</li>
<li>There are a few other stocks that will have over 0.5 days of ADV to buy from passive trackers.</li>
</ul>



Cromwell Property (CMW AU) is a deletion from the MVIS Australia A-REITS Index at the close on 16 December.
Passive trackers will need to sell 13.9m shares (5 days ADV) of Cromwell Property (CMW AU) and there appears to be little to no pre-positioning on the stock.
There are a few other stocks that will have over 0.5 days of ADV to buy from passive trackers.


MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

Event-Driven

<p><a href="https://www.smartkarma.com/entities/9390" target="_blank" data-smartkarma-citation="entities:9390:1">Aveo Group (AOG AU)</a>, an Australian retirement village operator, is amid a strategic review to sell itself. At its 1H19 results on 13 February, Aveo said it had received several non-binding bids from parties interested in acquiring the entire company. </p><div class="content-highlight"><p>Scepticism on a successful sale remains high as Aveo’s discount to NTA has increased from 44% on 14 August 2018 (the day before the announcement of strategic review) to the current 46%. However, we believe that the widening NTA discount is an opportunity to capitalise on an emerging bidding battle.</p></div>

Aveo Group (AOG AU), an Australian retirement village operator, is amid a strategic review to sell itself. At its 1H19 results on 13 February, Aveo said it had received several non-binding bids from parties interested in acquiring the entire company. Scepticism on a successful sale remains high as Aveo’s discount to NTA has increased from 44% on 14 August 2018 (the day before the announcement of strategic review) to the current 46%. However, we believe that the widening NTA discount is an opportunity to capitalise on an emerging bidding battle.

Aveo Group (AOG AU): An Emerging Bidding Battle Presents an Opportunity

Australia

Stockland is a diversified Australian property group. The Group develops and manages Retail centers, Residential Communities and Retirement Living assets with a focus on regional centers and outer metropolitan. Stockland also owns a portfolio of Office and Industrial assets.

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Stockland (SGP AU)

MVIS Australia Equal Weight Index Rebalance: Potential Deletes & Capping Changes

There could be 3 deletions for the MVIS Australia Equal Weight Index in June. Capping changes could result in one-way turnover of 4.1% and a one...

Brian Freitas

Short Interest Movements (Q1 2023): HK, Korea, Taiwan, Australia

The Insight looks at movements in short interest across HK, Korea, Taiwan and Australia stocks over Q1 and highlights large increases/decreases in...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Float/Capping Changes

There are no constituent changes in March but there are float & capping changes. Estimated one-way turnover at the rebalance is 1.8% resulting in a...

Brian Freitas

MVIS Australia A-REITs Index Rebalance: Cromwell Property (CMW) Is a Deletion

Cromwell Property is a deletion from the MVIS Australia A-REIT Index. Passive trackers need to sell 13.9m shares (5.1x ADV) of CMW but short...

Brian Freitas

Aveo Group (AOG AU): An Emerging Bidding Battle Presents an Opportunity

Aveo Group (AOG AU), an Australian retirement village operator, is amid a strategic review to sell itself. At its 1H19 results on 13 February, Aveo...

Arun George

Price Gauge

52-week Range

Market Cap (USDm)

P/E

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