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 90% of the review period for the August rebalance of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> complete, there could be one change for the index.</li>
<li>
<a href="https://www.smartkarma.com/entities/digiplus-interactive-corp" target="_blank" data-smartkarma-citation="entities:23060:1" rel="noopener">DigiPlus Interactive (PLUS PM)</a> should replace <a href="https://www.smartkarma.com/entities/bloomberry-resorts-corp" target="_blank" data-smartkarma-citation="entities:17961:1" rel="noopener">Bloomberry Resorts (BLOOM PM)</a> in the index. <a href="https://www.smartkarma.com/entities/bloomberry-resorts-corp" target="_blank" data-smartkarma-citation="entities:17961:1" rel="noopener">Bloomberry Resorts (BLOOM PM)</a> also has some global passive selling at the close on 30 May.</li>
<li>
<a href="https://www.smartkarma.com/entities/digiplus-interactive-corp" target="_blank" data-smartkarma-citation="entities:23060:1" rel="noopener">DigiPlus Interactive (PLUS PM)</a> is up 25x over the last couple of years and is up 46% since we identified the stock as a potential index inclusion.</li>
</ul>


With 90% of the review period for the August rebalance of the Philippines Stock Exchange PSEi Index (PCOMP INDEX) complete, there could be one change for the index.

DigiPlus Interactive (PLUS PM) should replace Bloomberry Resorts (BLOOM PM) in the index. Bloomberry Resorts (BLOOM PM) also has some global passive selling at the close on 30 May.

DigiPlus Interactive (PLUS PM) is up 25x over the last couple of years and is up 46% since we identified the stock as a potential index inclusion.


PCOMP Index Rebalance Preview: One Set of Changes as PLUS Runs Away

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Cross Asset Strategy

<ul>
<li>Philippines ownership falls to record lows among active Asia Ex-Japan managers.</li>
<li>Only 58% of Asia Ex-Japan managers now have exposure, with most holding less than a 3% portfolio weight.</li>
<li>Shrinking benchmark weights and a dwindling active investor base means it is becoming ever easier to avoid Philippines exposure entirely.  </li>
</ul>


Philippines ownership falls to record lows among active Asia Ex-Japan managers.
Only 58% of Asia Ex-Japan managers now have exposure, with most holding less than a 3% portfolio weight.
Shrinking benchmark weights and a dwindling active investor base means it is becoming ever easier to avoid Philippines exposure entirely.  


The Philippines:  Asia Ex-Japan Fund Allocations Hit All-Time Low

<ul>
<li>As forecast, <a href="https://www.smartkarma.com/entities/digiplus-interactive-corp" target="_blank" data-smartkarma-citation="entities:23060:1" rel="noopener">DigiPlus Interactive (PLUS PM)</a> will replace <a href="https://www.smartkarma.com/entities/bloomberry-resorts-corp" target="_blank" data-smartkarma-citation="entities:17961:1" rel="noopener">Bloomberry Resorts (BLOOM PM)</a> in the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> at the close of trading on 15 August.</li>
<li>
<a href="https://www.smartkarma.com/entities/digiplus-interactive-corp" target="_blank" data-smartkarma-citation="entities:23060:1" rel="noopener">DigiPlus Interactive</a> has traded lower following the filing of the Online Gambling Regulatory bill that aims to enhance responsible gaming standards and strengthen regulatory oversight in the sector.</li>
<li>
<a href="https://www.smartkarma.com/entities/digiplus-interactive-corp" target="_blank" data-smartkarma-citation="entities:23060:1" rel="noopener">DigiPlus Interactive</a> is in the early stages of a buyback and is looking to launch in Brazil and South Africa. The index inclusion could provide some respite in the short-term.</li>
</ul>


As forecast, DigiPlus Interactive (PLUS PM) will replace Bloomberry Resorts (BLOOM PM) in the Philippines Stock Exchange PSEi Index (PCOMP INDEX) at the close of trading on 15 August.

DigiPlus Interactive has traded lower following the filing of the Online Gambling Regulatory bill that aims to enhance responsible gaming standards and strengthen regulatory oversight in the sector.

DigiPlus Interactive is in the early stages of a buyback and is looking to launch in Brazil and South Africa. The index inclusion could provide some respite in the short-term.


PCOMP Index Rebalance: PLUS to Replace BLOOM as Regulatory Concerns Hit Stock

<ul>
<li>As forecast, <a href="https://www.smartkarma.com/entities/areit-ayalaland-reit" target="_blank" data-smartkarma-citation="entities:28856:1" rel="noopener">Areit (AyalaLand REIT) (AREIT PM)</a> and <a href="https://www.smartkarma.com/entities/china-banking-corporation" target="_blank" data-smartkarma-citation="entities:22788:1" rel="noopener">China Banking (CBC PM)</a> will replace <a href="https://www.smartkarma.com/entities/nickel-asia-corp" target="_blank" data-smartkarma-citation="entities:10379:1" rel="noopener">Nickel Asia (NIKL PM)</a> and <a href="https://www.smartkarma.com/entities/wilcon-builder-s-supply" target="_blank" data-smartkarma-citation="entities:23685:1" rel="noopener">Wilcon Depot (WLCON PM)</a> in the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index</a>.</li>
<li>Passive trackers will need to buy between 14-44 days of ADV in the adds while selling between 17-54 days of ADV in the deletes.</li>
<li>The stocks have already moved a lot over the last few months and positioning has built up over that period. There could still be outperformance ahead of the passives trading.</li>
</ul>


As forecast, Areit (AyalaLand REIT) (AREIT PM) and China Banking (CBC PM) will replace Nickel Asia (NIKL PM) and Wilcon Depot (WLCON PM) in the Philippines Stock Exchange PSEi Index.
Passive trackers will need to buy between 14-44 days of ADV in the adds while selling between 17-54 days of ADV in the deletes.
The stocks have already moved a lot over the last few months and positioning has built up over that period. There could still be outperformance ahead of the passives trading.


PCOMP Index Rebalance: AREIT, CBC to Replace NIKL, WLCON

<ul>
<li>The review period for the February rebalance of the <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">Philippines Stock Exchange PSEi Index (PCOMP INDEX)</a> ends in two weeks.</li>
<li>There could be two changes for the index with passive trackers needing to trade between 23-64x ADV in the stocks.</li>
<li>The passive buying is a lot larger than the passive selling, there will be funding outflows for the other index constituents; some stocks will have over 1x ADV to trade.</li>
</ul>


The review period for the February rebalance of the Philippines Stock Exchange PSEi Index (PCOMP INDEX) ends in two weeks.
There could be two changes for the index with passive trackers needing to trade between 23-64x ADV in the stocks.
The passive buying is a lot larger than the passive selling, there will be funding outflows for the other index constituents; some stocks will have over 1x ADV to trade.


PCOMP Index Rebalance Preview: Two Changes Likely in February

Philippines

Wilcon Depot, Inc. supplies home improvement and construction materials. The Company offers building materials, appliances, plumbing and sanitary wares, paints, housewares, hardwares, tools, furniture, electrical, lighting, furnishing, and tiles and flooring products. Wilcon Depot serves customers in Philippines.

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Wilcon Depot (WLCON PM)

PCOMP Index Rebalance Preview: One Set of Changes as PLUS Runs Away

DigiPlus Interactive could replace Bloomberry Resorts in the PCOMP in August. There will also be selling in BLOOM at the close on 30 May. PLUS is...

Brian Freitas

The Philippines: Asia Ex-Japan Fund Allocations Hit All-Time Low

Shrinking benchmark weights and a dwindling active investor base means it is becoming ever easier for Asia Ex-Japan managers to avoid Philippines...

Steven Holden

PCOMP Index Rebalance: PLUS to Replace BLOOM as Regulatory Concerns Hit Stock

DigiPlus will replace Bloomberry in the PCOMP. DigiPlus has sold off on regulatory concerns and has launched a buyback. Bloomberry has continued to...

Brian Freitas

PCOMP Index Rebalance: AREIT, CBC to Replace NIKL, WLCON

AREIT and CBC will replace NIKL and WLCON in the PCOMP this week. Passive trackers will need to buy between 14-54 days of ADV in the changes. Adds...

Brian Freitas

PCOMP Index Rebalance Preview: Two Changes Likely in February

There could be two sets of changes for the PCOMP in February. Passives will need to trade between 23-64x ADV in the stocks. The adds have moved...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

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