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>Nearing a few days left in the review period, there could be 39 adds/deletes across the S&amp;P/ASX family of indices in March.</li>
<li>Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes 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</a> and S&amp;P/ASX 300.</li>
<li>Except 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> that is heavily tracked, the performance of the forecast changes to the other indices has been very stable with adds outperforming deletes bigly.</li>
</ul>


Nearing a few days left in the review period, there could be 39 adds/deletes across the S&amp;P/ASX family of indices in March.
Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the S&amp;P/ASX 200 and S&amp;P/ASX 300.
Except for the S&amp;P/ASX 200 (AS51 INDEX) that is heavily tracked, the performance of the forecast changes to the other indices has been very stable with adds outperforming deletes bigly.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Changes Stable as Adds Outperform Deletes Bigly

<ul>
<li>Nearing the end of the review period, there could be 36 adds/deletes across the S&amp;P/ASX family of indices in March.</li>
<li>Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes 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</a> and S&amp;P/ASX 300.</li>
<li>Completion of the merger with Chemist Warehouse in February will set off huge passive buying in <a href="https://www.smartkarma.com/entities/sigma-healthcare-ltd" target="_blank" data-smartkarma-citation="entities:15966:1" rel="noopener">Sigma Healthcare (SIG AU)</a> over the February to June period.</li>
</ul>


Nearing the end of the review period, there could be 36 adds/deletes across the S&amp;P/ASX family of indices in March.
Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the S&amp;P/ASX 200 and S&amp;P/ASX 300.
Completion of the merger with Chemist Warehouse in February will set off huge passive buying in Sigma Healthcare (SIG AU) over the February to June period.


S&P/​​​​​​​​​ASX Index Rebalance Preview: Lots of Change; Could Be More with Sigma/CWG Merger

<ul>
<li>There were a few rebalance announcements in the last week and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index rebalances were implemented at the close on Friday.</li>
<li>There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.</li>
<li>Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a>. </li>
</ul>


There were a few rebalance announcements in the last week and the SSE STAR50 (STAR50 INDEX) and STAR100 Index rebalances were implemented at the close on Friday.
There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.
Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

<ul>
<li>There is 1 change for the S&amp;P/ASX20 Index, 2 changes for the S&amp;P/ASX100 Index, 4 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/ASX200 INDEX</a> and 14 adds/10 deletes for the S&amp;P/ASX300 Index in March.</li>
<li>The largest impact is expected on the changes 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 (AS51 INDEX)</a> while flows are large among changes to the S&amp;P/ASX 20 Index and S&amp;P/ASX 100 Index too.</li>
<li>There has been a steady increase in cumulative excess volume for most stocks but there are a few where there has been a spike recently.</li>
</ul>


There is 1 change for the S&amp;P/ASX20 Index, 2 changes for the S&amp;P/ASX100 Index, 4 changes for the S&amp;P/ASX200 INDEX and 14 adds/10 deletes for the S&amp;P/ASX300 Index in March.
The largest impact is expected on the changes to the S&amp;P/ASX 200 (AS51 INDEX) while flows are large among changes to the S&amp;P/ASX 20 Index and S&amp;P/ASX 100 Index too.
There has been a steady increase in cumulative excess volume for most stocks but there are a few where there has been a spike recently.


S&P/​​​​ASX Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>If you are still long the <a href="https://www.smartkarma.com/entities/hokuhoku-financial-group-inc" target="_blank" data-smartkarma-citation="entities:19006:1" rel="noopener">Financial Group (8377 JP)</a> from before, stay long.If you sold Hokuhoku from before, be long again, and buy on weakness</li>
<li>Disaster for arb players as AusSuper rewrites the record books as an investor class and shoots down Brookfield's sweetened Offer for <a href="https://www.smartkarma.com/entities/origin-energy-ltd" target="_blank" data-smartkarma-citation="entities:797:1" rel="noopener">Origin Energy (ORG AU)</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/kyocera-corp" target="_blank" data-smartkarma-citation="entities:753:1" rel="noopener">Kyocera (6971 JP)</a> announced Q2 results and lowered its full-year forecast. Then the CEO said it was "reconsidering" what to do with <a href="https://www.smartkarma.com/entities/kddi-corp" target="_blank" data-smartkarma-citation="entities:639:1" rel="noopener">KDDI (9433 JP)</a> shares (after an AGM disaster).</li>
</ul>


If you are still long the Financial Group (8377 JP) from before, stay long.If you sold Hokuhoku from before, be long again, and buy on weakness
Disaster for arb players as AusSuper rewrites the record books as an investor class and shoots down Brookfield's sweetened Offer for Origin Energy (ORG AU).

Kyocera (6971 JP) announced Q2 results and lowered its full-year forecast. Then the CEO said it was "reconsidering" what to do with KDDI (9433 JP) shares (after an AGM disaster).


Last Week in Event SPACE: Hokuhoku, Origin Energy, KDDI, BoJ

Australia

Wildcat Resources Limited operates in Australia.

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Wildcat Resources Ltd (WC8 AU)

S&P/ASX Index Rebalance Preview: Changes Stable as Adds Outperform Deletes Bigly

There could be 39 changes for the S&P/ASX family in March. The forecast adds continue to outperform the forecast deletes in all indices. Huge...

Brian Freitas

S&P/ASX Index Rebalance Preview: Lots of Change; Could Be More with Sigma/CWG Merger

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Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

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 Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning

There are 38 constituent changes across the index family. There are big flows and impacts for a bunch of stocks. Short interest is high on the...

Brian Freitas

Last Week in Event SPACE: Hokuhoku, Origin Energy, KDDI, BoJ

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

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S&P/​​​​​​​​​ASX Index Rebalance Preview: Changes Stable as Adds Outperform Deletes Bigly

There could be 39 changes for the S&P/ASX family in March. The forecast adds continue to outperform the forecast deletes in all indices. Huge...

Brian Freitas

S&P/​​​​​​​​​ASX Index Rebalance Preview: Lots of Change; Could Be More with Sigma/CWG Merger

There could be 36 changes for the ASX indices in March. There is big flow and impact. The Sigma merger with CWG will result in over A$2bn of...

Brian Freitas

Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

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 Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning

There are 38 constituent changes across the index family. There are big flows and impacts for a bunch of stocks. Short interest is high on the...

Brian Freitas

Last Week in Event SPACE: Hokuhoku, Origin Energy, KDDI, BoJ

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

S&P/ASX Index Rebalance Preview: Changes Stable as Adds Outperform Deletes Bigly

S&P/ASX Index Rebalance Preview: Lots of Change; Could Be More with Sigma/CWG Merger

S&P/ASX Index Rebalance (Mar 2024): Changes, Flows, Impact, Shorts & Positioning