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>
<a href="https://www.smartkarma.com/entities/mineral-resources-ltd" target="_blank" data-smartkarma-citation="entities:15103:1" rel="noopener">Mineral Resources (MIN AU)</a> and <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> will be deleted from 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> after the close on 20 June.</li>
<li>The two deletions, capping and float changes result in a one-way turnover of 5.03% at the rebalance. That leads to a round-trip trade of A$294m.</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 also a deletion from the S&amp;P/ASX 50 Index at the same time and there will be more passive selling from those trackers.</li>
</ul>



Mineral Resources (MIN AU) and Pilbara Minerals (PLS AU) will be deleted from the VanEck Vectors Australian Equal Weight ETF (MVW AU) after the close on 20 June.
The two deletions, capping and float changes result in a one-way turnover of 5.03% at the rebalance. That leads to a round-trip trade of A$294m.

Pilbara Minerals (PLS AU) is also a deletion from the S&amp;P/ASX 50 Index at the same time and there will be more passive selling from those trackers.


MV Australia Equal Weight Index Rebalance: MinRes, Pilbara Deleted as Trade Nears A$300m

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of May 30th (reported today). The aggregated short interest was USD27.2bn.</li>
<li>We tabulate league tables 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 Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman, Wisetech Global, Rio Tinto, Treasury Wine Estates, Gpt, National Australia Bank.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of May 30th (reported today). The aggregated short interest was USD27.2bn.
We tabulate league tables 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 Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman, Wisetech Global, Rio Tinto, Treasury Wine Estates, Gpt, National Australia Bank.


ASX Short Interest Weekly (May 30th): Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman

<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

<ul>
<li>
<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> and <a href="https://www.smartkarma.com/entities/technology-one-ltd" target="_blank" data-smartkarma-citation="entities:1070:1" rel="noopener">Technology One (TNE AU)</a> will be added to 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> at the close on 21 March.</li>
<li>Surprisingly, there are no deletions from the index. The two inclusions, float changes and capping changes result in a one-way turnover of 5.6% leading to a round-trip trade of A$288m.</li>
<li>There will be huge buying of A$1.2bn 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> at the same time from <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> and related index trackers.</li>
</ul>



Sigma Healthcare (SIG AU) and Technology One (TNE AU) will be added to the VanEck Vectors Australian Equal Weight ETF (MVW AU) at the close on 21 March.
Surprisingly, there are no deletions from the index. The two inclusions, float changes and capping changes result in a one-way turnover of 5.6% leading to a round-trip trade of A$288m.
There will be huge buying of A$1.2bn in Sigma Healthcare (SIG AU) at the same time from S&amp;P/ASX 200 (AS51 INDEX) and related index trackers.


MV Australia Equal Weight Index Rebalance: SIG, TNE Added; US$288m Trade

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Dec 13th (reported today) which has an aggregated short interest worth USD21.8bn.</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 Pilbara Minerals, Xero, Apa, Coles, Wisetech Global.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Dec 13th (reported today) which has an aggregated short interest worth USD21.8bn.
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 Pilbara Minerals, Xero, Apa, Coles, Wisetech Global.


ASX Short Interest Weekly (Dec 13th): Pilbara Minerals, Xero, Apa, Coles, Wisetech Global

Australia

WiseTech Global Pty Ltd provides various technology and information technology management solutions. The Company offers cloud based various technology platforms, market specific software and logistics technology solutions, such as edienterprise, a platform supply chain logistics management system, software-as-a-service, and clinical management software. 

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Wisetech Global (WTC AU)

MV Australia Equal Weight Index Rebalance: MinRes, Pilbara Deleted as Trade Nears A$300m

MinRes and Pilbara Minerals will be deleted on 20 June. Turnover is estimated at 5.03% and the round-trip trade is A$294m. Short interest is high...

Brian Freitas

ASX Short Interest Weekly (May 30th): Sigma Pharmaceuticals, Evolution Mining, Westpac, Goodman

We analyzed ASX short interest report for the past week and highlight short interest changes in Sigma Pharmaceuticals (SIG AU), Evolution Mining...

Ke Yan, CFA, FRM

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

MV Australia Equal Weight Index Rebalance: SIG, TNE Added; US$288m Trade

Sigma Healthcare and TechnologyOne have been added to the MVMVW index. Surprisingly, no deletions. Round-trip trade is US$288m. There are big...

Brian Freitas

ASX Short Interest Weekly (Dec 13th): Pilbara Minerals, Xero, Apa, Coles, Wisetech Global

We analyzed ASX short interest report for the past week and highlight short interest changes in Pilbara Minerals, Xero, Apa, Coles, Wisetech Global.

Ke Yan, CFA, FRM

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