Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

MVIS Australia A-REITs Index Rebalance: ASKing for a Reversal

MVIS Australia A-REITs Index Rebalance Preview: ASK Looks Like a Delete

MVIS Australia A-REITs Index Rebalance Preview: One Deletion & Capping Changes

MVIS Australia A-REITs Index Rebalance Preview: Abacus Group Could Be Deleted

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

MVIS Australia A-REITs Index Rebalance Preview: One Delete, One Close Delete & Capping

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

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>As expected, <a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> will be deleted from the MVIS Australia A-REIT Index at the close on 15 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/abacus-group" target="_blank" data-smartkarma-citation="entities:10566:1" rel="noopener">Abacus Group (ABG AU)</a> will also be deleted from 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> on the same day, so this increases the sell flow on the stock.</li>
<li>Estimated one-way turnover at the rebalance is 3.8% resulting in a one-way trade of A$23.8m. There are a few stocks with over 1x ADV to trade from passive trackers.</li>
</ul>


As expected, Abacus Group (ABG AU) will be deleted from the MVIS Australia A-REIT Index at the close on 15 September.

Abacus Group (ABG AU) will also be deleted from the S&amp;P/ASX 200 (AS51 INDEX) on the same day, so this increases the sell flow on the stock.
Estimated one-way turnover at the rebalance is 3.8% resulting in a one-way trade of A$23.8m. There are a few stocks with over 1x ADV to trade from passive trackers.


MVIS Australia A-REITs Index Rebalance: Abacus Group Deletion Means More Outflow