Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

HK Type 4 license through Ballingal Investment Advisors Ltd. ("BIA" or "BIAL")

BACKGROUND
I have 20+yrs experience in Asia doing alternative strategies (i.e. non-delta1 non long-only) in fixed income, equity derivatives, and activist/catalyst/event-driven and long-short equity strategies with most of that time spent managing money. 

4 years in fixed income macro, 8 years running internal hedge fund and 4yrs investment banking at Citi in Japan, 3 years running an Asia multi-strat portfolio at a hedge fund, 4+yrs as an independent special situations analyst.

Pan-Asia Catalysts/Events

Tesla Into S&P - Rebal Details, and Implications for Vol and Active Portfolio Reconstruction

Tesla Inclusion.  What Will Active US Funds Do?

Quiddity Advisors

Event-Driven

<section class="figure"><p>On 16 November, it was <a href="https://www.spglobal.com/spdji/en/documents/indexnews/announcements/20201116-1258362/1258362_tdec215addconsult.pdf?force_download=true" target="_blank" rel="noopener">announced</a> by S&amp;P Global that <a href="https://www.smartkarma.com/entities/tesla-motors-inc" target="_blank" data-smartkarma-citation="entities:20279:1" rel="noopener">Tesla Motors (TSLA US)</a> would be added to the S&amp;P500 after five consecutive quarters of profit, in a move which was widely expected. </p>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/172/361/original/Screenshot%202020-11-17%20at%209.55.01%20PM.png?1605621421" class="editor-image img-responsive" data-smartkarma-image-id="172361"></figure><p></p></section><p>In an <a href="https://www.spglobal.com/spdji/en/governance/consultations/sp500consultationonimplementationoftslaaddition11-16-20.pdf?force_download=true" target="_blank" rel="noopener">added announcement</a> which was perhaps less expected was that S&amp;P was conducting a market consultation to see whether it should be included one shot, or if the inclusion should be divided into two events (with three different possibilities suggested - 25/75 added 14 and 21 December, 33/67, or 50/50 added on those two dates. </p>
<section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/172/363/original/Screenshot%202020-11-17%20at%209.58.34%20PM.png?1605621557" class="editor-image img-responsive" data-smartkarma-image-id="172363"></figure></section><p>Survey results from the <a href="https://www.spglobal.com/spdji/en/governance/consultations/m44340/" target="_blank" rel="noopener">online consultation</a> are due 20 November, and S&amp;P will let everyone know on 30 November. </p>
<p>I expect most investors will want to split, and I expect that the right way to do this is to do 33/67 though I expect people may try 50/50. </p>
<p>Initial response was that TSLA rocketed higher. +13% in the after hours. </p></section><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/172/357/original/Tesla%20in%20Space.jpg?1605621189" class="editor-image img-responsive" data-smartkarma-image-id="172357"></figure></section><p>The way S&amp;P looks at it, they saw a funding trade of US$51bn based on the fact that on a pro-forma basis, TSLA was going to be a 1.01% weight. </p><p>That number is likely going to flex quite a bit. And while it is a <em>Good Number</em>, based as it is, off the <a href="https://www.spglobal.com/spdji/en/search/?query=2019%20%20annual%20survey" target="_blank" rel="noopener">2019 Annual Survey of Index Assets</a>, subsequently marked to market to 13 November 2020. </p><p>In that survey, they found that there were US$816bn of Exchange Traded Products (ETFs and ETNs) and US$3.77trln of non-ETP (mutual funds, institutional funds, separate managed accounts, and insurance products). That was US$4.59trln at the time which on a year-to-date performance basis gets you to $5.05trln as of 13 November.</p><p>As I said, it is a <em>Good Number</em>. </p><p>But taking that number for granted is problematic. In one day TSLA's pro-forma weight has become 1.14% which means that the funding trade is US$58.75bn. </p><p>More discussion below. </p>

On 16 November, it was announced by S&amp;P Global that Tesla Motors (TSLA US) would be added to the S&amp;P500 after five consecutive quarters of profit, in a move which was widely expected. 
In an added announcement which was perhaps less expected was that S&amp;P was conducting a market consultation to see whether it should be included one shot, or if the inclusion should be divided into two events (with three different possibilities suggested - 25/75 added 14 and 21 December, 33/67, or 50/50 added on those two dates. 
Survey results from the online consultation are due 20 November, and S&amp;P will let everyone know on 30 November. 
I expect most investors will want to split, and I expect that the right way to do this is to do 33/67 though I expect people may try 50/50. 
Initial response was that TSLA rocketed higher. +13% in the after hours. The way S&amp;P looks at it, they saw a funding trade of US$51bn based on the fact that on a pro-forma basis, TSLA was going to be a 1.01% weight. That number is likely going to flex quite a bit. And while it is a Good Number, based as it is, off the 2019 Annual Survey of Index Assets, subsequently marked to market to 13 November 2020. In that survey, they found that there were US$816bn of Exchange Traded Products (ETFs and ETNs) and US$3.77trln of non-ETP (mutual funds, institutional funds, separate managed accounts, and insurance products). That was US$4.59trln at the time which on a year-to-date performance basis gets you to $5.05trln as of 13 November.As I said, it is a Good Number. But taking that number for granted is problematic. In one day TSLA's pro-forma weight has become 1.14% which means that the funding trade is US$58.75bn. More discussion below. 

Tesla

The Great Tesla Ascension