BHRB - Stocks facing most buy and sell pressure into Russell rebalancing

May, 26 2023 09:18 AM Burke & Herbert Bank & Trust Co.

2023-05-26 09:18:10 ET

FTSE Russell will rebalance its indexes at the end of June and, as usual, a great deal of buying and selling will come from mutual funds and ETFs to track those changes.

The preliminary list of changes came out last week, using April 28 for a cutoff date for market cap and variables. Final rebalancing takes place on June 23.

"Based on April 28 cutoffs, the top end of the new Russell 2000 ( RTY ) ( IWM ) was $5.94B with the lower band at $141M," Jefferies equity strategist Steven G. DeSanctis wrote in a note. "Mid caps ( IWR ) come very close to $47B, while it shares the smallest name in the R1 ( IWB ) at $2.4B. As for the R25 ( SMMD ), the new top end was $15.6B."

"One of the most noteworthy change is that META ( META ) has become 100% Growth and will weigh in at 2.7% of the new R1G ( IWF )," DeSanctis said. "This helps increase the Comm Services weight by 3.4%. To make room for the bump in Comm Services, we see Ind'ls lose 1.7%, Staples -1.0%. We also see Discretionary get a boost of 1.3%."

"As for the R1V ( IWD ), Comm Serv loses 3.7%, while Industrials gains 2%, Staples 1.0%, and Tech 0.9% thanks to the bump of 1% in Semis," he said. "As per the norm, not much happens across the R1 ( IWB )."

Taking into account the rebalancing, Jefferies screened for the top 10 stocks with buying/selling pressure from passive funds.

"We take a conservative approach in estimating the passive assets, as we look at what Russell believes is passively managed for each benchmark," DeSanctis said. "We use the passively managed assets from Russell as of June 30, 2022, and take the appreciation/depreciation of each index to get a more updated figure. We do not assume any inflows or outflows to each of the benchmarks."

The stocks were chosen for pressure by dollars and (taking into account trading volume in the last 10 day) by days to trade, or DTT.

DTT "measures how many days it will take to acquire or divest of a position of an assumed size given recent trading levels," The Journal of Indexes says. "If 10 percent of a company’s total shares turn over in a month and indexers as a group will acquire 10 percent of the stock, it would take a month if they account for all the trading that month."

Buying pressure by dollars:

Ferguson ( NYSE: FERG ), net $ flow $1.31B, shares to trade 8.8M, days to trade 6.9
Alphabet ( GOOG ), $1.2B, 9.7M, 0.3
Tesla ( TSLA ), $1.07B, 5.9M, 0
Coupang ( CPNG ), $940M, 57.5M, 5.7
ICON ( ICLR ), $759M, 3.6M, 4.1
Nu Holdings ( NU ), $743M, 113.9M, 2.6
PagSeguro Digital ( PAGS ), $602M, 48.8M, 8
CNH Industrial ( CNHI ), $578M, 41.3M, 6.3
Amazon.com ( AMZN ), $569M, 4.9M, 0.1
Meta Platforms ( META ), $513M, 2.1M, 0.1

Buying pressure by days to trade

Waldencast ( NASDAQ: WALD ), $27.6M, 3.1M, 802.6
Burke & Herbert ( BHRB ), $74.2M, 1M, 543.3
Grindr ( GRND ), $150.4M, 25.3M, 336.5
LiveWire ( LVWR ), $11.6M, 336.5
Verde Clean Fuels ( VGAS ), $5.3M, 1.1M, 231.8
Mondee Holdings ( MOND ), $66.9M, 6.8M, 198.1
Fidelity D&D ( FDBC ), $28.2M, 0.7M, 121.9
Super Group ( SGHC ), $75.1M, 20.5M, 116.8
Maiden Holdings ( MHLD ), $29.1M, 13.9M, 114.9
ChoiceOne Financial ( COFS ), $22.4M, 1.1M, 109

Selling pressure by dollars

Synopsys ( NASDAQ: SNPS ), -$1.1B, -2.7M, -2.7
Chevron ( CVX ), -$1.09B, -7M, -1
Cadence Design ( CDNS ), -$1.07B, -4.9M, -2.9
Chipotle ( CMG ), -$1.03B, -$1.03B, -0.5M, -1.8
AutoZone ( AZN ), -$896.7M, -0.3M, -2.8
Shockwave Medical ( SWAV ), -$894.2M, -3.3M, -3.8
O'Reilly Automotive ( ORLY ), -$842.4M, -0.9M, -2.1
Inspire Medical ( INSP ), -$811.1M, -2.6M, -6.6
EMCOR ( EME ), -$775M, -4.7M, -15.9
Fortinet ( FTNT ), -$772M, -11.1M, -2.1

Selling pressure by days to trade

Focus Universal ( NASDAQ: FCUV ), -$7.3M, -3.9M, -76.4
Tenon Medical ( TNON ), -$2M, -1.1, -59.1
Enochian Biosciences ( ENOB ), -$3.1M, -3.1M, -57.9
Local Bounti ( LOCL ), -$4.4M, -9.6M, -55.4
Fathom Digital ( FATH ), -$2.3M, -4.5M, -52.8
First Guaranty ( FGBI ), -$12M, -0.9M, -52.3
Sarcos Technology ( STRC ), -$6.3M, -16.2M, -49.4
Lulu's Fashion Lounge ( LVLU ), -$6.8M, -2.5M, -46.7
AdTheorent ( ADTH ), -$7.8M, -5.4M, -45.9
AN2 Therapeutics ( ANTX ), -$10.8M, -1.7M, -42.9

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Stocks facing most buy and sell pressure into Russell rebalancing

Company Name:	Burke & Herbert Bank & Trust Co.
Stock Symbol:	BHRB
Market:	OTC
Website:	burke.com

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