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

Event-Driven

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<li>The China equity markets have continued to slide and the lower market caps and free float market caps will see a lot of stocks deleted from passive portfolios in February.</li>
<li>We currently estimate selling of around US$1.66bn across 74 stocks listed on the mainland, in HK and the U.S., and that number could increase as markets continue to underperform.</li>
<li>The potential deletes have dropped a lot over the last 4 months and there has been a marked underperformance versus the headline indices over the last month.</li>
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The China equity markets have continued to slide and the lower market caps and free float market caps will see a lot of stocks deleted from passive portfolios in February.
We currently estimate selling of around US$1.66bn across 74 stocks listed on the mainland, in HK and the U.S., and that number could increase as markets continue to underperform.
The potential deletes have dropped a lot over the last 4 months and there has been a marked underperformance versus the headline indices over the last month.


China: Sliding Market Leads to Passive Selling

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

MSCI Emerging Markets Index / Technical Analysis

<p>China (<strong>MSCI China</strong>) continues to offer many attractive setups and accounts for the vast majority of today’s recommendations. Taiwan (<strong>TAIEX</strong>) continues to be worthy of an overweight within the EM universe, while Brazil (<strong>Bovespa</strong>) and India (<strong>SENSEX</strong>) display improving price and RS trends -</p>

China (MSCI China) continues to offer many attractive setups and accounts for the vast majority of today’s recommendations. Taiwan (TAIEX) continues to be worthy of an overweight within the EM universe, while Brazil (Bovespa) and India (SENSEX) display improving price and RS trends -

US Dollar Weakness Remains A Tailwind For EM

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Equity Capital Markets

KWG Living Group / Equity Capital Markets

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<p>This week in StubWorld ...</p>
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<a href="https://www.smartkarma.com/entities/kwg-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:12601:1" rel="noopener">Kwg Property Holding (1813 HK)</a> is trading rich to peers after the in-specie distribution of soon-to-be-listed <a href="https://www.smartkarma.com/entities/kwg-living-group" target="_blank" data-smartkarma-citation="entities:29231:1" rel="noopener">KWG Living Group (3913 HK)</a>. KWG Living itself will need to hit significant earnings growth targets to justify its implied market valuation.</div>
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<p>Preceding my comments on KWG are the weekly setup/unwind tables for Asia-Pacific Holdcos.</p>
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<p>These relationships trade with a minimum liquidity threshold of US$1mn on a 90-day moving average, and a % market capitalisation threshold - the $ value of the holding/opco held, over the parent’s market capitalisation, expressed as a % - of at least 20%.</p>
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This week in StubWorld ...



Kwg Property Holding (1813 HK) is trading rich to peers after the in-specie distribution of soon-to-be-listed KWG Living Group (3913 HK). KWG Living itself will need to hit significant earnings growth targets to justify its implied market valuation.

Preceding my comments on KWG are the weekly setup/unwind tables for Asia-Pacific Holdcos.



These relationships trade with a minimum liquidity threshold of US$1mn on a 90-day moving average, and a % market capitalisation threshold - the $ value of the holding/opco held, over the parent’s market capitalisation, expressed as a % - of at least 20%.




Kingboard Laminates Holdings / Event-Driven

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<p>This week in StubWorld ...</p>
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<a href="https://www.smartkarma.com/entities/kingboard-laminates-hldg-ltd" target="_blank" data-smartkarma-citation="entities:10276:1" rel="noopener">Kingboard Laminates Holdings (1888 HK)</a>'s announcement of a possible Chi-Next listing sends <a href="https://www.smartkarma.com/entities/kingboard-holdings-ltd" target="_blank" data-smartkarma-citation="entities:8122:1" rel="noopener">Kingboard Holdings (148 HK)</a>'s implied stub to an all-time low.<br><br><a href="https://www.smartkarma.com/entities/8122" target="_blank" data-smartkarma-citation="entities:8122:1" rel="noopener"></a><a href="https://www.smartkarma.com/entities/people-s-insurance-co-grou-h" target="_blank" data-smartkarma-citation="entities:362:1" rel="noopener">People's Insurance Co (PICC) (1339 HK)</a> trading rich - possibly as the A-share premium rallies. </div>
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<p>Preceding my comments on KBC and PICC are the weekly setup/unwind tables for Asia-Pacific Holdcos.</p>
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<div class="content-remarks">
<p>These relationships trade with a minimum liquidity threshold of US$1mn on a 90-day moving average, and a % market capitalisation threshold - the $ value of the holding/opco held, over the parent’s market capitalisation, expressed as a % - of at least 20%.</p>
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This week in StubWorld ...



Kingboard Laminates Holdings (1888 HK)'s announcement of a possible Chi-Next listing sends Kingboard Holdings (148 HK)'s implied stub to an all-time low.  People's Insurance Co (PICC) (1339 HK) trading rich - possibly as the A-share premium rallies. 


Preceding my comments on KBC and PICC are the weekly setup/unwind tables for Asia-Pacific Holdcos.



These relationships trade with a minimum liquidity threshold of US$1mn on a 90-day moving average, and a % market capitalisation threshold - the $ value of the holding/opco held, over the parent’s market capitalisation, expressed as a % - of at least 20%.



StubWorld: Kingboards' All-Time Low Implied Stub; PICC Trading Rich

<p>The MSCI EM index (local currency) remains in an uptrend and is testing all-time highs set in January 2018 near 65,800; as long as the index is above 60,000 we are constructive from a price perspective.  China (<strong>CSI 300, MSCI China</strong>) continues to offer many attractive setups and accounts for the vast majority of today’s recommendations. Taiwan (<strong>TAIEX</strong>) continues to be worthy of an overweight within the EM universe, while South Korea (<strong>KOSPI</strong>) and India (<strong>SENSEX</strong>) display improving price and RS trends -- add exposure.</p>

The MSCI EM index (local currency) remains in an uptrend and is testing all-time highs set in January 2018 near 65,800; as long as the index is above 60,000 we are constructive from a price perspective.  China (CSI 300, MSCI China) continues to offer many attractive setups and accounts for the vast majority of today’s recommendations. Taiwan (TAIEX) continues to be worthy of an overweight within the EM universe, while South Korea (KOSPI) and India (SENSEX) display improving price and RS trends -- add exposure.

Hong Kong

Kingboard Laminates Holdings Limited operates as a vertically-integrated electronic materials manufacturing company. Its laminate products include glass epoxy laminates, paper laminates, and composite epoxy material laminates.

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Kingboard Laminates Holdings (1888 HK)

China: Sliding Market Leads to Passive Selling

A rapidly falling market could be upwards of 74 China stocks being deleted from passive portfolios. These stocks have underperformed the headline...

Brian Freitas

US Dollar Weakness Remains A Tailwind For EM

China accounts for the vast majority of today’s recommendations. Taiwan (TAIEX) continues to be worthy of an overweight within EM, while Brazil...

Vermilion Research

StubWorld: KWG Living - Crowded In Crowd

Kwg Prop (1813 HK) is trading rich to peers after the in-specie distribution of soon-to-be-listed KWG Living (3913 HK). KWGL will need to hit...

David Blennerhassett

StubWorld: Kingboards' All-Time Low Implied Stub; PICC Trading Rich

This weekly stub wrap covers Kingboard Chemical's (148 HK) all-time low implied stub after Kingboard Laminates (1888 HK) announces a possible...

David Blennerhassett

Remain Overweight EM Relative To EAFE

The MSCI EM index (local currency) remains in an uptrend and is testing all-time highs set in January 2018 near 65,800; as long as the index is...

Vermilion Research

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