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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

The Hang Seng Indexes Company Limited (HSIL) announced the results of its review of the Hang Seng Family of Indexes post market close on 13 November. The constituent changes will be effective after the close of trading on 4 December.For the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a>, there are 3 inclusions and 1 deletion, taking the number of index constituents up to 52.The inclusions are <a href="https://www.smartkarma.com/entities/budweiser-brewing-co-apac-ltd" target="_blank" data-smartkarma-citation="entities:28077:1" rel="noopener">Budweiser Brewing Company APAC (1876 HK)</a>, <a href="https://www.smartkarma.com/entities/anta-sports-products-ltd" target="_blank" data-smartkarma-citation="entities:10261:1" rel="noopener">Anta Sports Products (2020 HK)</a> and <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a>, while the sole deletion is <a href="https://www.smartkarma.com/entities/swire-pacific-ltd-cl-a" target="_blank" data-smartkarma-citation="entities:10433:1" rel="noopener">Swire Pacific (A) (19 HK)</a>. One-way turnover is estimated at 7.38%. That is very high and will result in big turnover at the closing auction on 4 December. We estimate 5 days of ADV to sell on <a href="https://www.smartkarma.com/entities/swire-pacific-ltd-cl-a" target="_blank" data-smartkarma-citation="entities:10433:1" rel="noopener">Swire Pacific (A) (19 HK)</a> from passive funds, while <a href="https://www.smartkarma.com/entities/budweiser-brewing-co-apac-ltd" target="_blank" data-smartkarma-citation="entities:28077:1" rel="noopener">Budweiser Brewing Company APAC (1876 HK)</a> and <a href="https://www.smartkarma.com/entities/anta-sports-products-ltd" target="_blank" data-smartkarma-citation="entities:10261:1" rel="noopener">Anta Sports Products (2020 HK)</a> have over 4 days and 3 days of ADV to buy respectively. The impact of passive buying on <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> is lower at 1.6 days of ADV.Following HSIL's announcement at the previous index review, we had expected there would be more additions than deletions in this review. All the 3 stocks added to the index were our highest probability inclusion candidates - the 'surprise' for the market would have to be <a href="https://www.smartkarma.com/entities/anta-sports-products-ltd" target="_blank" data-smartkarma-citation="entities:10261:1" rel="noopener">Anta Sports Products (2020 HK)</a> followed by <a href="https://www.smartkarma.com/entities/budweiser-brewing-co-apac-ltd" target="_blank" data-smartkarma-citation="entities:28077:1" rel="noopener">Budweiser Brewing Company APAC (1876 HK)</a>. <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> was probably on everyone's list for inclusion.We had picked <a href="https://www.smartkarma.com/entities/swire-pacific-ltd-cl-a" target="_blank" data-smartkarma-citation="entities:10433:1" rel="noopener">Swire Pacific (A) (19 HK)</a> as the most likely deletion candidate, though we did not think that HSIL would actually delete the stock since it derives most of its revenue from Hong Kong and helps reduce the overlap with the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a>.HSIL announced that they had submitted a study on the composition of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a> to the Advisory Committee and plan to conduct a market consultation this year with the conclusions announced in February 2021. The implementation of the changes will most likely commence at the March 2021/ June 2021 index review.

The Hang Seng Indexes Company Limited (HSIL) announced the results of its review of the Hang Seng Family of Indexes post market close on 13 November. The constituent changes will be effective after the close of trading on 4 December.For the Hong Kong Hang Seng Index (HSI INDEX), there are 3 inclusions and 1 deletion, taking the number of index constituents up to 52.The inclusions are Budweiser Brewing Company APAC (1876 HK), Anta Sports Products (2020 HK) and Meituan (3690 HK), while the sole deletion is Swire Pacific (A) (19 HK). One-way turnover is estimated at 7.38%. That is very high and will result in big turnover at the closing auction on 4 December. We estimate 5 days of ADV to sell on Swire Pacific (A) (19 HK) from passive funds, while Budweiser Brewing Company APAC (1876 HK) and Anta Sports Products (2020 HK) have over 4 days and 3 days of ADV to buy respectively. The impact of passive buying on Meituan (3690 HK) is lower at 1.6 days of ADV.Following HSIL's announcement at the previous index review, we had expected there would be more additions than deletions in this review. All the 3 stocks added to the index were our highest probability inclusion candidates - the 'surprise' for the market would have to be Anta Sports Products (2020 HK) followed by Budweiser Brewing Company APAC (1876 HK). Meituan (3690 HK) was probably on everyone's list for inclusion.We had picked Swire Pacific (A) (19 HK) as the most likely deletion candidate, though we did not think that HSIL would actually delete the stock since it derives most of its revenue from Hong Kong and helps reduce the overlap with the Hang Seng China Enterprises Index (HSCEI INDEX).HSIL announced that they had submitted a study on the composition of the Hong Kong Hang Seng Index (HSI INDEX) to the Advisory Committee and plan to conduct a market consultation this year with the conclusions announced in February 2021. The implementation of the changes will most likely commence at the March 2021/ June 2021 index review. 

Hang Seng Index Rebalance: Three Adds, One Delete, High Turnover, and More Changes to Come

The Hang Seng Indexes Company Limited (HSIL) should announce the results of the 2020 Q3 review of the Hang Seng Family of Indexes on 6 November. The constituent changes will be effective after the close of trading on 4 December.
Following the announcement made in August, we feel there is a high probability that the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a> December review will only have inclusions, taking the number of constituents above 50. All current index constituents pass the turnover requirements, so there is no need to delete any of the names.
Based on market value, turnover, sector skew vs the HSCI and company financial performance, our top 5 picks for inclusion in the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a> at the December review are <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan Dianping (3690 HK)</a>, <a href="https://www.smartkarma.com/entities/budweiser-brewing-co-apac-ltd" target="_blank" data-smartkarma-citation="entities:28077:1" rel="noopener">Budweiser Brewing Company APAC (1876 HK)</a>, <a href="https://www.smartkarma.com/entities/anta-sports-products-ltd" target="_blank" data-smartkarma-citation="entities:10261:1" rel="noopener">Anta Sports Products (2020 HK)</a>, <a href="https://www.smartkarma.com/entities/china-resources-beer-holdings" target="_blank" data-smartkarma-citation="entities:399:1" rel="noopener">China Resources Beer Holdings (291 HK)</a> and <a href="https://www.smartkarma.com/entities/longfor-properties" target="_blank" data-smartkarma-citation="entities:8149:1" rel="noopener">Longfor Properties (960 HK)</a>.
With the Index Committee having a fair amount of discretion in choosing stocks for index inclusion and exclusion, they could choose to go further down the list to add diversity to the index and differentiate it from the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> but this would reduce index liquidity affecting the trading of derivative products on the index.
One-way turnover with all 5 inclusions is just north of 8% and the funding trade will see substantial selling on the current index constituents, exceeding over 1 day of ADV in quite a few cases. HSIL could add a fewer number of stocks to control turnover and keep it at a more manageable level.

The Hang Seng Indexes Company Limited (HSIL) should announce the results of the 2020 Q3 review of the Hang Seng Family of Indexes on 6 November. The constituent changes will be effective after the close of trading on 4 December.
Following the announcement made in August, we feel there is a high probability that the Hong Kong Hang Seng Index (HSI INDEX) December review will only have inclusions, taking the number of constituents above 50. All current index constituents pass the turnover requirements, so there is no need to delete any of the names.
Based on market value, turnover, sector skew vs the HSCI and company financial performance, our top 5 picks for inclusion in the Hong Kong Hang Seng Index (HSI INDEX) at the December review are Meituan Dianping (3690 HK), Budweiser Brewing Company APAC (1876 HK), Anta Sports Products (2020 HK), China Resources Beer Holdings (291 HK) and Longfor Properties (960 HK).
With the Index Committee having a fair amount of discretion in choosing stocks for index inclusion and exclusion, they could choose to go further down the list to add diversity to the index and differentiate it from the Hang Seng China Enterprises Index (HSCEI INDEX) but this would reduce index liquidity affecting the trading of derivative products on the index.
One-way turnover with all 5 inclusions is just north of 8% and the funding trade will see substantial selling on the current index constituents, exceeding over 1 day of ADV in quite a few cases. HSIL could add a fewer number of stocks to control turnover and keep it at a more manageable level.

Hang Seng Index Rebalance Preview: December 2020 - Do We Go Above 50?

HK/China Equity Long-Short

Osbert Tang, CFA

Quantitative Analysis

Based on a "Buy the Worst" strategy, we can achieve a 39pp outperformance against the HSI over the last three years. Instead, using a "Buy the Best" strategy, we will underperform the HSI by 23pp. This Insight aims to explain a simple and easy strategy to achieve such impressive performance by looking at the share price performance of HSI constituent stocks in the last three years.We admit that the data that we looked at are relatively short - 3 years - and their predictability is yet to tell. However, the pattern that we discovered is interesting and can serve as a reference for investors exploring strategies to beat the market. As of 20 Dec 2019, the five worst performing HSI stocks are: <a href="https://www.smartkarma.com/entities/petrochina-co-ltd-h" target="_blank" data-smartkarma-citation="entities:262:1" rel="noopener">Petrochina Co Ltd H (857 HK)</a>, <a href="https://www.smartkarma.com/entities/china-petroleum-chemical-corp" target="_blank" data-smartkarma-citation="entities:369:1" rel="noopener">China Petroleum &amp; Chemical (386 HK)</a>, <a href="https://www.smartkarma.com/entities/citic-ltd" target="_blank" data-smartkarma-citation="entities:20590:1" rel="noopener">Citic Ltd (267 HK)</a>, <a href="https://www.smartkarma.com/entities/sino-land-co" target="_blank" data-smartkarma-citation="entities:17323:1" rel="noopener">Sino Land Co (83 HK)</a> and <a href="https://www.smartkarma.com/entities/china-mobile-ltd" target="_blank" data-smartkarma-citation="entities:27:1" rel="noopener">China Mobile (941 HK)</a>. They are the potential outperformers in 2020, if history repeats itself. We will get back on 31 Dec 2019 to update the final list of winners and losers for the year.

Based on a "Buy the Worst" strategy, we can achieve a 39pp outperformance against the HSI over the last three years. Instead, using a "Buy the Best" strategy, we will underperform the HSI by 23pp. This Insight aims to explain a simple and easy strategy to achieve such impressive performance by looking at the share price performance of HSI constituent stocks in the last three years.We admit that the data that we looked at are relatively short - 3 years - and their predictability is yet to tell. However, the pattern that we discovered is interesting and can serve as a reference for investors exploring strategies to beat the market. As of 20 Dec 2019, the five worst performing HSI stocks are: Petrochina Co Ltd H (857 HK), China Petroleum &amp; Chemical (386 HK), Citic Ltd (267 HK), Sino Land Co (83 HK) and China Mobile (941 HK). They are the potential outperformers in 2020, if history repeats itself. We will get back on 31 Dec 2019 to update the final list of winners and losers for the year.

"Buy the Worst" - A Simple Strategy to Beat the Hang Seng Index in 2020 and the Years to Come?

Macro & Asian equity Technical Strategies, BBSP Asia

Federico D'Inca

Macro & Asian equity Technical Strategies

BBSP Asia

Technical Analysis

THE MAIN IDEA (Relative Value Approach in USD Terms) Long Term Allocation (Strategic view) Relative Value vs MXAP in USD terms ⦁ NIKKEI/MXAP: Long term out performance in progress. ⦁ HSI/MXAP: Long term out performance in progress/still expected. ⦁ HSCEI/MXAP: Bullish weekly indicators advocate for long term HSCEI out performance against MXAP. ⦁ ASX/MXAP: ASX out performance challenged but not invalidated (testing key support at 26.00/25.50). ⦁ KOSPI/MXAP: Long term out performance still expected. ⦁ Nifty/MXAP: Mixed elements. Neutral for now. ⦁ TWSE/MXAP: Neutral at the moment, watching closely key level at (2.22 on ratio TWSE/MXAP) to surpass to confirm TWSE long-term out performance vs MXAP Mid Term Country Allocation (Tactical view) Relative Value vs MXAP in USD terms ⦁ Downgrade Australia and Korea tactically from "Increase Exposure" to "Hold" due to mixed elements. ⦁ Ratings unchanged for the rest: Japan, Hong Kong (HSI) maintain their "Increase Exposure" ratings while still a "Hold" rating for Taiwan, India and China (HSCEI). ⦁ On the RV HSCEI/MXAP, still monitoring 8.50 level to break to confirm China (HSCEI) out performance.Should you have any questions and wish to speak with one of our analysts, please don’t hesitate to contact us. Equity Asia: + (65) 6735 3040 or <a href="mailto:asia@bbsp.sg" target="_blank">asia@bbsp.sg</a> Access to this document is restricted to the use of the intended recipient designated by BBSP and may not be shared with others. Any unauthorised use, dissemination, distribution or copying of this document, in whole or in part, is strictly prohibited. This document is provided solely for information purposes. Under no circumstances is the information contained or referred to herein to be relied upon as constituting personal investment advice or construed as any offer or solicitation to buy or sell investments. While all reasonable effort has been made to ensure that the information contained herein is not untrue or misleading at the time of publication, no representation is made as to its accuracy or completeness and it should not be relied upon as such. BBSP does not undertake any obligation to update such information. All content, data, statements and other information are not warranted as to completeness or accuracy, are subject to change without notice, and should never prevent investors from using their own judgments. Investors are fully responsible for any investment or trading decisions they make.

THE MAIN IDEA (Relative Value Approach in USD Terms) Long Term Allocation (Strategic view) Relative Value vs MXAP in USD terms ⦁ NIKKEI/MXAP: Long term out performance in progress. ⦁ HSI/MXAP: Long term out performance in progress/still expected. ⦁ HSCEI/MXAP: Bullish weekly indicators advocate for long term HSCEI out performance against MXAP. ⦁ ASX/MXAP: ASX out performance challenged but not invalidated (testing key support at 26.00/25.50). ⦁ KOSPI/MXAP: Long term out performance still expected. ⦁ Nifty/MXAP: Mixed elements. Neutral for now. ⦁ TWSE/MXAP: Neutral at the moment, watching closely key level at (2.22 on ratio TWSE/MXAP) to surpass to confirm TWSE long-term out performance vs MXAP Mid Term Country Allocation (Tactical view) Relative Value vs MXAP in USD terms ⦁ Downgrade Australia and Korea tactically from "Increase Exposure" to "Hold" due to mixed elements. ⦁ Ratings unchanged for the rest: Japan, Hong Kong (HSI) maintain their "Increase Exposure" ratings while still a "Hold" rating for Taiwan, India and China (HSCEI). ⦁ On the RV HSCEI/MXAP, still monitoring 8.50 level to break to confirm China (HSCEI) out performance.Should you have any questions and wish to speak with one of our analysts, please don’t hesitate to contact us. Equity Asia: + (65) 6735 3040 or asia@bbsp.sg Access to this document is restricted to the use of the intended recipient designated by BBSP and may not be shared with others. Any unauthorised use, dissemination, distribution or copying of this document, in whole or in part, is strictly prohibited. This document is provided solely for information purposes. Under no circumstances is the information contained or referred to herein to be relied upon as constituting personal investment advice or construed as any offer or solicitation to buy or sell investments. While all reasonable effort has been made to ensure that the information contained herein is not untrue or misleading at the time of publication, no representation is made as to its accuracy or completeness and it should not be relied upon as such. BBSP does not undertake any obligation to update such information. All content, data, statements and other information are not warranted as to completeness or accuracy, are subject to change without notice, and should never prevent investors from using their own judgments. Investors are fully responsible for any investment or trading decisions they make.

THE MAIN IDEA (Relative Value Approach in USD Terms) Long Term Allocation (Strategic view) Relative Value vs MXAP in USD terms ⦁ NIKKEI/MXAP: Long term outperformance in progress. ⦁ HSI/MXAP: Long term outperformance in progress/still expected. ⦁ HSCEI/MXAP: Bullish weekly indicators advocate for long term HSCEI outperformance against MXAP. ⦁ ASX/MXAP: ASX outperformance challenged but notinvalidated (testing key support at 26.00/25.50). ⦁ KOSPI/MXAP: Long term outperformance still expected. ⦁ Nifty/MXAP: Mixed elements. Neutral for now. ⦁ TWSE/MXAP: Neutral at the moment, watching closely key level at (2.22 on ratio TWSE/MXAP) to surpass to confirm TWSE long-term outperformance vs MXAPMid Term Country Allocation (Tactical view) Relative Value vs MXAP in USD terms ⦁ Upgrade India to “Increase Exposure” as NIFTY/MXAP bounce reaction above support now expected. ⦁ Ratings remain the same for the rest: "Increase Exposure" for Australia, Korea, Hong Kong (HSI) and Japan. And still a "Hold" rating for China (HSCEI, under radar for a potential outperformance only through 8.50 on the RV) and Taiwan.

THE MAIN IDEA (Relative Value Approach in USD Terms) Long Term Allocation (Strategic view) Relative Value vs MXAP in USD terms ⦁ NIKKEI/MXAP: Long term outperformance in progress. ⦁ HSI/MXAP: Long term outperformance in progress/still expected. ⦁ HSCEI/MXAP: Bullish weekly indicators advocate for long term HSCEI outperformance against MXAP. ⦁ ASX/MXAP: ASX outperformance challenged but notinvalidated (testing key support at 26.00/25.50). ⦁ KOSPI/MXAP: Long term outperformance still expected. ⦁ Nifty/MXAP: Mixed elements. Neutral for now. ⦁ TWSE/MXAP: Neutral at the moment, watching closely key level at (2.22 on ratio TWSE/MXAP) to surpass to confirm TWSE long-term outperformance vs MXAPMid Term Country Allocation (Tactical view) Relative Value vs MXAP in USD terms ⦁ Upgrade India to “Increase Exposure” as NIFTY/MXAP bounce reaction above support now expected. ⦁ Ratings remain the same for the rest: "Increase Exposure" for Australia, Korea, Hong Kong (HSI) and Japan. And still a "Hold" rating for China (HSCEI, under radar for a potential outperformance only through 8.50 on the RV) and Taiwan.

BBSP ASIA Equity Asia Weekly Research - 19 Sep 2018

Hong Kong

CITIC Limited operates in a range of business activities including financial services, resources and energy, manufacturing, real estate and infrastructure, engineering contracting and other businesses in China and overseas.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Citic Ltd (267 HK)

Hang Seng Index Rebalance: Three Adds, One Delete, High Turnover, and More Changes to Come

There are 3 adds and 1 delete to the HSI in the Dec20 index review with a one-way turnover of 7.68%. The upcoming market consultation means there...

Brian Freitas

Hang Seng Index Rebalance Preview: December 2020 - Do We Go Above 50?

The Hang Seng Indexes Company Limited (HSIL) should announce the results of the 2020 Q3 review of the Hang Seng Family of Indexes on 6 November....

Brian Freitas

"Buy the Worst" - A Simple Strategy to Beat the Hang Seng Index in 2020 and the Years to Come?

Based on a "Buy the Worst" strategy, we can achieve a 39pp outperformance against the HSI over the last three years. Instead, using a "Buy the...

Osbert Tang, CFA

Equity Asia Weekly Research - 3 Oct 2018

THE MAIN IDEA(Relative Value Approach in USD Terms)Long Term Allocation (Strategic view) Relative Value vs MXAP in USD terms⦁ NIKKEI/MXAP: Long...

BBSP Asia

BBSP ASIA Equity Asia Weekly Research - 19 Sep 2018

THE MAIN IDEA(Relative Value Approach in USD Terms)Long Term Allocation (Strategic view) Relative Value vs MXAP in USD terms⦁ NIKKEI/MXAP: Long...

BBSP Asia

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)