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

Index Rebalance

<ul>
<li>There could be one change for the CNI Semiconductor Chips Index with <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor (688249 CH)</a> replacing <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai (688099 CH)</a> in June.</li>
<li>Passive trackers are estimated to buy 1.4x ADV in <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor</a> and sell 0.8x ADV in <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai</a>. There will be buying in <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC)</a> due to capping.</li>
<li>The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Nexchip Semiconductor (688249 CH) replacing Amlogic Shanghai (688099 CH) in June.
Passive trackers are estimated to buy 1.4x ADV in Nexchip Semiconductor and sell 0.8x ADV in Amlogic Shanghai. There will be buying in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.


CNI Semiconductor Chips Index Rebalance Preview: One Change in June

<ul>
<li>There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 June.</li>
<li>Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.4x ADV in the stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/bestechnic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:33459:1" rel="noopener">Bestechnic Shanghai (688608 CH)</a> and <a href="https://www.smartkarma.com/entities/suzhou-kematek-inc" target="_blank" data-smartkarma-citation="entities:44255:1" rel="noopener">Suzhou Kematek (301611 CH)</a> will also have net inflows from passive trackers of other indices at the same time, adding to the flow.</li>
</ul>


There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 June.
Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.4x ADV in the stocks.

Bestechnic Shanghai (688608 CH) and Suzhou Kematek (301611 CH) will also have net inflows from passive trackers of other indices at the same time, adding to the flow.


CES China Semiconductor Chips Index Rebalance Preview: Multiple Adds for Some Stocks Increase Flow

Shenzhen Bluetrum Technology / Index Rebalance

<ul>
<li>CSI announced the changes for the March rebalance after market close on 28 February and the changes will be effective after the close of trading on 14 March.</li>
<li>As expected, <a href="https://www.smartkarma.com/entities/shenzhen-bluetrum-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:44281:1" rel="noopener">Shenzhen Bluetrum Technology (688332 CH)</a> will be added to the index while JoulWatt Technology Co (688141 CH) will be deleted.</li>
<li>
<a href="https://www.smartkarma.com/entities/shenzhen-bluetrum-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:44281:1" rel="noopener">Shenzhen Bluetrum Technology (688332 CH)</a> outperformed JoulWatt Technology Co (688141 CH) in the last quarter of 2024 and there has been a reversal of fortunes this calendar year.</li>
</ul>


CSI announced the changes for the March rebalance after market close on 28 February and the changes will be effective after the close of trading on 14 March.
As expected, Shenzhen Bluetrum Technology (688332 CH) will be added to the index while JoulWatt Technology Co (688141 CH) will be deleted.

Shenzhen Bluetrum Technology (688332 CH) outperformed JoulWatt Technology Co (688141 CH) in the last quarter of 2024 and there has been a reversal of fortunes this calendar year.


STAR Chip Index Rebalance: Shenzhen Bluetrum (688332) Replaces JoulWatt (688141)

Espressif Systems Shanghai  / Index Rebalance

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.</li>
<li>On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index and we estimate passive buying of 0.3-0.65x ADV in the adds and selling of between 0.4-0.6x ADV in the deletes.
On average, the adds to the index have outperformed the deletes over the last 5 weeks with the adds moving higher and the deletes trending lows.


STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

Event-Driven

<ul>
<li>The December review will use closing prices from 18 November to determine the list of stocks that will be included into and excluded from the ETFs.</li>
<li>As of the close on 15 November, we see <a href="https://www.smartkarma.com/entities/naura-technology-group-co-ltd" target="_blank" data-smartkarma-citation="entities:2333:1" rel="noopener">NAURA Technology Group (002371 CH)</a> replacing <a href="https://www.smartkarma.com/entities/huaneng-lancang-river-hydropow" target="_blank" data-smartkarma-citation="entities:26585:1" rel="noopener">Huaneng Lancang River Hydropow (600025 CH)</a> in the ETFs.</li>
<li>
<a href="https://www.smartkarma.com/entities/naura-technology-group-co-ltd" target="_blank" data-smartkarma-citation="entities:2333:1" rel="noopener">NAURA Technology</a> has doubled in price this year, while <a href="https://www.smartkarma.com/entities/huaneng-lancang-river-hydropow" target="_blank" data-smartkarma-citation="entities:26585:1" rel="noopener">Huaneng Lancang</a> has corrected from its highs and could be deleted from the ETF in just one quarter.</li>
</ul>


The December review will use closing prices from 18 November to determine the list of stocks that will be included into and excluded from the ETFs.
As of the close on 15 November, we see NAURA Technology Group (002371 CH) replacing Huaneng Lancang River Hydropow (600025 CH) in the ETFs.

NAURA Technology has doubled in price this year, while Huaneng Lancang has corrected from its highs and could be deleted from the ETF in just one quarter.


China A50 ETFs Rebalance Preview: One Change to Close Out the Year

China

Advanced Micro-Fabrication Equipment Inc. China manufactures micro-fabrication equipment. The Company researches, develops, produces, and sells semiconductor equipment. Advanced Micro-Fabrication Equipment China provides its products for semiconductor and adjacent high technology industries.

Advanced Micro-Fabrication Equ (688012 CH)

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Advanced Micro-Fabrication Equ (688012 CH)

CNI Semiconductor Chips Index Rebalance Preview: One Change in June

Nexchip Semi could replace Amlogic Shanghai in the index. Passive trackers will need to buy 1.4x ADV in the add and sell 0.8x ADV in the delete....

Brian Freitas

CES China Semiconductor Chips Index Rebalance Preview: Multiple Adds for Some Stocks Increase Flow

There could be 3 changes for the index in June. Most of the index changes will have inflows/outflows from other index trackers at the same time,...

Brian Freitas

STAR Chip Index Rebalance: Shenzhen Bluetrum (688332) Replaces JoulWatt (688141)

As expected, Shenzhen Bluetrum replaces JoulWatt Tech in the STAR Chip Index in March. Estimated one-way turnover at the rebalance is 3.75% leading...

Brian Freitas

STAR Chip Index Rebalance: 3 Changes; US$413m Round-Trip Trade

There are 3 changes for the index. Estimated 1-way turnover is 4.8% leading to a round-trip trade of CNY 3bn (US$413m). The adds have outperformed...

Brian Freitas

China A50 ETFs Rebalance Preview: One Change to Close Out the Year

NAURA Tech could replace Huaneng Lancang Hydro in the ETFs in Dec. Huaneng Lancang was added to the ETFs in Sep, so could be short stay for the...

Brian Freitas

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52-week Range

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