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

Shanghai Friendess Electronic / Event-Driven

<ul>
<li>Money continues to flow into mainland China ETFs taking the total inflows since 18 July to over US$25bn. This has likely helped stabilise the market and prevent a bigger fall.</li>
<li>The inflows continue to be largest on ETFs tracking headline indices - <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, CSI1000, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a>. Plus there are inflows on some sectoral and thematic ETFs.</li>
<li>The skew between stocks gaining 20%+ over the period vs those dropping -20% or more has improved significantly over the last week.</li>
</ul>


Money continues to flow into mainland China ETFs taking the total inflows since 18 July to over US$25bn. This has likely helped stabilise the market and prevent a bigger fall.
The inflows continue to be largest on ETFs tracking headline indices - CSI 300, STAR50, CSI1000, CSI 500, SSE50, ChiNext. Plus there are inflows on some sectoral and thematic ETFs.
The skew between stocks gaining 20%+ over the period vs those dropping -20% or more has improved significantly over the last week.


China ETFs: Inflows Continue to Support the Market

<ul>
<li>There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 December.</li>
<li>Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.3x ADV in the stocks.</li>
<li>There will be selling 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) (688981 CH)</a> to cap the stock at 10% of the index weight.</li>
</ul>


There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 December.
Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.3x ADV in the stocks.
There will be selling in Semiconductor Manufacturing International Corporation (SMIC) (688981 CH) to cap the stock at 10% of the index weight.


CES China Semiconductor Chips Index Rebalance Preview: Three Changes in December

<ul>
<li>There could be one change for the CNI Semiconductor Chips Index with <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology (688120 CH)</a> replacing <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor (603290 CH)</a> in December. The change is right at the cusp.</li>
<li>Passive trackers are estimated to buy 0.8x ADV in <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology</a> and sell 0.4x ADV in <a href="https://www.smartkarma.com/entities/starpower-semiconductor-ltd" target="_blank" data-smartkarma-citation="entities:30089:1" rel="noopener">StarPower Semiconductor</a>. There will be selling 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>Both stocks have been moving higher over the last few weeks, but the potential inclusion has been outperforming the potential deletion pretty handily.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Hwatsing Technology (688120 CH) replacing StarPower Semiconductor (603290 CH) in December. The change is right at the cusp.
Passive trackers are estimated to buy 0.8x ADV in Hwatsing Technology and sell 0.4x ADV in StarPower Semiconductor. There will be selling in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
Both stocks have been moving higher over the last few weeks, but the potential inclusion has been outperforming the potential deletion pretty handily.


CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

<ul>
<li>The review period for the December rebalance of the CSI All Share Semiconductor Index ended 31 October.  The changes should be announced on 29 November and implemented on 13 December.</li>
<li>We forecast 12 adds and 6 deletes for the index with a one-way turnover of 2.5% and a one-way trade of CNY 642m (US$90m).</li>
<li>The forecast adds to the index have outperformed the forecast deletes over the last few months with a move higher in the short-term too.</li>
</ul>


The review period for the December rebalance of the CSI All Share Semiconductor Index ended 31 October.  The changes should be announced on 29 November and implemented on 13 December.
We forecast 12 adds and 6 deletes for the index with a one-way turnover of 2.5% and a one-way trade of CNY 642m (US$90m).
The forecast adds to the index have outperformed the forecast deletes over the last few months with a move higher in the short-term too.


CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.</li>
<li>The reference period is for the December 2024 index rebal event is now complete. In this insight, we have presented our final list of expected ADDs and DELs.</li>
<li><em>While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple last-minute changes to our SSE 180 expected ADDs/DELs list.</em></li>
</ul>


SSE 50 and SSE 180, respectively, aim to represent the performance of the 50 and 180 largest and most liquid A-share stocks listed on the Shanghai Stock Exchange.
The reference period is for the December 2024 index rebal event is now complete. In this insight, we have presented our final list of expected ADDs and DELs.
While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple last-minute changes to our SSE 180 expected ADDs/DELs list.


Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

China

Cambricon Technologies Corporation Limited develops and distributes software products. The Company produces terminal intelligent processors, cloud intelligent chips, accelerator cards, intelligent computing cluster systems, and other products. Cambricon Technologies also produces computer peripheral products.

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Cambricon Technologies Lt (688256 CH)

China ETFs: Inflows Continue to Support the Market

Money continues to flow into mainland China ETFs with the total inflows since 18 July over US$25bn. This has likely helped stabilise the market and...

Brian Freitas

CES China Semiconductor Chips Index Rebalance Preview: Three Changes in December

There could be 3 changes in Dec with passives needing to trade 0.-0.3x ADV in the stocks. SMIC will be capped at 10% of the index weight. Some...

Brian Freitas

CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Hwatsing Tech could replace StarPower Semiconductor in the index. Passive trackers will need to buy 0.8x ADV in Hwatsing and sell 0.4x ADV in...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

We estimate SSE 50 one-way flow to be US$1.98bn and SSE 180 one-way flow to be US$286mn during the December 2024 index rebal event.

Janaghan Jeyakumar, CFA

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52-week Range

Market Cap (USDm)

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Dividend (Yield)

China ETFs: Inflows Continue to Support the Market

Money continues to flow into mainland China ETFs with the total inflows since 18 July over US$25bn. This has likely helped stabilise the market and...

Brian Freitas

CES China Semiconductor Chips Index Rebalance Preview: Three Changes in December

There could be 3 changes in Dec with passives needing to trade 0.-0.3x ADV in the stocks. SMIC will be capped at 10% of the index weight. Some...

Brian Freitas

CNI Semiconductor Chips Index Rebalance Preview: Potential Inclusion Outperforming

Hwatsing Tech could replace StarPower Semiconductor in the index. Passive trackers will need to buy 0.8x ADV in Hwatsing and sell 0.4x ADV in...

Brian Freitas

CSI All Share Semiconductor Index Rebalance Preview: 18 Changes as Adds Outperform

There could be 12 adds, 6 deletes in Dec. Impact is not very large, but 12 stocks will have flows from other index trackers too. The forecast adds...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; ~US$2.3bn Collective Flows

We estimate SSE 50 one-way flow to be US$1.98bn and SSE 180 one-way flow to be US$286mn during the December 2024 index rebal event.

Janaghan Jeyakumar, CFA