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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

<ul>
<li>Nearly midway through the review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a>, we see 29 potential changes to the index.</li>
<li>There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.</li>
<li>The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.</li>
</ul>


Nearly midway through the review period for the June rebalance of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), we see 29 potential changes to the index.
There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.
The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.


CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Post market close on 28 May, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the <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">SSE STAR 50 (STAR50 INDEX)</a>. The changes will be effective after the close of trading on 11 June.Just as we forecast, the inclusions are <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot Ltd (689009 CH)</a>, <a href="https://www.smartkarma.com/entities/sansure-biotech-inc" target="_blank" data-smartkarma-citation="entities:32182:1" rel="noopener">Sansure Biotech Inc (688289 CH)</a>, <a href="https://www.smartkarma.com/entities/cansino-biologics-inc-cc0c90b7-e854-4ba3-929b-914be1bd0d89" target="_blank" data-smartkarma-citation="entities:32181:1" rel="noopener">CanSino Biologics Inc (688185 CH)</a>, <a href="https://www.smartkarma.com/entities/verisilicon-microelectronics" target="_blank" data-smartkarma-citation="entities:32183:1" rel="noopener">VeriSilicon Microelectronics (688521 CH)</a> and <a href="https://www.smartkarma.com/entities/cathay-biotech-inc" target="_blank" data-smartkarma-citation="entities:32184:1" rel="noopener">Cathay Biotech Inc (688065 CH)</a>, while <a href="https://www.smartkarma.com/entities/suntar-environmental-techn-a" target="_blank" data-smartkarma-citation="entities:30342:1" rel="noopener">Suntar Environmental Techn-A (688101 CH)</a>, <a href="https://www.smartkarma.com/entities/shenzhen-qingyi-photomask-ltd" target="_blank" data-smartkarma-citation="entities:30351:1" rel="noopener">Shenzhen Qingyi Photomask Ltd (688138 CH)</a>, <a href="https://www.smartkarma.com/entities/traffic-control-technology-co" target="_blank" data-smartkarma-citation="entities:30309:1" rel="noopener">Traffic Control Technology Co (688015 CH)</a>, <a href="https://www.smartkarma.com/entities/hillstone-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30321:1" rel="noopener">Hillstone Networks Co Ltd (688030 CH)</a> and <a href="https://www.smartkarma.com/entities/ningbo-solartron-technolog-a" target="_blank" data-smartkarma-citation="entities:30380:1" rel="noopener">Ningbo Solartron Technolog-A (688299 CH)</a> have been deleted from the index.The changes imply that a 6 month minimum listing was used. Given the increase in number of stocks that are listed for more than 1 year, this could be last review where a 6 month minimum listing history is used.Inflows into the ETFs have continued and the impact on the inclusions and exclusions will be a few days of ADV with estimated one-way turnover at 5.3%.The inclusions have outperformed the deletions over the last couple of months and there has been an increase in excess volume over the last couple of weeks. We would use any sharp moves in the stock to pare down existing positions in the trade.

Post market close on 28 May, the Shanghai Stock Exchange and China Securities Index Company announced the changes to the SSE STAR 50 (STAR50 INDEX). The changes will be effective after the close of trading on 11 June.Just as we forecast, the inclusions are Ninebot Ltd (689009 CH), Sansure Biotech Inc (688289 CH), CanSino Biologics Inc (688185 CH), VeriSilicon Microelectronics (688521 CH) and Cathay Biotech Inc (688065 CH), while Suntar Environmental Techn-A (688101 CH), Shenzhen Qingyi Photomask Ltd (688138 CH), Traffic Control Technology Co (688015 CH), Hillstone Networks Co Ltd (688030 CH) and Ningbo Solartron Technolog-A (688299 CH) have been deleted from the index.The changes imply that a 6 month minimum listing was used. Given the increase in number of stocks that are listed for more than 1 year, this could be last review where a 6 month minimum listing history is used.Inflows into the ETFs have continued and the impact on the inclusions and exclusions will be a few days of ADV with estimated one-way turnover at 5.3%.The inclusions have outperformed the deletions over the last couple of months and there has been an increase in excess volume over the last couple of weeks. We would use any sharp moves in the stock to pare down existing positions in the trade.

STAR Board - STAR50 Index Rebalance: Inclusions Outperform Exclusions as Positioning Jumps

<div>The <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">SSE STAR 50 (STAR50 INDEX)</a> is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.</div><div>The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.</div><div>
A maximum of 5 changes are permitted in a single review.
<a href="https://www.smartkarma.com/entities/suntar-environmental-techn-a" target="_blank" data-smartkarma-citation="entities:30342:1" rel="noopener">Suntar Environmental Techn-A (688101 CH)</a>, <a href="https://www.smartkarma.com/entities/shenzhen-qingyi-photomask-ltd" target="_blank" data-smartkarma-citation="entities:30351:1" rel="noopener">Shenzhen Qingyi Photomask Ltd (688138 CH)</a>, <a href="https://www.smartkarma.com/entities/traffic-control-technology-co" target="_blank" data-smartkarma-citation="entities:30309:1" rel="noopener">Traffic Control Technology Co (688015 CH)</a>, <a href="https://www.smartkarma.com/entities/hillstone-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30321:1" rel="noopener">Hillstone Networks Co Ltd (688030 CH)</a> and <a href="https://www.smartkarma.com/entities/ningbo-solartron-technolog-a" target="_blank" data-smartkarma-citation="entities:30380:1" rel="noopener">Ningbo Solartron Technolog-A (688299 CH)</a> are high probability deletions from the index at the June review.
There is a high probability of <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot Ltd (689009 CH)</a>, <a href="https://www.smartkarma.com/entities/sansure-biotech-inc" target="_blank" data-smartkarma-citation="entities:32182:1" rel="noopener">Sansure Biotech Inc (688289 CH)</a>, <a href="https://www.smartkarma.com/entities/cansino-biologics-inc-cc0c90b7-e854-4ba3-929b-914be1bd0d89" target="_blank" data-smartkarma-citation="entities:32181:1" rel="noopener">CanSino Biologics Inc (688185 CH)</a>, <a href="https://www.smartkarma.com/entities/verisilicon-microelectronics" target="_blank" data-smartkarma-citation="entities:32183:1" rel="noopener">VeriSilicon Microelectronics (688521 CH)</a> and <a href="https://www.smartkarma.com/entities/cathay-biotech-inc" target="_blank" data-smartkarma-citation="entities:32184:1" rel="noopener">Cathay Biotech Inc (688065 CH)</a> being included in the index.
An alternate list of possible inclusions (with a lower probability) are <a href="https://www.smartkarma.com/entities/beijing-huafeng-test-con-a" target="_blank" data-smartkarma-citation="entities:30367:1" rel="noopener">Beijing Huafeng Test &amp; Con-A (688200 CH)</a>, <a href="https://www.smartkarma.com/entities/zhejiang-orient-gene-biotech-a" target="_blank" data-smartkarma-citation="entities:30379:1" rel="noopener">Zhejiang Orient Gene Biotech-A (688298 CH)</a>, <a href="https://www.smartkarma.com/entities/bio-thera-solutions-ltd" target="_blank" data-smartkarma-citation="entities:29127:1" rel="noopener">Bio-Thera Solutions Ltd (688177 CH)</a>, <a href="https://www.smartkarma.com/entities/hangzhou-raycloud-technolo-a" target="_blank" data-smartkarma-citation="entities:30391:1" rel="noopener">Hangzhou Raycloud Technolo-A (688365 CH)</a> and <a href="https://www.smartkarma.com/entities/hitgen-inc" target="_blank" data-smartkarma-citation="entities:30371:1" rel="noopener">HitGen Inc (688222 CH)</a>.
The expected inclusions and exclusions have been performing poorly over the last couple of months. The price falls have been accompanied by shrinking volume and the passive flow could have a larger impact on the stocks than what we had estimated earlier.
We recommend buying the expected inclusions and selling a highly correlated hedge basket to take advantage of the expected passive flows into the stocks.

</div>

The SSE STAR 50 (STAR50 INDEX) is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.
A maximum of 5 changes are permitted in a single review.
Suntar Environmental Techn-A (688101 CH), Shenzhen Qingyi Photomask Ltd (688138 CH), Traffic Control Technology Co (688015 CH), Hillstone Networks Co Ltd (688030 CH) and Ningbo Solartron Technolog-A (688299 CH) are high probability deletions from the index at the June review.
There is a high probability of Ninebot Ltd (689009 CH), Sansure Biotech Inc (688289 CH), CanSino Biologics Inc (688185 CH), VeriSilicon Microelectronics (688521 CH) and Cathay Biotech Inc (688065 CH) being included in the index.
An alternate list of possible inclusions (with a lower probability) are Beijing Huafeng Test &amp; Con-A (688200 CH), Zhejiang Orient Gene Biotech-A (688298 CH), Bio-Thera Solutions Ltd (688177 CH), Hangzhou Raycloud Technolo-A (688365 CH) and HitGen Inc (688222 CH).
The expected inclusions and exclusions have been performing poorly over the last couple of months. The price falls have been accompanied by shrinking volume and the passive flow could have a larger impact on the stocks than what we had estimated earlier.
We recommend buying the expected inclusions and selling a highly correlated hedge basket to take advantage of the expected passive flows into the stocks.



STAR Board - STAR50 Index Rebalance June Preview: Falling Volumes Increasing Impact

The <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">SSE STAR 50 (STAR50 INDEX)</a> is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.A maximum of 5 changes are permitted in a single review.At the June review, we see <a href="https://www.smartkarma.com/entities/suntar-environmental-techn-a" target="_blank" data-smartkarma-citation="entities:30342:1" rel="noopener">Suntar Environmental Techn-A (688101 CH)</a>, <a href="https://www.smartkarma.com/entities/shenzhen-qingyi-photomask-ltd" target="_blank" data-smartkarma-citation="entities:30351:1" rel="noopener">Shenzhen Qingyi Photomask Ltd (688138 CH)</a>, <a href="https://www.smartkarma.com/entities/traffic-control-technology-co" target="_blank" data-smartkarma-citation="entities:30309:1" rel="noopener">Traffic Control Technology Co (688015 CH)</a>, <a href="https://www.smartkarma.com/entities/hillstone-networks-co-ltd" target="_blank" data-smartkarma-citation="entities:30321:1" rel="noopener">Hillstone Networks Co Ltd (688030 CH)</a> and <a href="https://www.smartkarma.com/entities/ningbo-solartron-technolog-a" target="_blank" data-smartkarma-citation="entities:30380:1" rel="noopener">Ningbo Solartron Technolog-A (688299 CH)</a> being deleted from the index.With index rules that are not specific, there are two sets of possible inclusions depending on the minimum listing history for the stocks.The likelier inclusions are <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot Ltd (689009 CH)</a>, <a href="https://www.smartkarma.com/entities/cansino-biologics-inc-cc0c90b7-e854-4ba3-929b-914be1bd0d89" target="_blank" data-smartkarma-citation="entities:32181:1" rel="noopener">CanSino Biologics Inc (688185 CH)</a>, <a href="https://www.smartkarma.com/entities/sansure-biotech-inc" target="_blank" data-smartkarma-citation="entities:32182:1" rel="noopener">Sansure Biotech Inc (688289 CH)</a>, <a href="https://www.smartkarma.com/entities/verisilicon-microelectronics" target="_blank" data-smartkarma-citation="entities:32183:1" rel="noopener">VeriSilicon Microelectronics (688521 CH)</a> and <a href="https://www.smartkarma.com/entities/cathay-biotech-inc" target="_blank" data-smartkarma-citation="entities:32184:1" rel="noopener">Cathay Biotech Inc (688065 CH)</a>.The less likely inclusions are <a href="https://www.smartkarma.com/entities/beijing-huafeng-test-con-a" target="_blank" data-smartkarma-citation="entities:30367:1" rel="noopener">Beijing Huafeng Test &amp; Con-A (688200 CH)</a>, <a href="https://www.smartkarma.com/entities/zhejiang-orient-gene-biote-a" target="_blank" data-smartkarma-citation="entities:30379:1" rel="noopener">Zhejiang Orient Gene Biote-A (688298 CH)</a>, <a href="https://www.smartkarma.com/entities/bio-thera-solutions-ltd" target="_blank" data-smartkarma-citation="entities:29127:1" rel="noopener">Bio-Thera Solutions Ltd (688177 CH)</a>, <a href="https://www.smartkarma.com/entities/hangzhou-raycloud-technolo-a" target="_blank" data-smartkarma-citation="entities:30391:1" rel="noopener">Hangzhou Raycloud Technolo-A (688365 CH)</a> and <a href="https://www.smartkarma.com/entities/hitgen-inc" target="_blank" data-smartkarma-citation="entities:30371:1" rel="noopener">HitGen Inc (688222 CH)</a>.The recent selloff in growth stocks has led to the potential inclusions underperforming the potential deletions. A turn in momentum stocks could lead to the potential inclusions outperforming.

The SSE STAR 50 (STAR50 INDEX) is a free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market.The review period for the June rebalance ends on 30 April, the results of the rebalance will be announced towards the end of May and will be implemented at the close of trading on 11 June.A maximum of 5 changes are permitted in a single review.At the June review, we see Suntar Environmental Techn-A (688101 CH), Shenzhen Qingyi Photomask Ltd (688138 CH), Traffic Control Technology Co (688015 CH), Hillstone Networks Co Ltd (688030 CH) and Ningbo Solartron Technolog-A (688299 CH) being deleted from the index.With index rules that are not specific, there are two sets of possible inclusions depending on the minimum listing history for the stocks.The likelier inclusions are Ninebot Ltd (689009 CH), CanSino Biologics Inc (688185 CH), Sansure Biotech Inc (688289 CH), VeriSilicon Microelectronics (688521 CH) and Cathay Biotech Inc (688065 CH).The less likely inclusions are Beijing Huafeng Test &amp; Con-A (688200 CH), Zhejiang Orient Gene Biote-A (688298 CH), Bio-Thera Solutions Ltd (688177 CH), Hangzhou Raycloud Technolo-A (688365 CH) and HitGen Inc (688222 CH).The recent selloff in growth stocks has led to the potential inclusions underperforming the potential deletions. A turn in momentum stocks could lead to the potential inclusions outperforming.

STAR50 Index Rebalance June Preview: Selloff Presents Opportunity

China

Cathay Biotech Inc. engages in synthetic biology, producing new materials on an industrial scale through bio-manufacturing. The Company focuses on polyamide industry's value chain covering biological long-chain dibasic acid, bio-based pentane diamine, bio-based polyamide, and more. Cathay Biotech markets its products worldwide.

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Cathay Biotech (688065 CH)

CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Nearly midway through the review period for the June rebalance of the CSI300 index, we see 29 potential changes resulting in a one-way turnover of...

Brian Freitas

STAR Board - STAR50 Index Rebalance: Inclusions Outperform Exclusions as Positioning Jumps

There are 5 changes to the STAR50 Index at the June review. The inclusions have outperformed the deletions and positioning has jumped sharply in...

Brian Freitas

STAR Board - STAR50 Index Rebalance June Preview: Falling Volumes Increasing Impact

We see 5 changes to the STAR50 Index at the June review. The deletions are high probability, but there is uncertainty on the inclusions due to a...

Brian Freitas

STAR50 Index Rebalance June Preview: Selloff Presents Opportunity

While the deletions at the STAR50 June review can be picked fairly easily, index rules that are not specific give rise to two sets of potential...

Brian Freitas

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