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>With nearly 90% of the review period complete, 2 non-constituents are in inclusion zone and 3 constituents are in deletion zone.</li>
<li>We estimate one-way turnover of 4.7% at the June rebalance leading to a round-trip trade of CNY 16.4bn (US$2.27bn). Index arb balances will increase the impact on the stocks.</li>
<li>The forecast adds have outperformed the forecast deletes over the last 6 months but there has been a retracement in returns over the last month.</li>
</ul>


With nearly 90% of the review period complete, 2 non-constituents are in inclusion zone and 3 constituents are in deletion zone.
We estimate one-way turnover of 4.7% at the June rebalance leading to a round-trip trade of CNY 16.4bn (US$2.27bn). Index arb balances will increase the impact on the stocks.
The forecast adds have outperformed the forecast deletes over the last 6 months but there has been a retracement in returns over the last month.


SSE50 Index Rebalance Preview: Three Changes; Some Misses

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The December 2024 index review results for the SSE 50 and SSE 180 indices were announced after market close on Friday 29th November 2024.</li>
<li>There will be 4 changes for SSE 50 and 18 changes for SSE 180 during the December 2024 index rebal event.</li>
<li>SSE 50 ADDs and DELs will see large index flows while the SSE 180 flow names have fairly insignificant flow expectations.</li>
</ul>


The December 2024 index review results for the SSE 50 and SSE 180 indices were announced after market close on Friday 29th November 2024.
There will be 4 changes for SSE 50 and 18 changes for SSE 180 during the December 2024 index rebal event.
SSE 50 ADDs and DELs will see large index flows while the SSE 180 flow names have fairly insignificant flow expectations.


Quiddity SSE50/180 Dec 24 Results: All SSE 50 ADDs in the LONGs Basket; Positive Start; More to Come

Managing Director, Zero One, Zero One

Vincent Fernando, CFA

Managing Director, Zero One

Zero One

Founded in 2015, Zero One produces independent investment research and provides corporate finance advisory services with a focus on both listed and private technology companies. Founder Vincent Fernando has over 20 years of experience in US and Asia capital markets.

Independent Investment Research

Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) - ADR / Equity Bottom-Up

TSMC (Taiwan Semiconductor Manufacturing) - ADR

<ul>
<li>US Set to Unveil New Wave of Semiconductor Restrictions on China</li>
<li>Hon Hai Subsidiary Says Progress for Nvidia GB200 Servers is Smooth, Mass Production in 2025E</li>
<li>PC Monitor: Dell &amp; HPQ Highlight Sharp Divide Between Corporate and Consumer PC Demand; Shares Slump </li>
</ul>


US Set to Unveil New Wave of Semiconductor Restrictions on China
Hon Hai Subsidiary Says Progress for Nvidia GB200 Servers is Smooth, Mass Production in 2025E
PC Monitor: Dell &amp; HPQ Highlight Sharp Divide Between Corporate and Consumer PC Demand; Shares Slump 


Taiwan Tech Weekly: New China Tech Restrictions Monday; PC Demand Commercial Vs. Consumer Disconnect

<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>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.</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

External broker reports(aggregated public sources), CMB International

CMB International

External broker reports(aggregated public sources)

Incorporated in Hong Kong, supported by the mainland and targeting in global market, CMB International Capital Corporation Limited (“CMBI”) is an integrated financial institution providing comprehensive and professional services. As a wholly-owned subsidiary of China Merchants Bank ("CMB"), by leveraging on the Group’s synergy and coordination in domestic and overseas markets, as well as CMB’s strong resources and outstanding social reputation, CMBI and its subsidiaries have been actively implementing diversified business strategies and set up an overall layout of main business segments including Corporate Finance, Asset Management, Wealth Management, Global Markets and Structured Finance, etc. Adhering to the philosophy of “being clients oriented and increasing our own values by the way of creating value for clients”, CMBI endeavors to provide quality and integrated financial services to institutional, corporate and individual customers both domestic and overseas including Hong Kong IPO sponsorship and underwriting, share placement and rights issue for listed companies, financial advisors, bonds issuance services, asset management, direct investment, wealth management, equity sales and trading, etc.

Thematic (Sector/Industry)

<ul><li>Major global server brands/ODMs delivered strong 2Q/3Q24 sales and guided server revenue momentum will continue into 2H24E thanks to robust AI server demand and broad-based general server recovery.</li><li>Based on Counterpoint data, 2Q24 global server revenue climbed 35% YoY to US$45.4mn, with AI server reaching 30% of the sales mix.</li><li>For 4Q24E, we expect most AI server names will continue to benefit from improved CoWoS supply and Hopper H200 ramp, while Blackwell (B200/GB200) AI servers will see shipments in small volume in late 4Q24 and bigger ramp in 1Q25E.</li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

Major global server brands/ODMs delivered strong 2Q/3Q24 sales and guided server revenue momentum will continue into 2H24E thanks to robust AI server demand and broad-based general server recovery.Based on Counterpoint data, 2Q24 global server revenue climbed 35% YoY to US$45.4mn, with AI server reaching 30% of the sales mix.For 4Q24E, we expect most AI server names will continue to benefit from improved CoWoS supply and Hopper H200 ramp, while Blackwell (B200/GB200) AI servers will see shipments in small volume in late 4Q24 and bigger ramp in 1Q25E.Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

Technology - ODM/Brands Driven by H200/GB200 AI Server Ramp and General Sever Recovery

Taiwan

Foxconn Industrial Internet Co., Ltd. operates as a communication network equipment development company. The Company develops and sells network switches, routers, wireless devices, web servers, set top boxes, smart home gateways, and other products. Foxconn Industrial Internet also manufactures storage equipment.

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Foxconn Industrial Internet (601138 CH)

SSE50 Index Rebalance Preview: Three Changes; Some Misses

There could be 3 changes in June. Estimated one-way turnover is 4.7% leading to a round-trip trade of CNY 16.4bn. The adds have outperformed the...

Brian Freitas

Quiddity SSE50/180 Dec 24 Results: All SSE 50 ADDs in the LONGs Basket; Positive Start; More to Come

All five SSE 50 ADDs are in our previous LONGs basket. Since 5th Nov, the LONGs have outperformed the index by 2.7% which was a better return than...

Janaghan Jeyakumar, CFA

Taiwan Tech Weekly: New China Tech Restrictions Monday; PC Demand Commercial Vs. Consumer Disconnect

US is imposing new restrictions on China in semiconductor industry, Hon Hai subsidiary progressing smoothly with Nvidia servers, Dell and HPQ...

Vincent Fernando, CFA

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

Technology - ODM/Brands Driven by H200/GB200 AI Server Ramp and General Sever Recovery

Major global server brands/ODMs delivered strong 2Q/3Q24 sales and guided server revenue momentum will continue into 2H24E thanks to robust AI...

CMB International

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

SSE50 Index Rebalance Preview: Three Changes; Some Misses

There could be 3 changes in June. Estimated one-way turnover is 4.7% leading to a round-trip trade of CNY 16.4bn. The adds have outperformed the...

Brian Freitas

Quiddity SSE50/180 Dec 24 Results: All SSE 50 ADDs in the LONGs Basket; Positive Start; More to Come

All five SSE 50 ADDs are in our previous LONGs basket. Since 5th Nov, the LONGs have outperformed the index by 2.7% which was a better return than...

Janaghan Jeyakumar, CFA

Taiwan Tech Weekly: New China Tech Restrictions Monday; PC Demand Commercial Vs. Consumer Disconnect

​US is imposing new restrictions on China in semiconductor industry, Hon Hai subsidiary progressing smoothly with Nvidia servers, Dell and HPQ...

Vincent Fernando, CFA

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

Technology - ODM/Brands Driven by H200/GB200 AI Server Ramp and General Sever Recovery

Major global server brands/ODMs delivered strong 2Q/3Q24 sales and guided server revenue momentum will continue into 2H24E thanks to robust AI...

CMB International

US is imposing new restrictions on China in semiconductor industry, Hon Hai subsidiary progressing smoothly with Nvidia servers, Dell and HPQ...