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

<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>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

Cambricon Technologies  Lt / Event-Driven

<ul>
<li>With over 95% of the review period complete, 4 non-constituents are in inclusion zone and 6 constituents are in deletion zone.</li>
<li>We estimate one-way turnover of 6.5% at the December rebalance leading to a one-way trade of CNY 11.95bn (US$1.7bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have continued to outperform the potential deletes. There has been a big jump in the last few weeks as markets have rallied. Trim positions into strength.</li>
</ul>


With over 95% of the review period complete, 4 non-constituents are in inclusion zone and 6 constituents are in deletion zone.
We estimate one-way turnover of 6.5% at the December rebalance leading to a one-way trade of CNY 11.95bn (US$1.7bn). Index arb balances could increase the impact on the stocks.
The potential adds have continued to outperform the potential deletes. There has been a big jump in the last few weeks as markets have rallied. Trim positions into strength.


SSE50 Index Rebalance Preview: Potential Inclusions Continue to Outperform; Trim into Strength

<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>In this insight, we take a look at the names leading the race to become ADDs and DELs during the December 2024 index rebal event.</li>
<li>While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple 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.
In this insight, we take a look at the names leading the race to become ADDs and DELs during the December 2024 index rebal event.
While our SSE 50 expected ADDs/DELs list remains unchanged, there have been multiple changes to our SSE 180 expected ADDs/DELs list.


Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; US$2.2bn One-Way

China

GigaDevice Semiconductor Inc. manufactures and distributes non volatile memory devices. The Company produces and sells memory cards, controllers, flash chips, integrated circuits, and other products. GigaDevice Semiconductor also operates goods and technology import and export, import and export agency, and other businesses.

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

GigaDevice Semiconductor (603986 CH)

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

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

SSE50 Index Rebalance Preview: Potential Inclusions Continue to Outperform; Trim into Strength

There could be 5 changes in Dec. Estimate 1-way turnover is 6.5% leading to a one-way trade of CNY11.95bn (US$1.7bn). The potential adds have...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; US$2.2bn One-Way

On average, the SSE 50 expected ADDs/DELs have ~3x ADV to trade. We expect US$1.9bn one-way flows for SSE 50 and US$288mn one-way flows for SSE 180...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

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

SSE50 Index Rebalance Preview: Potential Inclusions Continue to Outperform; Trim into Strength

There could be 5 changes in Dec. Estimate 1-way turnover is 6.5% leading to a one-way trade of CNY11.95bn (US$1.7bn). The potential adds have...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: Multiple Changes to Expectations; US$2.2bn One-Way

On average, the SSE 50 expected ADDs/DELs have ~3x ADV to trade. We expect US$1.9bn one-way flows for SSE 50 and US$288mn one-way flows for SSE 180...

Janaghan Jeyakumar, CFA