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>Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.</li>
<li>We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.</li>
</ul>


Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.
We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.
The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.


SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Beijing-Shanghai High Speed Ra / Event-Driven

<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>There have been some changes to the SSE 180 expected ADDs/DELs lists since our last insight.</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.
There have been some changes to the SSE 180 expected ADDs/DELs lists since our last insight.


Quiddity Leaderboard SSE50/180 Dec 24: US$1.6bn+ One-Way; Some Changes to Expectations.

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 14th.</li>
<li>We estimate the weekly inflows to be US$2,869.4 million, led by consumer discretionary, consumer staples, financials sectors.</li>
<li>We highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China Telecom, Inspur Electronic Information Industry, Tcl Technology, China Mobile, BYD, Haitian Flavouring, Wus Printed Circuit (Kunshan).</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of July 14th.
We estimate the weekly inflows to be US$2,869.4 million, led by consumer discretionary, consumer staples, financials sectors.
We highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China Telecom, Inspur Electronic Information Industry, Tcl Technology, China Mobile, BYD, Haitian Flavouring, Wus Printed Circuit (Kunshan).


Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

<ul>
<li>There are 5 changes for the <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 Index</a> that will be implemented at the close on 9 June. There is over 1x ADV to sell on a few deletions.</li>
<li>We estimate a one-way turnover of 5.3% at the June rebalance leading to a one-way trade of CNY 3.84bn. Index arb activity could add to the impact on the stocks.</li>
<li>The adds outperformed the deletes from February to April but have given up a lot of the outperformance over the last month.</li>
</ul>


There are 5 changes for the SSE50 Index that will be implemented at the close on 9 June. There is over 1x ADV to sell on a few deletions.
We estimate a one-way turnover of 5.3% at the June rebalance leading to a one-way trade of CNY 3.84bn. Index arb activity could add to the impact on the stocks.
The adds outperformed the deletes from February to April but have given up a lot of the outperformance over the last month.


SSE50 Index Rebalance: 5 Changes as Adds Give Up Recent Gains

Beijing Kingsoft Office Softwa / Event-Driven

<ul>
<li>With 2 trading days left in the review period, we see 7 potential adds/5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.</li>
<li>We estimate one-way turnover of 5.58% at the June rebalance leading to a one-way trade of CNY 4.22bn. Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes over the last couple of months and have underperformed over the last week.</li>
</ul>


With 2 trading days left in the review period, we see 7 potential adds/5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.
We estimate one-way turnover of 5.58% at the June rebalance leading to a one-way trade of CNY 4.22bn. Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes over the last couple of months and have underperformed over the last week.


SSE50 Index Rebalance Preview: Five Changes Coming Up in June

China

Hengli Petrochemical Co.,Ltd. manufactures chemical fibers. The Company researches, produces, and sells polyester filament and chips for consumer and industry products. Hengli Petrochemical markets it products worldwide.

Hengli Petrochemical Co.,Ltd. A (600346 CH)

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Hengli Petrochemical Co.,Ltd. A (600346 CH)

SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

There could be 5 changes for the SSE50 in June. Estimate one-way turnover is 5.07% and the one-way trade is CNY 3.97bn. The potential adds have...

Brian Freitas

Quiddity Leaderboard SSE50/180 Dec 24: US$1.6bn+ One-Way; Some Changes to Expectations.

There could be US$1.4bn and US$240mn one-way flows, respectively, for the SSE 50 and SSE 180 December 2024 rebalances. Around 70% of the reference...

Janaghan Jeyakumar, CFA

Northbound Flows (Jul 14th): Moutai, CATL, Wuliangye, Yangtze Power, China Telecom, Haitian

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Moutai, CATL, Wuliangye, China Yangtze Power, China...

Ke Yan, CFA, FRM

SSE50 Index Rebalance: 5 Changes as Adds Give Up Recent Gains

There are 5 changes for the SSE50 Index in June. The adds outperformed from Feb-April but have underperformed since then. The Anhui Conch Cement...

Brian Freitas

SSE50 Index Rebalance Preview: Five Changes Coming Up in June

There will be 5 changes in June. Estimated 1-way turnover is 5.58% leading to a 1-way trade of CNY 4.22bn. The adds have outperformed the deletes...

Brian Freitas

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