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>The Hang Seng index committee has added four stocks to take the number of <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hong Kong Hang Seng Index (HSI INDEX)</a> constituents to 80. A year late, but we're there!</li>
<li>The next leg of the increase in the number of index constituents will take us up to 100. There is no timeline, so this should take a couple of years.</li>
<li>Estimated one-way turnover is 2.93% leading to a one-way trade of HK$5.7bn (US$730m). All adds will have over 2x ADV to buy from passive trackers.</li>
</ul>


The Hang Seng index committee has added four stocks to take the number of Hong Kong Hang Seng Index (HSI INDEX) constituents to 80. A year late, but we're there!
The next leg of the increase in the number of index constituents will take us up to 100. There is no timeline, so this should take a couple of years.
Estimated one-way turnover is 2.93% leading to a one-way trade of HK$5.7bn (US$730m). All adds will have over 2x ADV to buy from passive trackers.


HSI Index Rebalance: Yippee! Finally at 80!

<ul>
<li>As of 8 May, we see three potential changes to the <a href="https://www.smartkarma.com/entities/ishares-china-large-cap-etf" target="_blank" data-smartkarma-citation="entities:766:1" rel="noopener">iShares China Large-Cap (FXI) (FXI US)</a> at the June rebalance. This is mainly driven by the inclusions.</li>
<li>There is over 1 day of ADV to trade on all stocks with the largest impact on <a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene Ltd (6160 HK)</a> at nearly 4 days of ADV.</li>
<li>Short interest has been increasing on the potential adds as they have run up a lot in the last few months.</li>
</ul>


As of 8 May, we see three potential changes to the iShares China Large-Cap (FXI) (FXI US) at the June rebalance. This is mainly driven by the inclusions.
There is over 1 day of ADV to trade on all stocks with the largest impact on BeiGene Ltd (6160 HK) at nearly 4 days of ADV.
Short interest has been increasing on the potential adds as they have run up a lot in the last few months.


FXI Rebalance Preview: Three Potential Changes in June

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 monthly Hong Kong Connect flows with our data engine.</li>
<li>We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.</li>
<li>We analyzed the Hong Kong Connect Scheme for April and highlight flows for China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent, HKEx.</li>
</ul>


We analyze the monthly Hong Kong Connect flows with our data engine.
We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.
We analyzed the Hong Kong Connect Scheme for April and highlight flows for China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent, HKEx.


Hong Kong Connect Flows Monthly: China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent

<ul>
<li>We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 28th.</li>
<li>The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.</li>
<li>We estimate the inflows to be USD 201m and highlight flows for Meituan, China Construction Bank.</li>
</ul>


We analyze the weekly Hong Kong Connect flows with our data engine for holding position as of April 28th.
The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
We estimate the inflows to be USD 201m and highlight flows for Meituan, China Construction Bank.


Hong Kong Connect Flows (Apr 28th): Meituan, China Construction Bank

<ul>
<li>We analyze the monthly Hong Kong Connect flows with our data engine.</li>
<li>We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.</li>
<li>We highlight inflows into Tencent, Meituan, China Mobile, ICBC, Bilibili, and outflows from CCB, Geely, Sunny Optical.</li>
</ul>


We analyze the monthly Hong Kong Connect flows with our data engine.
We tabulate the top stocks by inflows, outlfows, and holding by mainland investors.
We highlight inflows into Tencent, Meituan, China Mobile, ICBC, Bilibili, and outflows from CCB, Geely, Sunny Optical.


Hong Kong Connect Flows Monthly: 1Y High Inflows in March

Hong Kong

Hong Kong Exchanges & Clearing Limited owns and operates the stock exchange, futures exchange, and their related clearing houses in Hong Kong.  The Company provides the trading platforms for a range of cash and derivatives products and the facilities for processing trades.

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HKEX (388 HK)

HSI Index Rebalance: Yippee! Finally at 80!

The 4 adds get us to 80 members. The next leg up to 100 members should take a few years. 1-way turnover in June is 2.9% resulting in a 1-way trade...

Brian Freitas

FXI Rebalance Preview: Three Potential Changes in June

There could be 3 changes for the FXI in June. Some stocks are close to the add/delete zone, so relative perf needs to be watch. Passive trackers...

Brian Freitas

Hong Kong Connect Flows Monthly: China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent

We analyzed the Hong Kong Connect Scheme for April and highlight flows for China Mobile, SMIC, PetroChina, Sensetime, CNOOC, CCB, Tencent, HKEx.

Ke Yan, CFA, FRM

Hong Kong Connect Flows (Apr 28th): Meituan, China Construction Bank

We analyzed southbound Hong Kong connect flows in the past week and highlight flows for Meituan, China Construction Bank.

Ke Yan, CFA, FRM

Hong Kong Connect Flows Monthly: 1Y High Inflows in March

We analyzed the Hong Kong Connect Scheme for March and highlight flows for Tencent, Meituan, China Mobile, ICBC, Bilibili, CCB, Geely, Sunny Optical.

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)