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

Quantitative Analysis

<ul>
<li>Short notional in Hong Kong is HK$439bn and has been falling over the last 18 months due to a drop in the market.</li>
<li>In terms of short notional to issue market cap, the Information Technology, Materials, Health Care and Consumer Discretionary sectors are up there, with Communication Services, Real Estate the least shorted.</li>
<li>Over the year, the largest shorts in terms of notional have been built on Xiaomi Corp, Meituan, JD.com, AIA Group Ltd, Postal Savings Bank of China, Orient Overseas, Techtronic Industries.</li>
</ul>


Short notional in Hong Kong is HK$439bn and has been falling over the last 18 months due to a drop in the market.
In terms of short notional to issue market cap, the Information Technology, Materials, Health Care and Consumer Discretionary sectors are up there, with Communication Services, Real Estate the least shorted.
Over the year, the largest shorts in terms of notional have been built on Xiaomi Corp, Meituan, JD.com, AIA Group Ltd, Postal Savings Bank of China, Orient Overseas, Techtronic Industries.


Hong Kong: Where Have Shorts Been Building Up?

Event-Driven

<ul>
<li>The inclusion of <a href="https://www.smartkarma.com/entities/china-shenhua-energy-co-h" target="_blank" data-smartkarma-citation="entities:382:1" rel="noopener">China Shenhua Energy Co H (1088 HK)</a>, <a href="https://www.smartkarma.com/entities/chow-tai-fook-jewellery-group" target="_blank" data-smartkarma-citation="entities:549:1" rel="noopener">Chow Tai Fook Jewellery (1929 HK)</a>, <a href="https://www.smartkarma.com/entities/hansoh-pharmaceutical-group" target="_blank" data-smartkarma-citation="entities:23675:1" rel="noopener">Hansoh Pharmaceutical (3692 HK)</a> and <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a> takes us to 73 index constituents.</li>
<li>Changes to the stocks, number of shares, float and capping result in an estimated one-way turnover of 5.09% and will result in a one-way trade of HK$10,562m.</li>
<li>There are large shorts on <a href="https://www.smartkarma.com/entities/chow-tai-fook-jewellery-group" target="_blank" data-smartkarma-citation="entities:549:1" rel="noopener">Chow Tai Fook Jewellery (1929 HK)</a> and <a href="https://www.smartkarma.com/entities/hansoh-pharmaceutical-group" target="_blank" data-smartkarma-citation="entities:23675:1" rel="noopener">Hansoh Pharmaceutical (3692 HK)</a> and there could be some short covering from now to implementation.</li>
</ul>


The inclusion of China Shenhua Energy Co H (1088 HK), Chow Tai Fook Jewellery (1929 HK), Hansoh Pharmaceutical (3692 HK) and Baidu (9888 HK) takes us to 73 index constituents.
Changes to the stocks, number of shares, float and capping result in an estimated one-way turnover of 5.09% and will result in a one-way trade of HK$10,562m.
There are large shorts on Chow Tai Fook Jewellery (1929 HK) and Hansoh Pharmaceutical (3692 HK) and there could be some short covering from now to implementation.


HSI Index Rebalance: Another Small Step Towards 80 Members, But BIG Impact

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.

<ul>
<li>We analyze the weekly Hong Kong Connect flows with our data engine for connect holding position as of Aug 12th.</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 highlight weekly inflows into Tencent, China Mobile and outflows from Meituan and Kuaishou.</li>
</ul>


We analyze the weekly Hong Kong Connect flows with our data engine for connect holding position as of Aug 12th.
The top stocks by inflows and outflows were tabulated for all market, HSCEI, mid cap and s/mid cap groups.
We highlight weekly inflows into Tencent, China Mobile and outflows from Meituan and Kuaishou.


Hong Kong Connect Flows: Tencent, China Mobile, Meituan and Kuaishou

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of Jul 29th. </li>
<li>Top short increases and decreases were tabulated for one week and four week period. </li>
<li>We highlight short interest changes in Kuaishou, Alibaba, Cifi, and Netease.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of Jul 29th. 
Top short increases and decreases were tabulated for one week and four week period. 
We highlight short interest changes in Kuaishou, Alibaba, Cifi, and Netease.


HK Short Interest: Kuaishou, Alibaba, Cifi, Netease

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> stock has been crushed following the lock-up expiry at the end of June with the stock now trading 40% below the IPO price.</li>
<li>The company has recently bought back stock providing some support. More importantly, <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> was included in Southbound Stock Connect on 29 July.</li>
<li>We expect a big increase in the free float adjustment factor (FAF) in the Hang Seng Indexes at the September rebalance that will provide some much needed passive inflows.</li>
</ul>



SenseTime Group (20 HK) stock has been crushed following the lock-up expiry at the end of June with the stock now trading 40% below the IPO price.
The company has recently bought back stock providing some support. More importantly, SenseTime Group (20 HK) was included in Southbound Stock Connect on 29 July.
We expect a big increase in the free float adjustment factor (FAF) in the Hang Seng Indexes at the September rebalance that will provide some much needed passive inflows.


SenseTime (20 HK): Lock-Up Expiry Done; Stock Connect Done; Passive Inflows Next

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)

Hong Kong: Where Have Shorts Been Building Up?

Short notional in HK has decreased as a result of falling prices. Shorts have been increasing on a lot of stocks over the year. A rally could see...

Brian Freitas

HSI Index Rebalance: Another Small Step Towards 80 Members, But BIG Impact

There are 4 adds to the index in September - China Shenhua, Chow Tai Fook, Baidu & Hansoh Pharma. There will be big impact on some of the stocks...

Brian Freitas

Hong Kong Connect Flows: Tencent, China Mobile, Meituan and Kuaishou

We highlight weekly southbound Hong Kong Connect inflows into Tencent, China Mobile and outflows from Meituan and Kuaishou.

Ke Yan, CFA, FRM

HK Short Interest: Kuaishou, Alibaba, Cifi, Netease

We highlight week on week short interest changes in Kuaishou, Alibaba, Cifi, and Netease based on the latest HK SFC Short Aggregate report.

Ke Yan, CFA, FRM

SenseTime (20 HK): Lock-Up Expiry Done; Stock Connect Done; Passive Inflows Next

SenseTime is -40% from its IPO price following lock-up expiry. The company has bought back some stock and is now in Stock Connect. FAF increase in...

Brian Freitas

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