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>As expected, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a> replaces <a href="https://www.smartkarma.com/entities/country-garden-services-holdin" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services (6098 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> at the close on 1 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene (6160 HK)</a> fails the Velocity Test and misses inclusion, while an increase in <a href="https://www.smartkarma.com/entities/zhongsheng-group-holdings" target="_blank" data-smartkarma-citation="entities:10573:1" rel="noopener">Zhongsheng Group (881 HK)</a>'s float keeps it in the index.</li>
<li>Using prices from the close on 18 August, estimated one-way turnover is 2.78% leading to a one-way trade of HK$1.73bn (US$221m).</li>
</ul>


As expected, Trip.com Group (9961 HK) replaces Country Garden Services (6098 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) at the close on 1 September.

BeiGene (6160 HK) fails the Velocity Test and misses inclusion, while an increase in Zhongsheng Group (881 HK)'s float keeps it in the index.
Using prices from the close on 18 August, estimated one-way turnover is 2.78% leading to a one-way trade of HK$1.73bn (US$221m).


HSCEI Index Rebalance: Trip.com (9961 HK) Replaces CG Services (6098 HK)

Asia biased macro & technical analysis, Untying The Gordian Knot

Untying The Gordian Knot

Asia biased macro & technical analysis

A differentiated process with a primary focus on Asia. Technical Analysis as core and Macro drivers that could bring the view to fruition & changes that could make the idea fall apart. The objective is to be the best in class, hence corner shop.

Macroeconomics

<ul>
<li>The People's Bank of China (PBOC) has been draining liquidity through reverse repo while the Chinese Yuan (CNY) fixing has been notably stronger than anticipated.</li>
<li>It could be attributed to various factors, such as: A significant drop in the manufacturing Purchasing Managers' Index (PMI)</li>
<li>Weaker PMI sub-indices, including export orders and employment</li>
</ul>


The People's Bank of China (PBOC) has been draining liquidity through reverse repo while the Chinese Yuan (CNY) fixing has been notably stronger than anticipated.
It could be attributed to various factors, such as: A significant drop in the manufacturing Purchasing Managers' Index (PMI)
Weaker PMI sub-indices, including export orders and employment


Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>All the APAC markets we cover (Nifty50, HSI, Nikkei225, Kospi200, S&amp;P/ASX200) are pulling back and some of them have been doing so for 3 weeks.</li>
<li>In this insight we want to offer a re-cap of all the MRM support levels and probabilities for the APAC markets above, after the August 16th Close.</li>
<li>Check our previously published single-market insights for deeper analysis and related investment ideas: <a href="https://www.smartkarma.com/insights/eqd-nifty-index-weekly-correction-may-be-ending" target="_blank" rel="noopener">Nifty50</a>, <a href="https://www.smartkarma.com/insights/eqd-hang-seng-index-hsi-weekly-long-support-levels-and-probability" target="_blank" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/insights/eqd-nikkei-225-nky-monthly-trajectories" target="_blank" rel="noopener">Nikkei225</a>, <a href="https://www.smartkarma.com/insights/eqd-kospi-200-index-weekly-trend-analysis" target="_blank" rel="noopener">Kospi200</a>, S&amp;P/ASX200.</li>
</ul>


All the APAC markets we cover (Nifty50, HSI, Nikkei225, Kospi200, S&amp;P/ASX200) are pulling back and some of them have been doing so for 3 weeks.
In this insight we want to offer a re-cap of all the MRM support levels and probabilities for the APAC markets above, after the August 16th Close.
Check our previously published single-market insights for deeper analysis and related investment ideas: Nifty50, HSI, Nikkei225, Kospi200, S&amp;P/ASX200.


APAC WEEKLY Monitor: Current MRM Supports and Probabilities Re-Cap

<ul>
<li>
<a href="https://www.smartkarma.com/entities/country-garden-services-holdings-company-limited" target="_blank" data-smartkarma-citation="entities:27343:1" rel="noopener">Country Garden Services Holdings (6098 HK)</a> and <a href="https://www.smartkarma.com/entities/zhongsheng-group-holdings" target="_blank" data-smartkarma-citation="entities:10573:1" rel="noopener">Zhongsheng Group (881 HK)</a> are high probability deletions in September, while <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com (9961 HK)</a> is a high probability inclusion.</li>
<li>The second add could be <a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene Ltd (6160 HK)</a> if it passes the velocity test. If not, <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> will be added.</li>
<li>With the exception of <a href="https://www.smartkarma.com/entities/zhongsheng-group-holdings" target="_blank" data-smartkarma-citation="entities:10573:1" rel="noopener">Zhongsheng Group (881 HK)</a>, short interest has been rising on all the other stocks and could affect how the stocks trade close to implementation date.</li>
</ul>



Country Garden Services Holdings (6098 HK) and Zhongsheng Group (881 HK) are high probability deletions in September, while Trip.com (9961 HK) is a high probability inclusion.
The second add could be BeiGene Ltd (6160 HK) if it passes the velocity test. If not, Chow Tai Fook Jewellery (1929 HK) will be added.
With the exception of Zhongsheng Group (881 HK), short interest has been rising on all the other stocks and could affect how the stocks trade close to implementation date.


HSCEI Index Rebalance Preview: Deletions Fairly Certain; Uncertainty Among the Adds

<ul>
<li>The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.</li>
<li>We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.</li>
<li>Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.</li>
</ul>


The 2023 multi-month rally in APAC markets started roughly in autumn 2022, in sync with the US market rally, then stalled when the US market began to pull back.
We propose an analysis of the S&amp;P500 MONTHLY, to find support levels to be used as a proxy for predicting APAC bloc's markets supports.
Main forecast: August/September could be down, but the current MRM pattern reading is bullish - the correction (currently at Q2 supports) should not last beyond end of September.


EQD | SPX MONTHLY Proxy Supports for APAC Markets

Hong Kong

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

Hang Seng Index (HSI INDEX)

HSCEI Index Rebalance: Trip.com (9961 HK) Replaces CG Services (6098 HK)

As expected, Trip.com replaces CG Services in the HSCEI. Beigene fails liquidity and Zhongsheng's float increases. Float and capping changes result...

Brian Freitas

China News Headline Not Discounted

The People's Bank of China (PBOC) has been draining liquidity through reverse repo while the Chinese Yuan (CNY) fixing has been notably stronger...

Untying The Gordian Knot

APAC WEEKLY Monitor: Current MRM Supports and Probabilities Re-Cap

A re-cap/monitor of all the MRM WEEKLY support levels and probabilities of trend reversal for the APAC markets we cover (Nifty50, HSI, Nikkei 225,...

Nico Rosti

HSCEI Index Rebalance Preview: Deletions Fairly Certain; Uncertainty Among the Adds

The two potential adds have outperformed the two potential deletes by 42% since end May and by 52% since end June. Shorts have jumped on Beigene...

Brian Freitas

EQD | SPX MONTHLY Proxy Supports for APAC Markets

We propose an analysis of the SP500 MONTHLY, to find MRM support levels to be used as a proxy to predict APAC markets MONTHLY supports.

Nico Rosti