Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li><em>The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.</em></li>
<li>SOUTHBOUND inflow strong but SOEs not leading. Hang Seng down again, A-shares down more. Bank buying minimal. </li>
<li>AH Premia fell 30bp on average. 1% for Liquid names. HK vs A-shares saw an even wider spread (the opposite of last week). SUPER-tight AH premia saw best H outperformance.</li>
</ul>


The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
SOUTHBOUND inflow strong but SOEs not leading. Hang Seng down again, A-shares down more. Bank buying minimal. 
AH Premia fell 30bp on average. 1% for Liquid names. HK vs A-shares saw an even wider spread (the opposite of last week). SUPER-tight AH premia saw best H outperformance.


A/H Premium Tracker (To 26 Jul 2024): SB Bought, NB Sold, HK/China Markets Weak, Spreads Volatile

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

<ul>
<li>We see 37 potential adds (including plenty of new listings) and 25 potential deletes (on market cap and liquidity) for the Hang Seng Composite Index in September.</li>
<li>We expect 32 stocks to be added to Southbound Stock Connect following the rebalance while 24 stocks could be deleted from the trading link and become Sell-only.</li>
<li>There are stocks that have a very high percentage of holdings via Stock Connect and there could be some unwinding prior to the stocks becoming Sell-only.</li>
</ul>


We see 37 potential adds (including plenty of new listings) and 25 potential deletes (on market cap and liquidity) for the Hang Seng Composite Index in September.
We expect 32 stocks to be added to Southbound Stock Connect following the rebalance while 24 stocks could be deleted from the trading link and become Sell-only.
There are stocks that have a very high percentage of holdings via Stock Connect and there could be some unwinding prior to the stocks becoming Sell-only.


HSCI Index Rebalance Preview and Stock Connect: Potential Changes in September

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 analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 103.3% as of Jun 21st.</li>
<li>The average A-H premium changed by -1.5ppt week-on-week, led by real estate, communication services, consumer staples and offset by utilities, information technology.</li>
<li>We highlight weekly changes in A-H premium for China Tourism, Shenhua, China Telecom, CNOOC, Hua Hong Semi, YOFC, Huadian.</li>
</ul>


We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 103.3% as of Jun 21st.
The average A-H premium changed by -1.5ppt week-on-week, led by real estate, communication services, consumer staples and offset by utilities, information technology.
We highlight weekly changes in A-H premium for China Tourism, Shenhua, China Telecom, CNOOC, Hua Hong Semi, YOFC, Huadian.


A-H Premium Weekly (Jun 21st): China Tourism, Shenhua, China Telecom, CNOOC, Hua Hong Semi, YOFC

<ul>
<li>We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 105.3% as of Jun 14th.</li>
<li>The average A-H premium changed by 1.6ppt week-on-week, led by consumer discretionary, information technology, financials and offset by consumer staples, utilities, real estate.</li>
<li>We highlight weekly changes in A-H premium for  China Tourism, CGN Power, Huadian Power, Hua Hong Semi, Huaneng Power.</li>
</ul>


We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 105.3% as of Jun 14th.
The average A-H premium changed by 1.6ppt week-on-week, led by consumer discretionary, information technology, financials and offset by consumer staples, utilities, real estate.
We highlight weekly changes in A-H premium for  China Tourism, CGN Power, Huadian Power, Hua Hong Semi, Huaneng Power.


A-H Premium Weekly (Jun 14th): China Tourism, CGN Power, Huadian Power, Hua Hong Semi, Huaneng Power

<ul>
<li>There are 12 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index (SHSZ300 INDEX)</a> and 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index (SH000905 INDEX)</a> in June. Most changes were expected.</li>
<li>There are a lot of stocks with over 1 day of ADV to trade. The round-trip trade in June is estimated to be US$5bn.</li>
<li>The adds have outperformed the deletes for both indices but the return profile of a long adds/ short deletes trade for the CSI500 Index is a lot smoother.</li>
</ul>


There are 12 changes for the CSI 300 Index (SHSZ300 INDEX) and 50 changes for the CSI Smallcap 500 Index (SH000905 INDEX) in June. Most changes were expected.
There are a lot of stocks with over 1 day of ADV to trade. The round-trip trade in June is estimated to be US$5bn.
The adds have outperformed the deletes for both indices but the return profile of a long adds/ short deletes trade for the CSI500 Index is a lot smoother.


CSI300/CSI500 Index Rebalance: Big Flows and US$5bn Round-Trip Trade

China

Huadian Power International Corporation Limited generates and sells electricity which is all fed into the Shandong Provincial Grid operated by Shandong Electric Power (Group) Corporation (SEPCO), the immediate holding company of the Company.  The Company also sells heat.

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Huadian Power Intl Corp A (600027 CH)

A/H Premium Tracker (To 26 Jul 2024): SB Bought, NB Sold, HK/China Markets Weak, Spreads Volatile

Spreads were volatile this past week. The narrowest AH Premia saw significant H outperformance while the wider spreads saw much more muted...

Travis Lundy

HSCI Index Rebalance Preview and Stock Connect: Potential Changes in September

There could be nearly 80 adds/deletes for the HSCI in September. That will trigger changes to the Southbound Stock Connect list and increase flows...

Brian Freitas

A-H Premium Weekly (Jun 21st): China Tourism, Shenhua, China Telecom, CNOOC, Hua Hong Semi, YOFC

We analyzed A-H premium changes in the past week and highlight A-H premium changes for China Tourism, Shenhua, China Telecom, CNOOC, Hua Hong Semi,...

Ke Yan, CFA, FRM

A-H Premium Weekly (Jun 14th): China Tourism, CGN Power, Huadian Power, Hua Hong Semi, Huaneng Power

We analyzed A-H premium changes in the past week and highlight A-H premium changes for China Tourism, CGN Power, Huadian Power, Hua Hong Semi,...

Ke Yan, CFA, FRM

CSI300/CSI500 Index Rebalance: Big Flows and US$5bn Round-Trip Trade

The CSI300/CSI500 indices rebalance at the close tomorrow. Since announcement, the inclusions to the CSI300 index have outperformed the deletes by...

Brian Freitas

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