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

Sichuan Biokin Pharmaceutical / Event-Driven

<ul>
<li>As expected, the index committee has used a 6-month minimum listing history and that results in one change to the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> in December.</li>
<li>
<a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> will replace <a href="https://www.smartkarma.com/entities/ninebot-ltd" target="_blank" data-smartkarma-citation="entities:32180:1" rel="noopener">Ninebot (689009 CH)</a> in the index at the close on 8 December.</li>
<li>One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. <a href="https://www.smartkarma.com/entities/sichuan-biokin-pharmaceutical-co-ltd" target="_blank" data-smartkarma-citation="entities:40027:1" rel="noopener">Sichuan Biokin Pharmaceutical (688506 CH)</a> has moved up and there will be pre-positioning.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in one change to the SSE STAR50 (STAR50 INDEX) in December.

Sichuan Biokin Pharmaceutical (688506 CH) will replace Ninebot (689009 CH) in the index at the close on 8 December.
One way turnover is estimated at 2.18% and will result in a one-way trade of CNY 3,065m. Sichuan Biokin Pharmaceutical (688506 CH) has moved up and there will be pre-positioning.


STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

Semiconductor Manufacturing International Corporation (SMIC) / Event-Driven

Semiconductor Manufacturing International Corporation (SMIC)

<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 (SSE50 INDEX)</a> that will be implemented at the close on 8 December. There is over 1x ADV to trade on some stocks.</li>
<li>We estimate a one-way turnover of 5.4% at the December rebalance leading to a one-way trade of CNY 4.85bn. Index arb activity could add to the impact on the stocks.</li>
<li>The adds, deletes and <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 (SSE50 INDEX)</a> have moved nearly in lockstep since May and the passive flows could move things around a bit.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) that will be implemented at the close on 8 December. There is over 1x ADV to trade on some stocks.
We estimate a one-way turnover of 5.4% at the December rebalance leading to a one-way trade of CNY 4.85bn. Index arb activity could add to the impact on the stocks.
The adds, deletes and SSE50 Index (SSE50 INDEX) have moved nearly in lockstep since May and the passive flows could move things around a bit.


SSE50 Index Rebalance: Five Changes; Adds & Deletes Moving in Lockstep

Hygon Information Technology C / Event-Driven

<ul>
<li>There are 3 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 8 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology C (688041 CH)</a> will be added to a global index in a week and then there will be multiple index inflows at the close on 8 December.</li>
<li>After underperforming from May to September, the adds have gained ground on the deletes over the last two months and there could be further outperformance over the next two weeks.</li>
</ul>


There are 3 changes for the CES China Semiconductor Chips Index that will be implemented at the close on 8 December.

Hygon Information Technology C (688041 CH) will be added to a global index in a week and then there will be multiple index inflows at the close on 8 December.
After underperforming from May to September, the adds have gained ground on the deletes over the last two months and there could be further outperformance over the next two weeks.


CES China Semiconductor Chips Index Rebalance: Another Inclusion for Hygon

<ul>
<li>With the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> complete, there could be 13 changes for the index.</li>
<li>We estimate one-way turnover of 1.94% at the December rebalance leading to a one-way trade of CNY 6.98bn. There are a lot of stocks with over 1x ADV to trade.</li>
<li>Over the last 6 months, the potential adds and potential deletes have tracked each other and underperformed the index. Positioning has led to outperformance in the last week.</li>
</ul>


With the review period for the December rebalance of the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) complete, there could be 13 changes for the index.
We estimate one-way turnover of 1.94% at the December rebalance leading to a one-way trade of CNY 6.98bn. There are a lot of stocks with over 1x ADV to trade.
Over the last 6 months, the potential adds and potential deletes have tracked each other and underperformed the index. Positioning has led to outperformance in the last week.


CSI300 Index Rebalance Preview: 13 Potential Changes in December

<ul>
<li>With the review period complete, we expect one change for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> in December if the index committee continues to use a 6-month minimum listing history.</li>
<li>With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.</li>
<li>
<a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">SMIC (688981 CH)</a> will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.</li>
</ul>


With the review period complete, we expect one change for the STAR50 INDEX in December if the index committee continues to use a 6-month minimum listing history.
With net inflows to mainland China ETFs over the last few months, passive trackers will need to trade between 9-25 days of ADV on the potential add and delete.

SMIC (688981 CH) will be capped and there will be reverse funding flows on the index constituents. One-way turnover is estimated at 1.8% resulting in a one-way trade of CNY2,580m.


STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

China

Hygon Information Technology Co., Ltd. manufactures and distributes computer components. The Company produces high end processors, deep computing processors, accelerators, calculator chips, and other related products. Hygon Information Technology markets its products worldwide.

Hygon Information Technology C (688041 CH)

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Hygon Information Technology C (688041 CH)

STAR50 Index Rebalance: Big Impact Expected; Inclusion Up 40% in One Month

There is 1 change for the index resulting in 1-way turnover of 2.18% and 1-way trade of CNY3.07bn. The add is up 40% over the last month and there...

Brian Freitas

SSE50 Index Rebalance: Five Changes; Adds & Deletes Moving in Lockstep

There are 5 changes in Dec resulting in 1-way turnover of 5.4% and 1-way trade of CNY 4.85bn. The adds and deletes have moved in lockstep over the...

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Another Inclusion for Hygon

There are 3 changes for the CES China Semiconductor Chips Index in Dec. Hygon gains another index inclusion - one takes place later this month...

Brian Freitas

CSI300 Index Rebalance Preview: 13 Potential Changes in December

There could be 13 changes for the CSI300 in Dec. With an increase in tracking AUM, there are many stocks with over 1x ADV to trade. Adds, deletes...

Brian Freitas

STAR50 Index Rebalance Preview: Big Impact Expected on the Changes

There could be 1 index change in Dec. The ETF inflows over the last few months results in passives needing to trade 9-25x ADV on the add/delete....

Brian Freitas

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52-week Range

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