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 March rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSIII indices will use today's closing prices to cap the index constituent weights at 8%/12%. This will lead to large flows.</li>
<li>
<a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a>, <a href="https://www.smartkarma.com/entities/meituan" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> and <a href="https://www.smartkarma.com/entities/tongcheng-travel-holdings-ltd" target="_blank" data-smartkarma-citation="entities:27363:1" rel="noopener">Tongcheng Travel (780 HK)</a> are the biggest buys while <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a>, <a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK)</a>,  <a href="https://www.smartkarma.com/entities/hsbc-holdings-plc" target="_blank" data-smartkarma-citation="entities:516:1" rel="noopener">HSBC (5 HK)</a> are the biggest sells.</li>
<li>The round-trip trade across all stocks across the four indices is estimated at HK$16.16bn (US$2.06bn).</li>
</ul>


The March rebalance of the HSI, HSCEI, HSTECH and HSIII indices will use today's closing prices to cap the index constituent weights at 8%/12%. This will lead to large flows.

Tencent (700 HK), Meituan (3690 HK) and Tongcheng Travel (780 HK) are the biggest buys while Alibaba (9988 HK), Li Auto (2015 HK),  HSBC (5 HK) are the biggest sells.
The round-trip trade across all stocks across the four indices is estimated at HK$16.16bn (US$2.06bn).


HSI, HSCEI, HSTECH, HSIII: Rebalance Flows Post Capping (Mar 2024)

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 weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 23rd.</li>
<li>We estimate the weekly inflows to be US$1,986.7 million, led by financials, consumer staples, industrials sectors, and offset by information technology, communication services.</li>
<li>We highlight flows for Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye, Agricultural Bank Of China, Inner Mongolia Yili Industrial, Wuxi Apptec.</li>
</ul>


We analyze the weekly Shanghai/Shenzhen northbound Connect flows with our data engine for holding position as of February 23rd.
We estimate the weekly inflows to be US$1,986.7 million, led by financials, consumer staples, industrials sectors, and offset by information technology, communication services.
We highlight flows for Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye, Agricultural Bank Of China, Inner Mongolia Yili Industrial, Wuxi Apptec.


Northbound Flows (Feb 23rd): Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of Feb 16th.</li>
<li>Top short increases and decreases were tabulated for one week and four week period. </li>
<li>We highlight short changes in Boc Aviation, and Link Reit.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of Feb 16th.
Top short increases and decreases were tabulated for one week and four week period. 
We highlight short changes in Boc Aviation, and Link Reit.


HK Short Interest Weekly: Boc Aviation, Link Reit

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</li>
<li>Last week saw NORTHBOUND net BUY RMB 10.7bn of A-shares on strong average activity after RMB +16.1bn, +9.9bn and +12.1bn the three weeks before. More National Team buying this week.</li>
<li>Five of the top ten buys among liquid NORTHBOUND stocks were finance. Again. Info Tech saw net selling. Again. People trading long gamma now instead of short gamma.</li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net BUY RMB 10.7bn of A-shares on strong average activity after RMB +16.1bn, +9.9bn and +12.1bn the three weeks before. More National Team buying this week.
Five of the top ten buys among liquid NORTHBOUND stocks were finance. Again. Info Tech saw net selling. Again. People trading long gamma now instead of short gamma.


Mainland Connect NORTHBOUND Flows (To 23 Feb 2024): Foreigners Buy, Natl Team Buys; Retail Sells

<ul>
<li>We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 129.8% as of Feb 9th.</li>
<li>The average A-H premium changed by 6.2ppt week-on-week, led by health care, materials, real estate and offset by consumer discretionary, communication services.</li>
<li>We highlight weekly changes in A-H premium for Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold, RemeGen, CICC, Shanghai Junshi.</li>
</ul>


We analyse the changes of A-H premium on 146 stocks over the last week. The average A-H premium was 129.8% as of Feb 9th.
The average A-H premium changed by 6.2ppt week-on-week, led by health care, materials, real estate and offset by consumer discretionary, communication services.
We highlight weekly changes in A-H premium for Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold, RemeGen, CICC, Shanghai Junshi.


A-H Premium Weekly (Feb 9th): Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold

China

China Construction Bank Corporation provides a comprehensive range of commercial banking products and services to individuals and corporate customers. The Bank's business consists of three principal business segments: corporate banking, personal banking, and treasury operations. China Construction Bank also services infrastructure loans, residential mortgage, and bank cards.

Agricultural Bank of China Limited provides a full range of commercial banking services. The Banks services includes RMB and foreign currency deposit, loan, international and domestic settlement, bill discount, currency trading, bank guarantee, and treasury bill underwriting.

China Merchants Bank Co., Ltd. operates as a commercial bank. The Company provides deposits, loans, wealth management, asset custody, finance leasing, investment banking, and other banking services. China Merchants Bank conducts businesses domestically and internationally.

Postal Savings Bank of China Co., Ltd. provides banking services. The Company offers deposits, loans, fund settlement, and other services. Postal Savings Bank of China provides its services to individuals, enterprises, and other clients.

Bank of Communications Co.,Ltd. provides banking services. The Company offers deposits, loans, domestic settlement, currency trading, and other services. Bank of Communications provides its services to individuals, enterprises, and other clients.

Bank of China Limited provides banking services. The Company offers deposits, loans, foreign currency transaction, fund settlement, and other services. Bank of China provides its services to individuals, enterprises, and other clients.

China Construction Bank Corporation provides banking services. The Company offers deposits, loans, fund management, foreign exchange, and other services. China Construction Bank provides its services to individuals, enterprises, and other clients.

Postal Savings Bank of China C (601658 CH)

Ping An Bank Co Ltd provides a full range of commercial banking services including RMB and foreign currency deposit, loan, international and domestic settlement, discount, currency trading, letter of credit, bank guarantee, and other related services.

Shanghai Pudong Development Bank Co., Ltd. provides banking services. The Company provides loans, deposits, accounts settlement, foreign exchange, and other services. Shanghai Pudong Development Bank provides its services to individuals, companies, and other groups.

Shanghai Pudong Development Bank Co. (600000 CH)

Commonwealth Bank of Australia provides banking, life insurance, and related services for individuals, small businesses and medium sized commercial enterprises. The Bank provides corporate and general banking, international financing, institutional banking and stock broking and funds management such as superannuation product.

National Australia Bank Limited is an international banking group which operates in Australia, New Zealand, Europe, Asia and the United States.  The Group offers banking services, credit and access card facilities, leasing, housing and general finance, international and investment banking, wealth and funds management, life insurance and custodian, trustee and nominee services.

DBS Group Holdings Limited and its subsidiaries provide a variety of financial services.  The Company offers services including mortgage financing, lease and hire purchase financing, nominee and trustee, funds management, corporate advisory and brokerage .  DBS Group also acts as the primary dealer in Singapore government securities.

State Bank of India provides a wide range of banking and financial services to corporate, institutional, commercial, agricultural, industrial and individual customers throughout India.  The Bank also provides international banking to its Indian customers and has operations in other countries.

Sumitomo Mitsui Financial Group, Inc. manages financial operations for its subsidiaries. The Company provides commercial banking and a variety of financial services.

Sumitomo Mitsui Financial Group (8316 JP)

Mitsubishi UFJ Financial Group, Inc. (MUFG) is a holding company established through the merger of Mitsubishi Tokyo Financial Group and UFJ Holdings. As a financial group, the Company provides a variety of financial and investment services including commercial banking, trust banking, international finance, and assets management services.

Mitsubishi UFJ Financial (MUFG) (8306 JP)

Mizuho Financial Group, Inc. provides comprehensive financial services through its subsidiaries. The Group provides variety of financial services such as general banking, securities brokerage, trust banking, and assets management.

Wells Fargo & Company is a diversified financial services company providing banking, insurance, investments, mortgage, leasing, credit cards, and consumer finance.  The Company operates through physical stores, the Internet and other distribution channels across North America and elsewhere internationally.

PNC Financial Services Group, Inc. is a diversified financial services organization.  The Company provides regional banking, wholesale banking, and asset management services nationally and in the Company's primary regional markets.

Bank of America Corporation accepts deposits and offers banking, investing, asset management, and other financial and risk-management products and services.  The Company has a mortgage lending subsidiary, and an investment banking and securities brokerage subsidiary.

Industrial and Commercial Bank of China Ltd provides a broad range of personal and corporate commercial banking services all over China.  The Bank's businesses include deposit, loan, credit card, fund underwriting and trust, and foreign currency settlement and trading.

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Ind & Comm Bk Of China (A) (601398 CH)

HSI, HSCEI, HSTECH, HSIII: Rebalance Flows Post Capping (Mar 2024)

Tencent (700 HK), Meituan (3690 HK) and Tongcheng Travel (780 HK) are the biggest buys while Alibaba (9988 HK), Li Auto (2015 HK), HSBC (5 HK) are...

Brian Freitas

Northbound Flows (Feb 23rd): Moutai, CATL, Ping An Insurance, CMB, Industrial Bank, ICBC, Wuliangye

We analyzed northbound Shanghai/Shenzhen connect flows in the past week and highlight flows for Moutai, CATL, Ping An Insurance, CMB, Industrial...

Ke Yan, CFA, FRM

HK Short Interest Weekly: Boc Aviation, Link Reit

We analyzed the latest HK SFC report for aggregate short position as of Feb 16th and highlight short interest changes in Boc Aviation, Link Reit.

Ke Yan, CFA, FRM

Mainland Connect NORTHBOUND Flows (To 23 Feb 2024): Foreigners Buy, Natl Team Buys; Retail Sells

NORTHBOUND was a net buy 4 weeks in a row (assuming the Chinese New Year and the week after were "1 week"). Felt like an allocation week. Retail...

Travis Lundy

A-H Premium Weekly (Feb 9th): Zijin Mining, Conch Cement, China Vanke, Air China, Shandong Gold

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Zijin Mining, Conch Cement, China Vanke, Air China, Shandong...

Ke Yan, CFA, FRM

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