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

Qingdao Haier Biomedical  Lt / Event-Driven

<ul>
<li>Nearly 85% of the way through the review period, we see 2 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.</li>
<li>Given the significantly higher market cap of the inclusions using a 6-month minimum listing history, we expect the index committee will continue to use the shorter listing history requirement.</li>
<li>With 5 changes a side, one-way turnover is estimated at 5.15% and will result in a one-way trade of CNY 3,994m. Impact on some deletions is quite high.</li>
</ul>


Nearly 85% of the way through the review period, we see 2 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
Given the significantly higher market cap of the inclusions using a 6-month minimum listing history, we expect the index committee will continue to use the shorter listing history requirement.
With 5 changes a side, one-way turnover is estimated at 5.15% and will result in a one-way trade of CNY 3,994m. Impact on some deletions is quite high.


STAR50 Index Rebalance Preview: Another Five Potential Changes in March

Zhejiang Longsheng Group Co., / Event-Driven

<ul>
<li>There are 50 changes a side for the CSI 500 Index at the upcoming rebalance that will be implemented at the close of trading on 9 December.</li>
<li>One-Way turnover at the rebalance is estimated at 12.64% leading to a one-way trade of CNY 9.3bn. The Materials, Information Technology and Consumer Discretionary sectors are net gainers.</li>
<li>9 adds to the CSI 500 Index are deletes from the CSI 300 Index while 7 deletes from the CSI 500 Index are adds to the CSI 300 Index.</li>
</ul>


There are 50 changes a side for the CSI 500 Index at the upcoming rebalance that will be implemented at the close of trading on 9 December.
One-Way turnover at the rebalance is estimated at 12.64% leading to a one-way trade of CNY 9.3bn. The Materials, Information Technology and Consumer Discretionary sectors are net gainers.
9 adds to the CSI 500 Index are deletes from the CSI 300 Index while 7 deletes from the CSI 500 Index are adds to the CSI 300 Index.


CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover

Shanghai United Imaging Health / Event-Driven

<ul>
<li>The index committee has continued to use a 6-month minimum listing history leading to five changes 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>All changes are in line with our forecasts and there appears to be some pre-positioning over the last week as the deletes have sold off hard.</li>
<li>One-Way turnover is estimated at 5.34% and will result in a one-way trade of CNY 3,766m. The estimated impact on the deletes is higher than that on the adds.</li>
</ul>


The index committee has continued to use a 6-month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in December.
All changes are in line with our forecasts and there appears to be some pre-positioning over the last week as the deletes have sold off hard.
One-Way turnover is estimated at 5.34% and will result in a one-way trade of CNY 3,766m. The estimated impact on the deletes is higher than that on the adds.


STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week

<ul>
<li>With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.</li>
<li>The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.</li>
<li>The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.</li>
</ul>


With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.
The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.


STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Equity Bottom-Up

<ul>
<li>IRay Masters all the major core technologies. It has a complete technical system of TFT SENSOR design and invention patents in the field of scintillators,setting it apart from domestic peers. </li>
<li>The market where iRay is located has slow growth rate and obvious growth ceiling. The higher the short-term performance growth of iRay, the faster it would encounter a growth bottleneck.</li>
<li>IRay is overvalued. The valuation has already overdrawn the performance of the next few years. Any deceleration in revenue/profit in any given year would lead to a significant valuation correction.</li>
</ul>


IRay Masters all the major core technologies. It has a complete technical system of TFT SENSOR design and invention patents in the field of scintillators,setting it apart from domestic peers. 
The market where iRay is located has slow growth rate and obvious growth ceiling. The higher the short-term performance growth of iRay, the faster it would encounter a growth bottleneck.
IRay is overvalued. The valuation has already overdrawn the performance of the next few years. Any deceleration in revenue/profit in any given year would lead to a significant valuation correction.


IRay Technology (688301.CH) - Overvalued; Performance Deceleration Will Lead to Valuation Correction

China

iRay Technology Company Limited manufactures optical components. The Company produces and sells amorphous silicon flat detectors and other products. iRay Technology markets its products throughout China.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

iRay Technology (688301 CH)

STAR50 Index Rebalance Preview: Another Five Potential Changes in March

There could be 5 changes using a 6-month minimum listing history. One-way turnover will be 5%+ resulting in a one-way trade of CNY4bn. Impact on...

Brian Freitas

CSI 500 Index Rebalance: 50 Changes a Side Leads to 12%+ One-Way Turnover

There are 50 adds/deletes for the index in Dec. One-way turnover is 12.6% leading to a one-way trade of CNY 9bn. There are 16 overlaps between the...

Brian Freitas

STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week

There are 5 changes for the STAR50 in Dec. The changes were forecast; the adds have outperformed the deletes in the last week. Historically, a long...

Brian Freitas

STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

We expect the index committee to continue using a 6-month minimum listing history. That means 5 changes in December. The potential adds have...

Brian Freitas

IRay Technology (688301.CH) - Overvalued; Performance Deceleration Will Lead to Valuation Correction

iRay masters all the major core technologies, but the market where iRay is located has slow growth rate and obvious growth ceiling. Any...

Xinyao (Criss) Wang

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)