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>Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.</li>
<li>There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.</li>
<li>The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.</li>
</ul>


Nearing the end of the review period for the December rebalance of the CSI500 Index, we forecast 50 changes (the maximum permitted) at the close on 9 December.
There is a big sector skew in the potential changes. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade of CNY 7.53bn.
The potential adds have outperformed over the last 6 months but have given up some of the gains recently as market turned volatile. Expect outperformance as the review period ends.


CSI500 Index Rebalance Preview: Positioned for Outperformance

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.</li>
<li>Overall, net outflow over the past week was ~US$0.15bn, split between Shanghai (+US$0.05bn) and Shenzhen (-US$0.20bn).</li>
<li>The largest inflows were into <a href="https://www.smartkarma.com/entities/kweichow-moutai-co-ltd-a" target="_blank" data-smartkarma-citation="entities:1553:1" rel="noopener">Kweichow Moutai (600519 CH)</a> and <a href="https://www.smartkarma.com/entities/zhejiang-huayou-cobalt-co-ltd" target="_blank" data-smartkarma-citation="entities:25048:1" rel="noopener">Zhejiang Huayou Cobalt (603799 CH)</a>. The largest outflows were in <a href="https://www.smartkarma.com/entities/longi-green-energy-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:12703:1" rel="noopener">LONGi Green Energy Technology (601012 CH)</a> and <a href="https://www.smartkarma.com/entities/contemporary-amperex-techn-a" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">CATL (300750 CH)</a>.</li>
</ul>


Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.
Overall, net outflow over the past week was ~US$0.15bn, split between Shanghai (+US$0.05bn) and Shenzhen (-US$0.20bn).
The largest inflows were into Kweichow Moutai (600519 CH) and Zhejiang Huayou Cobalt (603799 CH). The largest outflows were in LONGi Green Energy Technology (601012 CH) and CATL (300750 CH).


Shanghai/​​​​​​​​​​​​​​​Shenzhen Northbound Connect: Weekly Moves (7 October 2022)

<ul>
<li>Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.</li>
<li>Overall, net inflow over the past week was ~US$1.1bn, split between Shanghai (+US$0.76bn) and Shenzhen (+US$0.31bn).</li>
<li>The largest inflows were into <a href="https://www.smartkarma.com/entities/kweichow-moutai-co-ltd-a" target="_blank" data-smartkarma-citation="entities:1553:1" rel="noopener">Kweichow Moutai (600519 CH)</a> and Wuliangye (000858 SZ). The largest outflows were in <a href="https://www.smartkarma.com/entities/china-merchants-bank-co-ltd" target="_blank" data-smartkarma-citation="entities:714:1" rel="noopener">China Merchants Bank A (600036 CH)</a> and <a href="https://www.smartkarma.com/entities/sungrow-power-supply-co-ltd" target="_blank" data-smartkarma-citation="entities:4255:1" rel="noopener">Sungrow Power Supply (300274 CH)</a>.</li>
</ul>


Inside is a recap of movements in the last week relating to the Hong Kong Stock Exchange -Shanghai and Shenzhen Northbound Connect facilities, broken down by company and industry.
Overall, net inflow over the past week was ~US$1.1bn, split between Shanghai (+US$0.76bn) and Shenzhen (+US$0.31bn).
The largest inflows were into Kweichow Moutai (600519 CH) and Wuliangye (000858 SZ). The largest outflows were in China Merchants Bank A (600036 CH) and Sungrow Power Supply (300274 CH).


Shanghai/​​​​​​​​​​​​​​Shenzhen Northbound Connect: Weekly Moves (30 September 2022)

Shanghai United Imaging Health / Event-Driven

<ul>
<li>Nearly 90% of the way through the review period, we see 4 changes using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.</li>
<li>There are overlaps in the inclusions using 6/12 month minimum listing history, so there is less risk if the index committee switches from 6 to 12 months at the review.</li>
<li>Using a 6 month minimum listing history, one-way turnover is estimated at 5.07% and will result in a one-way trade of CNY 2,795m.</li>
</ul>


Nearly 90% of the way through the review period, we see 4 changes using a 12 month minimum listing history, and 5 changes using a 6 month minimum listing history.
There are overlaps in the inclusions using 6/12 month minimum listing history, so there is less risk if the index committee switches from 6 to 12 months at the review.
Using a 6 month minimum listing history, one-way turnover is estimated at 5.07% and will result in a one-way trade of CNY 2,795m.


STAR50 Index Rebalance Preview: Four or Five Changes in December

Hoymiles Power Electronics / 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 September.</li>
<li>One-Way turnover is estimated at 4.07% and will result in a one-way trade of CNY 2,265m. Passive trackers will need to trade between 1-5 days ADV on the adds/deletes.</li>
<li>The adds have outperformed the deletes and the CSI500 Index since the end of the review period. We'd look to buy the adds and hedge with CSI500 Index futures.</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 September.
One-Way turnover is estimated at 4.07% and will result in a one-way trade of CNY 2,265m. Passive trackers will need to trade between 1-5 days ADV on the adds/deletes.
The adds have outperformed the deletes and the CSI500 Index since the end of the review period. We'd look to buy the adds and hedge with CSI500 Index futures.


STAR50 Index Rebalance: Adds Continue to Outperform as Changes Are Announced

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.

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iRay Technology (688301 CH)

CSI500 Index Rebalance Preview: Positioned for Outperformance

There could be 50 changes to the index in December. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade...

Brian Freitas

Shanghai/Shenzhen Northbound Connect: Weekly Moves (7 October 2022)

Overall, net outflow over the past week in the HK -Shanghai-Shenzhen Northbound Connect facilities was ~US$0.15bn, split between Shanghai...

David Blennerhassett

Shanghai/Shenzhen Northbound Connect: Weekly Moves (30 September 2022)

Overall, net inflow over the past week in the HK -Shanghai-Shenzhen Northbound Connect facilities was ~US$1.1bn, split between Shanghai...

David Blennerhassett

STAR50 Index Rebalance Preview: Four or Five Changes in December

There could be 4/5 changes if a 12/6 month minimum listing history is used. Using a 6 month minimum listing history, one-way turnover is estimated...

Brian Freitas

STAR50 Index Rebalance: Adds Continue to Outperform as Changes Are Announced

There are 5 changes to the STAR50 in September as the index committee sticks to a 6 month minimum listing history. The adds have outperformed the...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSI500 Index Rebalance Preview: Positioned for Outperformance

There could be 50 changes to the index in December. We estimate a one-way turnover of 13.67% at the December rebalance leading to a one-way trade...

Brian Freitas

Shanghai/​​​​​​​​​​​​​​​Shenzhen Northbound Connect: Weekly Moves (7 October 2022)

Overall, net outflow over the past week in the HK -Shanghai-Shenzhen Northbound Connect facilities was ~US$0.15bn, split between Shanghai...

David Blennerhassett

Shanghai/​​​​​​​​​​​​​​Shenzhen Northbound Connect: Weekly Moves (30 September 2022)

Overall, net inflow over the past week in the HK -Shanghai-Shenzhen Northbound Connect facilities was ~US$1.1bn, split between Shanghai...

David Blennerhassett

STAR50 Index Rebalance Preview: Four or Five Changes in December

There could be 4/5 changes if a 12/6 month minimum listing history is used. Using a 6 month minimum listing history, one-way turnover is estimated...

Brian Freitas

STAR50 Index Rebalance: Adds Continue to Outperform as Changes Are Announced

There are 5 changes to the STAR50 in September as the index committee sticks to a 6 month minimum listing history. The adds have outperformed the...

Brian Freitas

Shanghai/Shenzhen Northbound Connect: Weekly Moves (7 October 2022)

Shanghai/Shenzhen Northbound Connect: Weekly Moves (30 September 2022)