Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 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> and <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868 HK)</a> replace <a href="https://www.smartkarma.com/entities/autohome-inc" target="_blank" data-smartkarma-citation="entities:33492:1" rel="noopener">Autohome (2518 HK)</a>, <a href="https://www.smartkarma.com/entities/weimob-inc" target="_blank" data-smartkarma-citation="entities:27394:1" rel="noopener">Weimob Inc. (2013 HK)</a> and <a href="https://www.smartkarma.com/entities/tongcheng-elong-holdings-ltd" target="_blank" data-smartkarma-citation="entities:27363:1" rel="noopener">Tongcheng-Elong Holdings Ltd (780 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH INDEX</a>. </li>
<li>A few changes have been made from the way stocks are treated to ensure the inclusion of <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> and <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868 HK)</a> in the index.</li>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> has been included at a much higher float than what it should be and this could take the stock higher in the next couple of weeks.</li>
</ul>



SenseTime Group (20 HK), Li Auto (2015 HK) and XPeng (9868 HK) replace Autohome (2518 HK), Weimob Inc. (2013 HK) and Tongcheng-Elong Holdings Ltd (780 HK) in the HSTECH INDEX. 
A few changes have been made from the way stocks are treated to ensure the inclusion of Li Auto (2015 HK) and XPeng (9868 HK) in the index.

SenseTime Group (20 HK) has been included at a much higher float than what it should be and this could take the stock higher in the next couple of weeks.


Hang Seng TECH Index Rebalance: Forced Changes Lead to BIG Turnover

<ul>
<li>The review period for the March review of the HSCI ended on 31 December. There are a lot of new listings that should be included in the index.</li>
<li>SenseTime is a high probability inclusion to the index, though it will only be added to Stock Connect in July once it completes 6 months and 20 trading days.</li>
<li>Xpeng and Li Auto will be added to Stock Connect in Feb/March if they pass the velocity test. We see Li Auto as failing the test, while Xpeng is close.</li>
</ul>


The review period for the March review of the HSCI ended on 31 December. There are a lot of new listings that should be included in the index.
SenseTime is a high probability inclusion to the index, though it will only be added to Stock Connect in July once it completes 6 months and 20 trading days.
Xpeng and Li Auto will be added to Stock Connect in Feb/March if they pass the velocity test. We see Li Auto as failing the test, while Xpeng is close.


HSCI Index Rebalance and Stock Connect: Plenty of New Listings Should Be Included

<ul>
<li>The review period for the March rebalance of the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a> ended on 31 December. The changes will be announced on 18 February and implemented on 4 March.</li>
<li>
<a href="https://www.smartkarma.com/entities/xinyi-solar-holdings-ltd" target="_blank" data-smartkarma-citation="entities:318:1" rel="noopener">Xinyi Solar Holdings (968 HK)</a> is a potential inclusion, replacing <a href="https://www.smartkarma.com/entities/evergrande-property-services" target="_blank" data-smartkarma-citation="entities:30921:1" rel="noopener">Evergrande Property Services (6666 HK)</a> though both names are very close to the cutoffs.</li>
<li>Changes in the free-float adjustment factors could result in no change to the index, while there is an outside chance of <a href="https://www.smartkarma.com/entities/bilibili-inc-83a27302-cd7d-4e6a-a1de-bcf93eb022c3" target="_blank" data-smartkarma-citation="entities:32215:1" rel="noopener">Bilibili (9626 HK)</a> being included in the index.</li>
</ul>


The review period for the March rebalance of the Hang Seng China Enterprises Index ended on 31 December. The changes will be announced on 18 February and implemented on 4 March.

Xinyi Solar Holdings (968 HK) is a potential inclusion, replacing Evergrande Property Services (6666 HK) though both names are very close to the cutoffs.
Changes in the free-float adjustment factors could result in no change to the index, while there is an outside chance of Bilibili (9626 HK) being included in the index.


HSCEI Index Rebalance Preview (March 2022): One Potential Change with Caveats

China Specialist, Auto and Industrial Specialist

Victoria Li

Equity Bottom-Up

<ul>
<li>We used to be negative on Li Auto due to its heavily rely on single REEV model and poor new model plan</li>
<li>Recently, the management had said that Li Auto would start developing BEV models and speed up its new model launch.</li>
<li>It’s uncertain how competitive the new BEV model could be when it comes in 2H2023. However it is time to put this stock into the watch list now.</li>
</ul>


We used to be negative on Li Auto due to its heavily rely on single REEV model and poor new model plan
Recently, the management had said that Li Auto would start developing BEV models and speed up its new model launch.
It’s uncertain how competitive the new BEV model could be when it comes in 2H2023. However it is time to put this stock into the watch list now.


Li Auto (LI.US):Getting into the Right Lane

Hang Seng China Enterprises Index / Event-Driven

<ul>
<li>With the 2021 futures expiring in 2 weeks, the focus now shifts to the HSCEI dividend futures expiring in 2022 where we see a fair value of 240.76 DIPS.</li>
<li>The current market is trading very close to our fair value for 2022 but there are a lot of potential catalysts that could result in a big move lower.</li>
<li>There are fewer catalysts for the 2022 futures to move higher. The regulatory changes in China plus the HFCAA could lead to the 2023 futures trading cheaper to 2022.</li>
</ul>


With the 2021 futures expiring in 2 weeks, the focus now shifts to the HSCEI dividend futures expiring in 2022 where we see a fair value of 240.76 DIPS.
The current market is trading very close to our fair value for 2022 but there are a lot of potential catalysts that could result in a big move lower.
There are fewer catalysts for the 2022 futures to move higher. The regulatory changes in China plus the HFCAA could lead to the 2023 futures trading cheaper to 2022.


HSCEI Dividend Futures: 2022 Close to Fair; Sell 22/23 Steepener

China

Li Auto Inc. manufactures automobiles. The Company designs, develops, and sells smart new energy electric sport utility vehicles. Li Auto conducts businesses in China.

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Li Auto (2015 HK)

Hang Seng TECH Index Rebalance: Forced Changes Lead to BIG Turnover

SenseTime, Li Auto and XPeng will join the HSTECH Index, replacing Tongcheng Travel, Weimob and Autohome. We estimate passive trackers will need to...

Brian Freitas

HSCI Index Rebalance and Stock Connect: Plenty of New Listings Should Be Included

There could be up to 34 adds and 22 deletes for the HSCI in March based on market cap, liquidity and prolonged suspensions. A lot of new listings,...

Brian Freitas

HSCEI Index Rebalance Preview (March 2022): One Potential Change with Caveats

Xinyi Solar could replace Evergrande Property Services in the HSCEI at the March rebalance. Changes in the FAF for the stocks could either mean no...

Brian Freitas

Li Auto (LI.US):Getting into the Right Lane

We used to be negative on Li Auto due to its heavily rely on single REEV model and poor new model plan. Recently, the management had said that Li...

Victoria Li

HSCEI Dividend Futures: 2022 Close to Fair; Sell 22/23 Steepener

The HSCEI 2022 dividend futures are trading close to fair but there are a lot more negative catalysts that will have a bigger impact than positive...

Brian Freitas

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