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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

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 STAR 50 (STAR50 INDEX)</a> (short for 'The Science and Technology Innovation Board 50 Index') was first published on 23 July this year. The index is free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market. The STAR50 Index has outperformed its peers and has narrowly underperformed the Chinext Index on a year to date basis.
Four asset managers were approved by the CSRC to launch ETFs on 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 STAR 50 (STAR50 INDEX)</a> and they raised CNY 20bn (CNY 5bn each), the maximum allowed, in one day. Total subscriptions were around CNY 100bn.
With a relatively large AUM benchmarked to a volatile index with volatile stocks, plus a lot of large listings coming through, there will be some interesting moves in stocks at the upcoming December rebalance. The index methodology specifies that there cannot be more than 5 inclusions and exclusions in a single review, and we will hit that number very easily. In the absence of the 5 name change limit, we would have had close to 12 inclusions and exclusions. With the 5 name changes, the one-way turnover will be in excess of 22%.
<a href="https://www.smartkarma.com/entities/ant-financial-services-group" target="_blank" data-smartkarma-citation="entities:24240:1" rel="noopener">Ant Financial (1051260D CH)</a> could be included in the index at the December review. If it is not included in December, then its a sure inclusion in the March 2021 review.

The SSE STAR 50 (STAR50 INDEX) (short for 'The Science and Technology Innovation Board 50 Index') was first published on 23 July this year. The index is free float market cap weighted and is made up of the 50 largest stocks based on full market cap that are listed on the STAR Market. The STAR50 Index has outperformed its peers and has narrowly underperformed the Chinext Index on a year to date basis.
Four asset managers were approved by the CSRC to launch ETFs on the SSE STAR 50 (STAR50 INDEX) and they raised CNY 20bn (CNY 5bn each), the maximum allowed, in one day. Total subscriptions were around CNY 100bn.
With a relatively large AUM benchmarked to a volatile index with volatile stocks, plus a lot of large listings coming through, there will be some interesting moves in stocks at the upcoming December rebalance. The index methodology specifies that there cannot be more than 5 inclusions and exclusions in a single review, and we will hit that number very easily. In the absence of the 5 name change limit, we would have had close to 12 inclusions and exclusions. With the 5 name changes, the one-way turnover will be in excess of 22%.
Ant Financial (1051260D CH) could be included in the index at the December review. If it is not included in December, then its a sure inclusion in the March 2021 review.

STAR Board: STAR50 Index - The December Rebalance Is Going to Be BIG

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

The S&amp;P 500, Nasdaq 100, and Russell 2000 are all holding above their respective short-term support levels and market dynamics remain positive. As a result, our outlook remains bullish and we continue to believe a “buy the dip” mentality is warranted. In today’s report we highlight attractive Groups and stocks within Services, Transportation, &amp; Utilities: Construction &amp; Engineering, Large-Cap, Auctions, Vehicle Rentals/Leasing, Electric, Southwest

The S&amp;P 500, Nasdaq 100, and Russell 2000 are all holding above their respective short-term support levels and market dynamics remain positive. As a result, our outlook remains bullish and we continue to believe a “buy the dip” mentality is warranted. In today’s report we highlight attractive Groups and stocks within Services, Transportation, &amp; Utilities: Construction &amp; Engineering, Large-Cap, Auctions, Vehicle Rentals/Leasing, Electric, Southwest

U. S. Equity Strategy: Upgrading Utilities; Downgrading Communications

In last week’s Compass we posited that the bulls were back in control as the bullish gap from Sept. 28 was left unfilled despite the president and first lady getting COVID-19. With breadth continuing to improve and several cyclical areas of the market breaking out to new highs, our outlook remains bullish and we believe a “buy the dip” mentality is warranted.  In today’s report we highlight attractive Groups and stocks within Materials &amp; Manufacturing: Metals, Steel Integrated, U.S., Specialty Chemicals, Petro/Basic/Commodity, Cement/Aggregates, and Agricultural Equipment.

In last week’s Compass we posited that the bulls were back in control as the bullish gap from Sept. 28 was left unfilled despite the president and first lady getting COVID-19. With breadth continuing to improve and several cyclical areas of the market breaking out to new highs, our outlook remains bullish and we believe a “buy the dip” mentality is warranted.  In today’s report we highlight attractive Groups and stocks within Materials &amp; Manufacturing: Metals, Steel Integrated, U.S., Specialty Chemicals, Petro/Basic/Commodity, Cement/Aggregates, and Agricultural Equipment.

U. S. Equity Strategy: Bullish Outlook Intact; Buy Dips

Chart based progressive global trading strategies, Chart Partners

Thomas Schroeder

Chart based progressive global trading strategies

Chart Partners

Chart Partners objective is to discover medium-term cycle turns and profit opportunities before they unfold, within structural trends while preserving capital with clear degrees of risk. We have real return ideas. 

Markets are dynamic and trading systems must reflect this. It is crucial to determine underlying correlations and lead-lag relationships within global markets and the impact on linked instruments. Our weekly Chartonics product gives you short-term trading strategies that can be applied within the medium and longer term macro trends that are mapped out in our strategy updates. 

Our methodology fuses global market variables and isolates drivers in trends. We specialize in FX, index trade in NY and Asia with a focus on Asian stocks. 

Nasdaq-100 Stock Index / Technical Analysis

Our base case called for tactical short attempt at SPX 3,400 for a fade to buy October weakness. The break above SPX 3,420 hit our stop and reverse trigger to turn long with a focus on buying the DJI and NDX as the trailing long  plays.Global risk is tied to SPX 3,420 holding a downside pressure test this week with fade resistance at 3,500 and must hold support at 3,420. Below 3,420 would reinstate a hedge. We do see tough resistance levels in Europe and Asia and the reluctance to rally in tandem with the US. This questions how long the SPX can stay above 3,420 and makes this level all the more important. Near term we see a short trade in Asia and Europe on the fade from SPX 3,500 but if 3,420 holds a pressure test we need to build long exposure in Asia (Europe we are more bearish outside of the DAX long zone near 12,500).SPX 3,240 and NDX 11,600 key risk pivots and bull/bear lines.

Our base case called for tactical short attempt at SPX 3,400 for a fade to buy October weakness. The break above SPX 3,420 hit our stop and reverse trigger to turn long with a focus on buying the DJI and NDX as the trailing long  plays.Global risk is tied to SPX 3,420 holding a downside pressure test this week with fade resistance at 3,500 and must hold support at 3,420. Below 3,420 would reinstate a hedge. We do see tough resistance levels in Europe and Asia and the reluctance to rally in tandem with the US. This questions how long the SPX can stay above 3,420 and makes this level all the more important. Near term we see a short trade in Asia and Europe on the fade from SPX 3,500 but if 3,420 holds a pressure test we need to build long exposure in Asia (Europe we are more bearish outside of the DAX long zone near 12,500).SPX 3,240 and NDX 11,600 key risk pivots and bull/bear lines.

SPX was primed for a correction from just under 3,400 resistance with a short zone at 3,360-90 (below 3,400) as outlined in the update yesterday and the insight issued on September 29 <a href="https://www.smartkarma.com/insights/spx-and-ndx-trade-levels" target="_blank" data-smartkarma-citation="insights:43699" rel="noopener">SPX and NDX Trade Levels</a> . NDX has outperformed but did back off of key resistance at 11,566 (old highs and top of range). Today's fade below 11,500 sets up pressure to re test 10,900 pivot support.Trump testing positive is simply the catalyst for a cycle that is primed for a cycle down turn.Cycle timeline: Call for a peak within September 29 to October 1st, ahead of a decline cycle into October 19th if not shifting toward early November.Today is set for some fireworks once the US session opens. Watch pivot supports.

SPX was primed for a correction from just under 3,400 resistance with a short zone at 3,360-90 (below 3,400) as outlined in the update yesterday and the insight issued on September 29 SPX and NDX Trade Levels . NDX has outperformed but did back off of key resistance at 11,566 (old highs and top of range). Today's fade below 11,500 sets up pressure to re test 10,900 pivot support.Trump testing positive is simply the catalyst for a cycle that is primed for a cycle down turn.Cycle timeline: Call for a peak within September 29 to October 1st, ahead of a decline cycle into October 19th if not shifting toward early November.Today is set for some fireworks once the US session opens. Watch pivot supports.

SPX Downside Support Today on Trump Test and into Mid October Down Cycle Bet

United States

The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.

Nasdaq-100 Stock Index (NDX INDEX)

STAR Board: STAR50 Index - The December Rebalance Is Going to Be BIG

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Vermilion Research

Risk on Above SPX 3,420/NDX 11,600

Our base case called for tactical short attempt at SPX 3,400 for a fade to buy October weakness. The break above SPX 3,420 hit our stop and reverse...

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SPX Downside Support Today on Trump Test and into Mid October Down Cycle Bet

SPX was primed for a correction from just under 3,400 resistance with a short zone at 3,360-90 (below 3,400). NDX has outperformed but did back off...

Thomas Schroeder