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

Index Rebalance

<ul>
<li>There could be one change for the CNI Semiconductor Chips Index with <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor (688249 CH)</a> replacing <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai (688099 CH)</a> in June.</li>
<li>Passive trackers are estimated to buy 1.4x ADV in <a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor</a> and sell 0.8x ADV in <a href="https://www.smartkarma.com/entities/amlogic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:30340:1" rel="noopener">Amlogic Shanghai</a>. There will be buying in <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC)</a> due to capping.</li>
<li>The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.</li>
</ul>


There could be one change for the CNI Semiconductor Chips Index with Nexchip Semiconductor (688249 CH) replacing Amlogic Shanghai (688099 CH) in June.
Passive trackers are estimated to buy 1.4x ADV in Nexchip Semiconductor and sell 0.8x ADV in Amlogic Shanghai. There will be buying in Semiconductor Manufacturing International Corporation (SMIC) due to capping.
The forecast add and delete have performed in line since the start of the year but there has been a move higher in the last few weeks.


CNI Semiconductor Chips Index Rebalance Preview: One Change in June

<ul>
<li>CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.</li>
<li>There are 3 changes for the index, and we estimate one-way turnover of 1.7% resulting in a round-trip trade of CNY 570m (US$79m).</li>
<li>
<a href="https://www.smartkarma.com/entities/nexchip-semiconductor-corp" target="_blank" data-smartkarma-citation="entities:40390:1" rel="noopener">Nexchip Semiconductor (688249 CH)</a> and <a href="https://www.smartkarma.com/entities/united-nova-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:40389:1" rel="noopener">United Nova Technology (688469 CH)</a> are adds to other indices as well and the impact on the stocks will be a lot higher.</li>
</ul>


CSI announced the changes for the December rebalance after market close on 29 November and the changes will be effective after the close of trading on 13 December.
There are 3 changes for the index, and we estimate one-way turnover of 1.7% resulting in a round-trip trade of CNY 570m (US$79m).

Nexchip Semiconductor (688249 CH) and United Nova Technology (688469 CH) are adds to other indices as well and the impact on the stocks will be a lot higher.


CES China Semiconductor Chips Index Rebalance: Multiple Index Inclusions for the Adds

<ul>
<li>There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 December.</li>
<li>Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.3x ADV in the stocks.</li>
<li>There will be selling in <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-in" target="_blank" data-smartkarma-citation="entities:31062:1" rel="noopener">Semiconductor Manufacturing International Corporation (SMIC) (688981 CH)</a> to cap the stock at 10% of the index weight.</li>
</ul>


There could be three changes for the CES China Semiconductor Chips Index at the close of trading on 13 December.
Based on the assets tracking the index, passive trackers will need to trade between 0.1-0.3x ADV in the stocks.
There will be selling in Semiconductor Manufacturing International Corporation (SMIC) (688981 CH) to cap the stock at 10% of the index weight.


CES China Semiconductor Chips Index Rebalance Preview: Three Changes in December

Event-Driven

<ul>
<li>There could be up to 10 adds/ 29 deletes for the China global index in February. The actual number of changes will be smaller depending on the review date chosen.</li>
<li>The flow on the forecast adds varies from US$17.5m-US$175m (0.05x-15x ADV) while the flow on the forecast deletes varies from US$14.4m-US$100.4m (0.25x-22.75x ADV).</li>
<li>
<a href="https://www.smartkarma.com/entities/bestechnic-shanghai-co-ltd" target="_blank" data-smartkarma-citation="entities:33459:1" rel="noopener">Bestechnic Shanghai (688608 CH)</a> is a potential inclusion to multiple indices in June and there will be much larger passive flows to the stock then.</li>
</ul>


There could be up to 10 adds/ 29 deletes for the China global index in February. The actual number of changes will be smaller depending on the review date chosen.
The flow on the forecast adds varies from US$17.5m-US$175m (0.05x-15x ADV) while the flow on the forecast deletes varies from US$14.4m-US$100.4m (0.25x-22.75x ADV).

Bestechnic Shanghai (688608 CH) is a potential inclusion to multiple indices in June and there will be much larger passive flows to the stock then.


China/HK: Passive Activity Expected Later This Month

United Nova Technology   / Index Rebalance

<ul>
<li>Following a methodology change in mid-November for the CSI All Share Semiconductor Index, there are 7 adds and 29 deletes for the index in December.</li>
<li>Estimated one-way turnover at the rebalance is 6% leading to a round-trip trade of CNY 3.15bn (US$435m).</li>
<li>The adds outperformed the deletes bigly in the first 2 weeks of November. Some of those gains have been given back but a new uptrend seems to be taking shape.</li>
</ul>


Following a methodology change in mid-November for the CSI All Share Semiconductor Index, there are 7 adds and 29 deletes for the index in December.
Estimated one-way turnover at the rebalance is 6% leading to a round-trip trade of CNY 3.15bn (US$435m).
The adds outperformed the deletes bigly in the first 2 weeks of November. Some of those gains have been given back but a new uptrend seems to be taking shape.


CSI All Share Semiconductor Index Rebalance: Methodology Change Leads to 7 Adds, 29 Deletes

China

Nexchip Semiconductor Corporation operates integrated circuit production business. The Company manufactures 12 inch wafers and other products. Nexchip Semiconductor markets its products throughout China.

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Nexchip Semiconductor (688249 CH)

CNI Semiconductor Chips Index Rebalance Preview: One Change in June

Nexchip Semi could replace Amlogic Shanghai in the index. Passive trackers will need to buy 1.4x ADV in the add and sell 0.8x ADV in the delete....

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Multiple Index Inclusions for the Adds

There are 3 changes for the index in December. Couple of the adds have multiple index inclusions and more potential inclusions to come over the...

Brian Freitas

CES China Semiconductor Chips Index Rebalance Preview: Three Changes in December

There could be 3 changes in Dec with passives needing to trade 0.-0.3x ADV in the stocks. SMIC will be capped at 10% of the index weight. Some...

Brian Freitas

China/HK: Passive Activity Expected Later This Month

There could be up to 10 adds/29 deletes for China in Feb. Flow varies from US$14m-175m and impact from 0.05x-22.75x ADV. Bestechnic Shanghai is a...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CNI Semiconductor Chips Index Rebalance Preview: One Change in June

Nexchip Semi could replace Amlogic Shanghai in the index. Passive trackers will need to buy 1.4x ADV in the add and sell 0.8x ADV in the delete....

Brian Freitas

CES China Semiconductor Chips Index Rebalance: Multiple Index Inclusions for the Adds

There are 3 changes for the index in December. Couple of the adds have multiple index inclusions and more potential inclusions to come over the...

Brian Freitas

CES China Semiconductor Chips Index Rebalance Preview: Three Changes in December

There could be 3 changes in Dec with passives needing to trade 0.-0.3x ADV in the stocks. SMIC will be capped at 10% of the index weight. Some...

Brian Freitas

China/HK: Passive Activity Expected Later This Month

There could be up to 10 adds/29 deletes for China in Feb. Flow varies from US$14m-175m and impact from 0.05x-22.75x ADV. Bestechnic Shanghai is a...

Brian Freitas

CSI All Share Semiconductor Index Rebalance: Methodology Change Leads to 7 Adds, 29 Deletes

There are 7 adds, 29 deletes in Dec. Estimated one-way turnover is 6% leading to a round-trip trade of US$435m. There are same way flows from other...

Brian Freitas