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>With the review period nearing completion, 6 stocks are in inclusion zone and 8 are in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn (US$1.34bn). Index arb balances could increase the impact on the stocks.</li>
<li>The inflows into mainland China ETFs have further increased the flow and impact on the potential changes. The potential adds have continued to outperform the potential deletes.</li>
</ul>


With the review period nearing completion, 6 stocks are in inclusion zone and 8 are in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn (US$1.34bn). Index arb balances could increase the impact on the stocks.
The inflows into mainland China ETFs have further increased the flow and impact on the potential changes. The potential adds have continued to outperform the potential deletes.


SSE50 Index Rebalance Preview: 5 Changes and US$2.7bn Round-Trip Trade

<ul>
<li>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <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">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

<ul>
<li>Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes and the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index (SSE50 INDEX)</a> over the last few months and could continue to do so as positioning builds up.</li>
</ul>


Completing three-quarters of the review period, 6 stocks are in inclusion zone and 9 in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 6.8% at the June rebalance leading to a one-way trade of CNY 7.35bn (US$1.02bn). Index arb balances could increase the impact on the stocks.
The potential adds have outperformed the potential deletes and the SSE50 Index (SSE50 INDEX) over the last few months and could continue to do so as positioning builds up.


SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

HK/China Equity Long-Short

Osbert Tang, CFA

Equity Bottom-Up

China Energy Engineering / Equity Bottom-Up

<ul>
<li>
<a href="https://www.smartkarma.com/entities/china-energy-engineering-group" target="_blank" data-smartkarma-citation="entities:21017:1" rel="noopener">China Energy Engineering (3996 HK)</a> is a laggard in this round of "China style valuation" rally. With strong earnings and project backlog, there is good room to catch up.</li>
<li>Its 1Q23 earnings growth is ahead of the infrastructure trio, and so as the new contracts signed. Moreover, it has a faster growth in overseas market. </li>
<li>The 3-year EPS CAGR is projected at 16.3%, yet it just trades on 5x PER. Its ROE of 9.4% makes it attractively priced at only 0.4x P/B for FY23.</li>
</ul>



China Energy Engineering (3996 HK) is a laggard in this round of "China style valuation" rally. With strong earnings and project backlog, there is good room to catch up.
Its 1Q23 earnings growth is ahead of the infrastructure trio, and so as the new contracts signed. Moreover, it has a faster growth in overseas market. 
The 3-year EPS CAGR is projected at 16.3%, yet it just trades on 5x PER. Its ROE of 9.4% makes it attractively priced at only 0.4x P/B for FY23.


Energy China (3996 HK): Tempting Risk-Return Payoff

APAC IPOs & Placements, Aequitas Research

Ethan Aw

APAC IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Equity Capital Markets

Horizon Construction Development / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/horizon-construction-development" target="_blank" data-smartkarma-citation="entities:35117:1" rel="noopener">Horizon Construction Development (1887128D HK)</a> is looking to raise US$250m in its upcoming Hong Kong IPO.</li>
<li>HCD is an equipment operation service provider in China. It provides services covering the full cycle of projects.</li>
<li>In our previous note, we looked at the company’s past performance. In this note, we take a look at the company’s refiled PHIP updates.</li>
</ul>



Horizon Construction Development (1887128D HK) is looking to raise US$250m in its upcoming Hong Kong IPO.
HCD is an equipment operation service provider in China. It provides services covering the full cycle of projects.
In our previous note, we looked at the company’s past performance. In this note, we take a look at the company’s refiled PHIP updates.


Horizon Construction Dev Pre-IPO - Refiled PHIP Updates - Affected by COVID-19 & Fueled by More Debt

China

Power Construction Corporation of China, Ltd provides electric utility line construction services. The Company develops and constructs hydropower engineering, water works engineering, thermal power engineering, new energy engineering, and other projects. Power Construction China also operates property development.

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

Power Construction of Chi (601669 CH)

SSE50 Index Rebalance Preview: 5 Changes and US$2.7bn Round-Trip Trade

There could be 5 index changes in June. We estimate a one-way turnover of 7% at the June rebalance leading to a one-way trade of CNY 9.7bn...

Brian Freitas

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

SSE50 Index Rebalance Preview: Financials Staging a Comeback as Expected Trade Tops US$2bn

There could be 5 changes in June as one-way turnover nears 7% and round-trip trade hits US$2bn. 4 of the 5 adds are financials and the potential...

Brian Freitas

Energy China (3996 HK): Tempting Risk-Return Payoff

With stronger earnings growth, better new contract momentum, higher overseas potential and undemanding valuations, Energy China has potential to...

Osbert Tang, CFA

Horizon Construction Dev Pre-IPO - Refiled PHIP Updates - Affected by COVID-19 & Fueled by More Debt

Horizon Construction Development (1887128D HK) is looking to raise US$250m in its upcoming Hong Kong IPO. In this note, we take a look at the...

Ethan Aw

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)