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 a few weeks to the end of the review period, we see 30 potential changes (the maximum allowed at a review) to the index in June.</li>
<li>Most of the changes are high probability ones. We estimate a one-way turnover of 4.48% at the June rebalance leading to a one-way trade of CNY 7.86bn.</li>
<li>The potential inclusions have outperformed the potential deletions over the last couple of months. There could be more to go here as positions are built in the next few weeks.</li>
</ul>


With a few weeks to the end of the review period, we see 30 potential changes (the maximum allowed at a review) to the index in June.
Most of the changes are high probability ones. We estimate a one-way turnover of 4.48% at the June rebalance leading to a one-way trade of CNY 7.86bn.
The potential inclusions have outperformed the potential deletions over the last couple of months. There could be more to go here as positions are built in the next few weeks.


CSI300 Index Rebalance Preview (June): Maxing Out the 30 Changes

<ul>
<li>Nearly midway through the review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a>, we see 29 potential changes to the index.</li>
<li>There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.</li>
<li>The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.</li>
</ul>


Nearly midway through the review period for the June rebalance of the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX), we see 29 potential changes to the index.
There are a lot of high and medium probability changes that could result in a one-way turnover of 4.2% and a one-way trade of CNY 10.17bn at the June rebalance.
The potential inclusions have underperformed the potential deletions by c.15% over the last month and this provides a good entry point into a long short/trade.


CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Contemporary Amperex Technology (CATL) / Event-Driven

<div><p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that are actively traded as well.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>The review period ended on 29 October and we see 26 potential changes at the December rebalance. Of these, 23 are high probability changes with another 3 likely to take place.</p>
<p>Since our last Insight a month ago, the potential inclusions have outperformed the potential deletion by 13% with the inclusions rising on average and the deletions dropping on average. The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> was flat over the period. We recommend trimming positions and waiting for an opportunity to re-enter the trade at lower levels in the next couple of weeks.</p>
</div>

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that are actively traded as well.
China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
The review period ended on 29 October and we see 26 potential changes at the December rebalance. Of these, 23 are high probability changes with another 3 likely to take place.
Since our last Insight a month ago, the potential inclusions have outperformed the potential deletion by 13% with the inclusions rising on average and the deletions dropping on average. The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) was flat over the period. We recommend trimming positions and waiting for an opportunity to re-enter the trade at lower levels in the next couple of weeks.


CSI300 Index Rebalance Preview (Dec 2021): It Was A Good Entry Point

<div><p>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.</p></div><div>
<p>China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.</p>
<p>With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.</p>
<p>The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.</p>
</div>

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.
China Securities Index Co (CSI) will most likely announce the changes for the December rebalance after market close on 26 November and the changes will be effective after the close of trading on 10 December.
With over 90% of the review period complete, we see 26 potential changes at the upcoming December 2021 review. Estimated one-way turnover at the rebalance is 9.30% and will result in a one-way trade of slightly less than US$3bn.
The potential inclusions have outperformed the potential exclusions over the last 3 months but have given up a large part of the gains over the last couple of weeks. Given the trading history of past rebalances, we recommend buying the potential inclusions and selling the potential exclusions over the next couple of weeks and unwinding the positions post the end of the review period. There will then be more trading opportunities as we near the announcement date and implementation date.


CSI300 Index Rebalance Preview (Dec 2021): Pullback Provides Entry Point

Equity Analyst, LightStream Research

Oshadhi Kumarasiri

Equity Analyst

Long-Short Analysis on Japan, Asia and the World

LightStream Research

LightStream conducts quantitatively rigorous and data-driven analysis with a focus on Japan and Asia.

We consistently cover the Tech, Consumer and Industrial sectors, and provide ECM and Events coverage more broadly.

We supplement traditional qualitative insights from company relationships with a robust quantitative foundation that examines as much historical data as is available.
We further refine the accuracy of our insights and calls through the use of alternative data to flesh out current trends, and through a valuation framework that emphasises non-superficial peer group selection and a proper attempt to understand the metrics and changes that have driven security valuations in the past.

Quantitative Analysis

<p>The spread of COVID-19, one of the greatest risks to humankind, has forced governments to enforce strict social distancing measures and lock down cities and countries. Businesses across many industries have been shut due to this crisis, as various areas such as travel, tourism, and international trade have been severely disrupted.</p>
<p>On 14<sup>th</sup> April 2020, the International Monetary Fund (IMF) reported that all the G7 nations had already entered or were entering into a recession. There are reasons to believe the ongoing recession is likely to be worse and more long-lasting than the 2007-2009 recession. The COVID-19- related health crisis is still underway, and it could take years to develop a vaccine. We believe that it is impossible for economics to predict an end to this recession until countries contain the COVID-19 health crisis. Recessions are detrimental to most companies, and they are deadly for some companies. Therefore, in these uncertain times it is rather important to rank the companies based on their bankruptcy risk.</p>
<p>In this insight we try to develop a screening system to identify the potential bankruptcy candidates and the most resilient companies.</p>

The spread of COVID-19, one of the greatest risks to humankind, has forced governments to enforce strict social distancing measures and lock down cities and countries. Businesses across many industries have been shut due to this crisis, as various areas such as travel, tourism, and international trade have been severely disrupted.
On 14th April 2020, the International Monetary Fund (IMF) reported that all the G7 nations had already entered or were entering into a recession. There are reasons to believe the ongoing recession is likely to be worse and more long-lasting than the 2007-2009 recession. The COVID-19- related health crisis is still underway, and it could take years to develop a vaccine. We believe that it is impossible for economics to predict an end to this recession until countries contain the COVID-19 health crisis. Recessions are detrimental to most companies, and they are deadly for some companies. Therefore, in these uncertain times it is rather important to rank the companies based on their bankruptcy risk.
In this insight we try to develop a screening system to identify the potential bankruptcy candidates and the most resilient companies.

Fragility and Resilience Screening System

China

Qinghai Salt Lake Industry Co.,Ltd manufactures and markets fertilizer products. The Company produces potash fertilizers, potassium chloride, and other products. Qinghai Salt Lake Industry also produces salts, chemicals, and other products.

Price Gauge
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Qinghai Salt Lake Industry (000792 CH)

CSI300 Index Rebalance Preview (June): Maxing Out the 30 Changes

We estimate 30 changes at the June rebalance with a one-way turnover of 4.48% leading to a one-way trade of CNY 7.86bn. The potential adds have...

Brian Freitas

CSI300 Index Rebalance Preview (June 2022): Changes Near the Midway Mark

Nearly midway through the review period for the June rebalance of the CSI300 index, we see 29 potential changes resulting in a one-way turnover of...

Brian Freitas

CSI300 Index Rebalance Preview (Dec 2021): It Was A Good Entry Point

We forecast 26 changes to the CSI300 Index at the December rebalance. The inclusions outperformed the deletions by 13% in October. Trim positions...

Brian Freitas

CSI300 Index Rebalance Preview (Dec 2021): Pullback Provides Entry Point

With 90% of the review period complete, we see 26 changes to the CSI300 at the Dec rebal. One-way turnover is 9.3% and the one-way trade is US$3bn....

Brian Freitas

Fragility and Resilience Screening System

The spread of COVID-19, one of the greatest risks to humankind, has forced governments to enforce strict social distancing measures and lock down...

Oshadhi Kumarasiri

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)