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

Shanghai Pudong Development Bank Co. / Event-Driven

<ul>
<li>There are 5 changes for 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</a> that will be implemented at the close on 9 June. The impact is pretty chunky on a few deletions.</li>
<li>Apart from the passive assets tracking the index, there are some liquid index futures and the impact on the stocks will be larger than just the headline numbers.</li>
<li>The adds underperformed the deletes in March and April but have come roaring back in May. Playing the trade via long/short pairs could provide better risk adjusted returns.</li>
</ul>


There are 5 changes for the SSE50 Index that will be implemented at the close on 9 June. The impact is pretty chunky on a few deletions.
Apart from the passive assets tracking the index, there are some liquid index futures and the impact on the stocks will be larger than just the headline numbers.
The adds underperformed the deletes in March and April but have come roaring back in May. Playing the trade via long/short pairs could provide better risk adjusted returns.


SSE50 Index Rebalance: Some Large Impact Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/china-mobile" target="_blank" data-smartkarma-citation="entities:35371:1" rel="noopener">China Mobile (600941 CH)</a> listed on 5 January after raising CNY 56bn in its A-share IPO. The stock could get Fast Entry to the CSI300, SSE50 and SSE180 indices.</li>
<li>Stocks will be deleted from these indices to maintain the number of index constituents. <a href="https://www.smartkarma.com/entities/jonjee-high-tech-industrial-and-commercial-holding-co-ltd" target="_blank" data-smartkarma-citation="entities:14622:1" rel="noopener">Jonjee High-Tech</a> could be deleted from the CSI300 and <a href="https://www.smartkarma.com/entities/shandong-gold-mining-co-ltd" target="_blank" data-smartkarma-citation="entities:12908:1" rel="noopener">Shandong Gold Mining</a> from the SSE50.</li>
<li>
<a href="https://www.smartkarma.com/entities/china-mobile" target="_blank" data-smartkarma-citation="entities:35371:1" rel="noopener">China Mobile (600941 CH)</a> trades at a 41.7% premium to <a href="https://www.smartkarma.com/entities/china-mobile-ltd" target="_blank" data-smartkarma-citation="entities:27:1" rel="noopener">China Mobile (941 HK)</a>, substantially lower than the 89% premium for <a href="https://www.smartkarma.com/entities/china-telecom-corp-ltd" target="_blank" data-smartkarma-citation="entities:34045:1" rel="noopener">China Telecom (601728 CH)</a>/<a href="https://www.smartkarma.com/entities/china-telecom-corp-ltd-h" target="_blank" data-smartkarma-citation="entities:1015:1" rel="noopener">China Telecom (H) (728 HK)</a>. </li>
</ul>



China Mobile (600941 CH) listed on 5 January after raising CNY 56bn in its A-share IPO. The stock could get Fast Entry to the CSI300, SSE50 and SSE180 indices.
Stocks will be deleted from these indices to maintain the number of index constituents. Jonjee High-Tech could be deleted from the CSI300 and Shandong Gold Mining from the SSE50.

China Mobile (600941 CH) trades at a 41.7% premium to China Mobile (941 HK), substantially lower than the 89% premium for China Telecom (601728 CH)/China Telecom (H) (728 HK). 


China Mobile (600941 CH): Potential Index Fast Entry

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

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.

Quantitative Analysis

<ul>
<li>We analyse the changes of A/H premium on 134 stocks over the last week.</li>
<li>Consumer discretionary, consumer staple and health care sectors lower the overall A/H premium. </li>
<li>Real estate and industrials sectors are the only two sectors with WoW A/H premium increases.</li>
</ul>


We analyse the changes of A/H premium on 134 stocks over the last week.
Consumer discretionary, consumer staple and health care sectors lower the overall A/H premium. 
Real estate and industrials sectors are the only two sectors with WoW A/H premium increases.


A/H Premium Weekly: Consumer and Health Care Lowered A/H Premium

<ul>
<li>We analyse the changes of A/H premium on 134 stocks over the last week. </li>
<li>The sector with the biggest A/H premium increase was Health Care (ΔA/H premium=+8.1ppt).  The average A/H premium of the the Health Care sector was also at 52 week high. </li>
<li>This is due to the A/H premia of many Health Care stocks at 52 week high: Wuxi Apptec, Tigermed, Pharmaron, Hepalink, and the increase of A/H for Join Lab, Haohai. </li>
</ul>


We analyse the changes of A/H premium on 134 stocks over the last week. 
The sector with the biggest A/H premium increase was Health Care (ΔA/H premium=+8.1ppt).  The average A/H premium of the the Health Care sector was also at 52 week high. 
This is due to the A/H premia of many Health Care stocks at 52 week high: Wuxi Apptec, Tigermed, Pharmaron, Hepalink, and the increase of A/H for Join Lab, Haohai. 


A/H Premium Weekly: Health Care A/H Premium at 52W High

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

<div>
<p>Back on the 18th October, gold miner <a href="https://www.smartkarma.com/entities/ramelius-resources-ltd" target="_blank" data-smartkarma-citation="entities:5968:1" rel="noopener">Ramelius Resources (RMS AU)</a> made a <a href="https://cdn-api.markitdigital.com/apiman-gateway/ASX/asx-research/1.0/file/2924-02436827-6A1056350?access_token=83ff96335c2d45a094df02a206a39ff4" target="_blank" rel="noopener">recommended takeover offer</a> for <a href="https://www.smartkarma.com/entities/apollo-consolidated-ltd" target="_blank" data-smartkarma-citation="entities:10021:1" rel="noopener">Apollo Consolidated (AOP AU)</a>, by way of cash and scrip, at A$0.56/share, a 27% premium to Apollo's 3-day VWAP. Apollo shareholders would receive 0.1375 Ramelius shares plus cash of $0.34 for every Apollo share held, in a roughly 39%/61% scrip/cash split. The Offer had the unanimous backing of Apollo's board, and Apollo directors holding 13.7% of shares out would tender their shares into the Offer. The Offer was conditional on 90% minimum acceptance by Apollo shareholders.</p>
</div>
<div>
<p>This looked like a done deal.</p>
<p>Then on the 21 October <a href="https://www.smartkarma.com/entities/gold-road-resources-ltd" target="_blank" data-smartkarma-citation="entities:6698:1" rel="noopener">Gold Road Resources (GOR AU)</a> made an unconditional off-market all-cash Offer  - <a href="https://cdn-api.markitdigital.com/apiman-gateway/ASX/asx-research/1.0/file/2924-02438747-6A1057185?access_token=83ff96335c2d45a094df02a206a39ff4" target="_blank" rel="noopener">at A$0.56/share</a>. Gold Road, holding 19.9% at the time of the announcement, also stood in the market at $0.56/share. </p>
<p>Yesterday, Ramelius bumped its Offer to <a href="https://cdn-api.markitdigital.com/apiman-gateway/ASX/asx-research/1.0/file/2924-02445673-2A1335292?access_token=83ff96335c2d45a094df02a206a39ff4" target="_blank" rel="noopener">A$0.62/share</a> comprising $0.34/share in cash plus 0.1778 Ramelius shares for Apollo shares. Ramelius also secured binding agreements to acquire a 19.9% shareholding in Apollo from Apollo’s board and Apollo’s second-largest shareholder.</p>
<p>The Bidder's Statement has been <a href="https://cdn-api.markitdigital.com/apiman-gateway/ASX/asx-research/1.0/file/2924-02446051-6A1060474?access_token=83ff96335c2d45a094df02a206a39ff4" target="_blank" rel="noopener">dispatched</a>, with a first closing date is on the 3 December. </p>
<p>The Offer is unconditional.</p>
<p>More below the fold.</p>
</div>


Back on the 18th October, gold miner Ramelius Resources (RMS AU) made a recommended takeover offer for Apollo Consolidated (AOP AU), by way of cash and scrip, at A$0.56/share, a 27% premium to Apollo's 3-day VWAP. Apollo shareholders would receive 0.1375 Ramelius shares plus cash of $0.34 for every Apollo share held, in a roughly 39%/61% scrip/cash split. The Offer had the unanimous backing of Apollo's board, and Apollo directors holding 13.7% of shares out would tender their shares into the Offer. The Offer was conditional on 90% minimum acceptance by Apollo shareholders.


This looked like a done deal.
Then on the 21 October Gold Road Resources (GOR AU) made an unconditional off-market all-cash Offer  - at A$0.56/share. Gold Road, holding 19.9% at the time of the announcement, also stood in the market at $0.56/share. 
Yesterday, Ramelius bumped its Offer to A$0.62/share comprising $0.34/share in cash plus 0.1778 Ramelius shares for Apollo shares. Ramelius also secured binding agreements to acquire a 19.9% shareholding in Apollo from Apollo’s board and Apollo’s second-largest shareholder.
The Bidder's Statement has been dispatched, with a first closing date is on the 3 December. 
The Offer is unconditional.
More below the fold.


Apollo (AOP AU)'s Shares Trading Through Ramelius' Revised Offer

China

Shandong Gold Mining Co., Ltd. operates gold mining and production businesses. The Company provides gold exploration, processing, and outsourcing gold smelting services. Shandong Gold Mining also conducts gold jewelry purification and non-ferrous metal production businesses.

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Shandong Gold Mining (1787 HK)

SSE50 Index Rebalance: Some Large Impact Changes

There are 5 changes to the SSE50 Index in June that will have one-way turnover estimated at 3.95% and will result in a one-way trade of CNY 3,187m....

Brian Freitas

China Mobile (600941 CH): Potential Index Fast Entry

China Mobile listed on the SSE on 5 Jan after raising CNY 56bn. Based on the index methodology, the stock should get Fast Entry to the CSI300,...

Brian Freitas

A/H Premium Weekly: Consumer and Health Care Lowered A/H Premium

We highlight that the consumer discretionary, consumer staple and health care sectors are the biggest driver for lower A/H premium WoW.

Ke Yan, CFA, FRM

A/H Premium Weekly: Health Care A/H Premium at 52W High

We highlight that A/H premium of Health Care sector at 52 week high due to rumor of entity list inclusion, this is due to A/H premia of many...

Ke Yan, CFA, FRM

Apollo (AOP AU)'s Shares Trading Through Ramelius' Revised Offer

I think Gold Road may reload - but the Ramelius' Offer price is already a 91.5% premium to the six-month undisturbed VWAP. I question how much...

David Blennerhassett

Price Gauge

52-week Range

Market Cap (USDm)

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