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>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being 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</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</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>, <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</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

Semiconductor Manufacturing International Corporation (SMIC) / Event-Driven

Semiconductor Manufacturing International Corporation (SMIC)

<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 (SSE50 INDEX)</a> that will be implemented at the close on 8 December. There is over 1x ADV to trade on some stocks.</li>
<li>We estimate a one-way turnover of 5.4% at the December rebalance leading to a one-way trade of CNY 4.85bn. Index arb activity could add to the impact on the stocks.</li>
<li>The adds, deletes and <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> have moved nearly in lockstep since May and the passive flows could move things around a bit.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) that will be implemented at the close on 8 December. There is over 1x ADV to trade on some stocks.
We estimate a one-way turnover of 5.4% at the December rebalance leading to a one-way trade of CNY 4.85bn. Index arb activity could add to the impact on the stocks.
The adds, deletes and SSE50 Index (SSE50 INDEX) have moved nearly in lockstep since May and the passive flows could move things around a bit.


SSE50 Index Rebalance: Five Changes; Adds & Deletes Moving in Lockstep

<ul>
<li>Wednesday will be a busy day as positions are put on and unwound following announcement of the changes to the MSC indices.</li>
<li>Friday will end the review cutoff for the ASX indices and Hang Seng Indexes will announce the December changes for the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> and HSCI post market close.</li>
<li>Another week of large outflows for China focused ETFs with redemptions across all the major indices.</li>
</ul>


Wednesday will be a busy day as positions are put on and unwound following announcement of the changes to the MSC indices.
Friday will end the review cutoff for the ASX indices and Hang Seng Indexes will announce the December changes for the HSI, HSCEI, HSTECH and HSCI post market close.
Another week of large outflows for China focused ETFs with redemptions across all the major indices.


Index Rebalance & ETF Flow Recap: SSE50, Chinext/50, Renesas, Tencent, Amman Mineral

Hygon Information Technology C / Event-Driven

<ul>
<li>With the review period complete, we see 9 stocks in inclusion zone and 10 in deletion zone. However, there can be a maximum of 5 changes at a review.</li>
<li>We estimate a one-way turnover of 4.7% at the December rebalance leading to a one-way trade of CNY 3.86bn. Index arb balances could increase the impact on the stocks.</li>
<li>Apart from being added to 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>, <a href="https://www.smartkarma.com/entities/hygon-information-technology-c" target="_blank" data-smartkarma-citation="entities:36366:1" rel="noopener">Hygon Information Technology (688041 CH)</a> could also be added to other local/global indices over the next few weeks and months.</li>
</ul>


With the review period complete, we see 9 stocks in inclusion zone and 10 in deletion zone. However, there can be a maximum of 5 changes at a review.
We estimate a one-way turnover of 4.7% at the December rebalance leading to a one-way trade of CNY 3.86bn. Index arb balances could increase the impact on the stocks.
Apart from being added to the SSE50 Index, Hygon Information Technology (688041 CH) could also be added to other local/global indices over the next few weeks and months.


SSE50 Index Rebalance Preview: Five Potential Changes; Hygon Stands Out

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Equity Bottom-Up

Shanghai Fosun Pharmaceutical (Group) / Equity Bottom-Up

<ul>
<li>Due to IPO policy adjustment on SSE STAR Market, investment/financing for innovative drugs should continue to deteriorate.But the positive side is the innovative drug industry is emerging from the bottom.</li>
<li>For the three hot fields in pharmaceutical industry (BsAb, ADC, CGT), we analyze their position and pecking order, which should be ADC &gt; BsAb &gt; CGT at the current stage.</li>
<li>To better understand the investment logic of <a href="https://www.smartkarma.com/entities/shanghai-fosun-pharmaceutical-group" target="_blank" data-smartkarma-citation="entities:8045:1" rel="noopener">Fosun Pharmaceutical</a>, it is necessary to fully understand the ecosystem/operational model of Fosun Group. Fosun Pharma's role is just a "chess piece".</li>
</ul>


Due to IPO policy adjustment on SSE STAR Market, investment/financing for innovative drugs should continue to deteriorate.But the positive side is the innovative drug industry is emerging from the bottom.
For the three hot fields in pharmaceutical industry (BsAb, ADC, CGT), we analyze their position and pecking order, which should be ADC &gt; BsAb &gt; CGT at the current stage.
To better understand the investment logic of Fosun Pharmaceutical, it is necessary to fully understand the ecosystem/operational model of Fosun Group. Fosun Pharma's role is just a "chess piece".


China Healthcare Weekly (Oct.13) - Deteriorating Financing Environment, ADC>BsAb>CGT, Fosun Pharma

China

Shanghai Fosun Pharmaceutical (Group) Co., Ltd. is a pharmaceutical company. Through its subsidiaries, the Company manufactures genetic medicines, Chinese traditional medicines, diagnostic products, and medical instruments, provides technology, marketing, and advertising services, as well as invests in import and export trading.

Shanghai Fosun Pharmaceutical (Group) (600196 CH)

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Shanghai Fosun Pharmaceutical (Group) (600196 CH)

Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

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: Five Changes; Adds & Deletes Moving in Lockstep

There are 5 changes in Dec resulting in 1-way turnover of 5.4% and 1-way trade of CNY 4.85bn. The adds and deletes have moved in lockstep over the...

Brian Freitas

Index Rebalance & ETF Flow Recap: SSE50, Chinext/50, Renesas, Tencent, Amman Mineral

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: Five Potential Changes; Hygon Stands Out

There should be 5 index changes in Dec. Hygon has been outperforming with inflows from multiple passive inflows expected in the next month. Adds...

Brian Freitas

China Healthcare Weekly (Oct.13) - Deteriorating Financing Environment, ADC>BsAb>CGT, Fosun Pharma

IPO policy change will worsen financing environment, putting PEVC in difficult position.For pharmaceutical hot field, the pecking order is...

Xinyao (Criss) Wang

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52-week Range

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