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 United Imaging Health / Event-Driven

<ul>
<li>The index committee has continued to use a 6-month minimum listing history leading to five changes to the <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">SSE STAR50 (STAR50 INDEX)</a> in December.</li>
<li>All changes are in line with our forecasts and there appears to be some pre-positioning over the last week as the deletes have sold off hard.</li>
<li>One-Way turnover is estimated at 5.34% and will result in a one-way trade of CNY 3,766m. The estimated impact on the deletes is higher than that on the adds.</li>
</ul>


The index committee has continued to use a 6-month minimum listing history leading to five changes to the SSE STAR50 (STAR50 INDEX) in December.
All changes are in line with our forecasts and there appears to be some pre-positioning over the last week as the deletes have sold off hard.
One-Way turnover is estimated at 5.34% and will result in a one-way trade of CNY 3,766m. The estimated impact on the deletes is higher than that on the adds.


STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week

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 142 stocks over the last week. The average A-H premium was 128.4% as of Nov 11th.</li>
<li>The average A-H premium changed by -4.7ppt weeok on week, led by financials, materials, information technology and offset by real estate, communication services.</li>
<li>We highlight weekly changes in A-H premium for BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial.</li>
</ul>


We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 128.4% as of Nov 11th.
The average A-H premium changed by -4.7ppt weeok on week, led by financials, materials, information technology and offset by real estate, communication services.
We highlight weekly changes in A-H premium for BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial.


A-H Premium Weekly (Nov 11th): BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial

<ul>
<li>We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 130.7% as of Nov 4th.</li>
<li>The average A-H premium changed by -4.4ppt weeok on week, led by health care, financials, utilities and offset by consumer staples, real estate, consumer discretionary.</li>
<li>We highlight weekly changes in A-H premium for First Tractor, Maanshan Iron, Datang Intl, Cansino, Jushi, Fudan Microelectronics.</li>
</ul>


We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 130.7% as of Nov 4th.
The average A-H premium changed by -4.4ppt weeok on week, led by health care, financials, utilities and offset by consumer staples, real estate, consumer discretionary.
We highlight weekly changes in A-H premium for First Tractor, Maanshan Iron, Datang Intl, Cansino, Jushi, Fudan Microelectronics.


A-H Premium Weekly (Nov 4th): First Tractor, Maanshan Iron

<ul>
<li>We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 135.0% as of Oct 28th.</li>
<li>The average A-H premium changed by 7.6ppt weeok on week, led by utilities, financials, information technology and offset by real estate.</li>
<li>We highlight weekly changes in A-H premium for Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium.</li>
</ul>


We analyse the changes of A-H premium on 142 stocks over the last week. The average A-H premium was 135.0% as of Oct 28th.
The average A-H premium changed by 7.6ppt weeok on week, led by utilities, financials, information technology and offset by real estate.
We highlight weekly changes in A-H premium for Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium.


A-H Premium Weekly (Oct 28th): Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium

<ul>
<li>With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.</li>
<li>The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.</li>
<li>The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.</li>
</ul>


With the review period nearly complete, there could be 4 changes using a 12-month minimum listing history, and 5 changes using a 6-month minimum listing history.
The market cap of potential adds using a 6-month minimum listing history is higher and there is a higher probability of a 6-month minimum listing history being used.
The potential adds have outperformed the potential deletes and the index. Similar to the last few rebalances, we could see the adds outperform post the end of the review period.


STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

China

Shanghai Fudan Microelectronics Group Company Limited designs and sells semiconductor devices. The Company produces security and identification chips, smart meters, specific analog circuits, flashes, and other products. Shanghai Fudan Microelectronics Group supplies its products in finance, social security, urban public transportation, and other fields.

Shanghai Fudan Microelectronic (688385 CH)

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Shanghai Fudan Microelectronic (688385 CH)

STAR50 Index Rebalance: Adds Outperform Deletes in the Last Week

There are 5 changes for the STAR50 in Dec. The changes were forecast; the adds have outperformed the deletes in the last week. Historically, a long...

Brian Freitas

A-H Premium Weekly (Nov 11th): BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial

We analyzed A-H premium changes in the past week and highlight A-H premium changes for BYD, Dongfang Electric, Pharmaron Beijing, CSC Financial.

Ke Yan, CFA, FRM

A-H Premium Weekly (Nov 4th): First Tractor, Maanshan Iron

We analyzed A-H premium changes in the past week and highlight A-H premium changes for First Tractor, Maanshan Iron, Datang Intl, Cansino, Jushi,...

Ke Yan, CFA, FRM

A-H Premium Weekly (Oct 28th): Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Pharmaron, Datang Intl, Shanghai Junshi, Tianqi Lithium.

Ke Yan, CFA, FRM

STAR50 Index Rebalance Preview: Stable Long/Short Performance in a Volatile Market

We expect the index committee to continue using a 6-month minimum listing history. That means 5 changes in December. The potential adds have...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)