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>As expected, the index committee has used a 6-month minimum listing history and that results in two 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 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/piotech-inc" target="_blank" data-smartkarma-citation="entities:36698:1" rel="noopener">Piotech (688072 CH)</a> and <a href="https://www.smartkarma.com/entities/hwatsing-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:36700:1" rel="noopener">Hwatsing Technology (688120 CH)</a> will replace <a href="https://www.smartkarma.com/entities/suzhou-nanomicro-technology-co" target="_blank" data-smartkarma-citation="entities:33272:1" rel="noopener">Suzhou Nanomicro Technology (688690 CH)</a> and <a href="https://www.smartkarma.com/entities/zhuhai-cosmx-battery-co-ltd" target="_blank" data-smartkarma-citation="entities:34667:1" rel="noopener">Zhuhai CosMX Battery (688772 CH)</a> in the index.</li>
<li>One-Way turnover is estimated at 2.83% and will result in a one-way trade of CNY 3,562m. There does not appear to be a lot of pre-positioning on the stocks.</li>
</ul>


As expected, the index committee has used a 6-month minimum listing history and that results in two changes to the SSE STAR50 (STAR50 INDEX) in September.

Piotech (688072 CH) and Hwatsing Technology (688120 CH) will replace Suzhou Nanomicro Technology (688690 CH) and Zhuhai CosMX Battery (688772 CH) in the index.
One-Way turnover is estimated at 2.83% and will result in a one-way trade of CNY 3,562m. There does not appear to be a lot of pre-positioning on the stocks.


STAR50 Index Rebalance: Two Changes; Pre-Positioning Appears Light

<ul>
<li>The review period for the September rebalance ends today. The changes could be announced on 25 August with the implementation taking place after the close on 8 September.</li>
<li>The upcoming launch of the STAR100 Index could result in the index committee continuing to use a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One way turnover is estimated at 2.3% resulting in a one-way trade of CNY 2,658m. The impact on the deletions will be much larger than that on the inclusions.</li>
</ul>


The review period for the September rebalance ends today. The changes could be announced on 25 August with the implementation taking place after the close on 8 September.
The upcoming launch of the STAR100 Index could result in the index committee continuing to use a 6-month minimum listing history resulting in two changes to the index.
One way turnover is estimated at 2.3% resulting in a one-way trade of CNY 2,658m. The impact on the deletions will be much larger than that on the inclusions.


STAR50 Index Rebalance Preview: Potential Changes Playing Catchup

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 143 stocks over the last week. The average A-H premium was 115.0% as of Jul 28th.</li>
<li>The average A-H premium changed by 0.8ppt week on week, led by information technology, communication services, energy and offset by health care, consumer staples.</li>
<li>We highlight weekly changes in A-H premium for China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC.</li>
</ul>


We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 115.0% as of Jul 28th.
The average A-H premium changed by 0.8ppt week on week, led by information technology, communication services, energy and offset by health care, consumer staples.
We highlight weekly changes in A-H premium for China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC.


A-H Premium Weekly (Jul 28th): China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC

<ul>
<li>We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 115.2% as of Jul 21st.</li>
<li>The average A-H premium changed by -1.8ppt week on week, led by consumer staples, communication services, information technology and offset by real estate, utilities.</li>
<li>We highlight weekly changes in A-H premium for China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng, China Longyuan.</li>
</ul>


We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 115.2% as of Jul 21st.
The average A-H premium changed by -1.8ppt week on week, led by consumer staples, communication services, information technology and offset by real estate, utilities.
We highlight weekly changes in A-H premium for China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng, China Longyuan.


A-H Premium Weekly (Jul 21st): China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng

<ul>
<li>We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 120.6% as of Jul 7th.</li>
<li>The average A-H premium changed by 5.9ppt week on week, led by consumer staples, consumer discretionary, energy.</li>
<li>We highlight weekly changes in A-H premium for BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan, Yankuang Energy, New China Life.</li>
</ul>


We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 120.6% as of Jul 7th.
The average A-H premium changed by 5.9ppt week on week, led by consumer staples, consumer discretionary, energy.
We highlight weekly changes in A-H premium for BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan, Yankuang Energy, New China Life.


A-H Premium Weekly (Jul 7th): BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan

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: Two Changes; Pre-Positioning Appears Light

There are 2 changes for the STAR50 in Sep. The adds/dels were expected and there has been big outperformance over the last few weeks. But,...

Brian Freitas

STAR50 Index Rebalance Preview: Potential Changes Playing Catchup

Changes will be announced after market close today. The potential adds have outperformed the potential deletes by over 10% since the end of the...

Brian Freitas

A-H Premium Weekly (Jul 28th): China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC

We analyzed A-H premium changes in the past week and highlight A-H premium changes for China Vanke, CITIC Sec, China Pacific, BYD, CMOC, GF Sec, CICC.

Ke Yan, CFA, FRM

A-H Premium Weekly (Jul 21st): China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng

We analyzed A-H premium changes in the past week and highlight A-H premium changes for China Vanke, New China Life, BYD, CMOC, Asymchem, Huaneng,...

Ke Yan, CFA, FRM

A-H Premium Weekly (Jul 7th): BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan

We analyzed A-H premium changes in the past week and highlight A-H premium changes for BankComm, ICBC, CCB, BYD, Asymchem, Hisense, Baiyunshan,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)