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 review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 September.</li>
<li>We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.</li>
<li>One way turnover is estimated at 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.</li>
</ul>


The review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 September.
We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.
One way turnover is estimated at 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.


STAR50 Index Rebalance Preview: One High Probability Change; One 'It Depends'

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 113.9% as of Jun 9th.</li>
<li>The average A-H premium changed by -1.9ppt week on week, led by consumer discretionary, materials, industrials and offset by consumer staples, information technology, communication services.</li>
<li>We highlight weekly changes in A-H premium for CCB, China Longyuan and BYD.</li>
</ul>


We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 113.9% as of Jun 9th.
The average A-H premium changed by -1.9ppt week on week, led by consumer discretionary, materials, industrials and offset by consumer staples, information technology, communication services.
We highlight weekly changes in A-H premium for CCB, China Longyuan and BYD.


A-H Premium Weekly (Jun 9th): CCB, China Longyuan, BYD

<ul>
<li>We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 113.6% as of May 26th.</li>
<li>The average A-H premium changed by 2.3ppt week on week, led by information technology, utilities, consumer discretionary and offset by financials.</li>
<li>We highlight weekly changes in A-H premium for Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng, CSSC Offshore, Shanghai Fudan, China Life, Flat Glass, CCCC.</li>
</ul>


We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 113.6% as of May 26th.
The average A-H premium changed by 2.3ppt week on week, led by information technology, utilities, consumer discretionary and offset by financials.
We highlight weekly changes in A-H premium for Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng, CSSC Offshore, Shanghai Fudan, China Life, Flat Glass, CCCC.


A-H Premium Weekly (May 26th): Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng

<ul>
<li>The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.</li>
<li>One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.</li>
<li>There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.</li>
</ul>


The index committee has used a 6-month minimum listing history and that results in two changes. This is the first rebalance with less than 5 changes at a review.
One way turnover is estimated at 1.03% and will result in a one-way trade of CNY 1,025m. Given the adds are new listings, there will be some reverse funding flow.
There appears to be little pre-positioning on the adds while there is a bigger buildup on the deletes.


STAR50 Index Rebalance: Two Changes in June (As Expected)

<ul>
<li>We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 111.4% as of May 19th.</li>
<li>The average A-H premium changed by -0.0ppt week on week, led by communication services, utilities, financials and offset by health care, information technology, energy.</li>
<li>We highlight weekly changes in A-H premium for China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua, China Life, Citic Bank, CEEC, China Telecom.</li>
</ul>


We analyse the changes of A-H premium on 143 stocks over the last week. The average A-H premium was 111.4% as of May 19th.
The average A-H premium changed by -0.0ppt week on week, led by communication services, utilities, financials and offset by health care, information technology, energy.
We highlight weekly changes in A-H premium for China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua, China Life, Citic Bank, CEEC, China Telecom.


A-H Premium Weekly (May 19th): China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua

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)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Shanghai Fudan Microelectronic (688385 CH)

STAR50 Index Rebalance Preview: One High Probability Change; One 'It Depends'

There could be 2 changes in September if a 6 month minimum listing history is used. Piotech was added to the CSI500 in June and there are multiple...

Brian Freitas

A-H Premium Weekly (Jun 9th): CCB, China Longyuan, BYD

We analyzed A-H premium changes in the past week and highlight A-H premium changes for CCB, China Longyuan, BYD Co Ltd.

Ke Yan, CFA, FRM

A-H Premium Weekly (May 26th): Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Shandong Gold, China Longyuan, BYD, Shenhua, China Minsheng.

Ke Yan, CFA, FRM

STAR50 Index Rebalance: Two Changes in June (As Expected)

There are 2 changes for the STAR50 Index as a 6-month minimum listing history is used. There is little increase in excess volume on the adds while...

Brian Freitas

A-H Premium Weekly (May 19th): China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua

We analyzed A-H premium changes in the past week and highlight A-H premium changes for China Zheshang, Shandong Gold, China Longyuan, BYD, Shenhua,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)