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>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

Head of Research, Steno Research

Emil Moller

Head of Research

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>Here at Steno Research, our primary concern has been growth rather than inflation since around the end of H1.</li><li>While this divergence is gradually gaining mainstream recognition, emerging markets have been well ahead of the curve.</li><li>Consequently, disinflationary surprises continue to be prevalent.</li></ul>

Here at Steno Research, our primary concern has been growth rather than inflation since around the end of H1.While this divergence is gradually gaining mainstream recognition, emerging markets have been well ahead of the curve.Consequently, disinflationary surprises continue to be prevalent.

EM by EM #29: Biden’s Party, EM’s Hangover & Scholz’s Nightmare

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

<ul>
<li>The coming week has a lot of review periods ending - <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>, <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a>, <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/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</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/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, among others.</li>
<li>The <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TOPIX</a> rebalance will be implemented on Monday while the <a href="https://www.smartkarma.com/entities/global-x-lithium-battery-tech-etf" target="_blank" data-smartkarma-citation="entities:32745:1" rel="noopener">Global X Lithium &amp; Battery Tech ETF (LIT US)</a> and IDX indices will rebalance at the close on Tuesday.</li>
<li>There were outflows from Emerging Market ETFs including <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM)</a>, <a href="https://www.smartkarma.com/entities/ishares-core-msci-emerging-mar" target="_blank" data-smartkarma-citation="entities:32967:1" rel="noopener">iShares Core Emerging Mar (IEMG),</a> <a href="https://www.smartkarma.com/entities/schwab-emerging-markets-equi" target="_blank" data-smartkarma-citation="entities:32879:1" rel="noopener">Schwab Emerging Markets Equi (SCHE)</a> and <a href="https://www.smartkarma.com/entities/ishares-edge-msci-min-vol-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:725:1" rel="noopener">IShares Edge Min Vol Emerging Markets ETF (EEMV)</a>.</li>
</ul>


The coming week has a lot of review periods ending - KOSPI 200, KOSDAQ 150, CSI 300, CSI 500, SSE50, STAR50, ChiNext and SENSEX, among others.
The TOPIX rebalance will be implemented on Monday while the Global X Lithium &amp; Battery Tech ETF (LIT US) and IDX indices will rebalance at the close on Tuesday.
There were outflows from Emerging Market ETFs including iShares Emerging Markets (EEM), iShares Core Emerging Mar (IEMG), Schwab Emerging Markets Equi (SCHE) and IShares Edge Min Vol Emerging Markets ETF (EEMV).


Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

<ul><li>Conclusions upfront: The Chinese stimulus package is too small and the composition underlines the domestic issues in China.</li><li>If Chinese consumers remain conservative, the efforts could be undermined.</li><li>We won’t be surprised to see more policy easing in 2024.</li></ul>

Conclusions upfront: The Chinese stimulus package is too small and the composition underlines the domestic issues in China.If Chinese consumers remain conservative, the efforts could be undermined.We won’t be surprised to see more policy easing in 2024.

EM by EM #27 Not a Bazooka, but a Pumpgun

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

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

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

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

EM by EM #29: Biden’s Party, EM’s Hangover & Scholz’s Nightmare

Here at Steno Research, our primary concern has been growth rather than inflation since around the end of H1. While this divergence is gradually...

Steno Research

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

Index Rebalance & ETF Flow Recap: KS200, KQ150, Yuanta Div+, LIT, HSCI, IDX, Japan Positioning

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

EM by EM #27 Not a Bazooka, but a Pumpgun

The Chinese stimulus package is too small and the composition underlines the domestic issues in China. If Chinese consumers remain conservative,...

Steno Research

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)