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

<ul>
<li>There are 14 changes for the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> at the upcoming rebalance that will be implemented at the close of trading on 8 December.</li>
<li>While most changes are in line with forecasts, there are some stocks that have not been added or deleted as the index committee has used their discretion.</li>
<li>The adds outperformed the deletes in the first half of the year with performance staying stable over the second half of the year. Position for outperformance ahead of implementation.</li>
</ul>


There are 14 changes for the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) at the upcoming rebalance that will be implemented at the close of trading on 8 December.
While most changes are in line with forecasts, there are some stocks that have not been added or deleted as the index committee has used their discretion.
The adds outperformed the deletes in the first half of the year with performance staying stable over the second half of the year. Position for outperformance ahead of implementation.


CSI300 Index Rebalance: 14 Changes & A Few Surprises

Hygon Information Technology C / Event-Driven

<ul>
<li>With the review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a> complete, there could be 13 changes for the index.</li>
<li>We estimate one-way turnover of 1.94% at the December rebalance leading to a one-way trade of CNY 6.98bn. There are a lot of stocks with over 1x ADV to trade.</li>
<li>Over the last 6 months, the potential adds and potential deletes have tracked each other and underperformed the index. Positioning has led to outperformance in the last week.</li>
</ul>


With the review period for the December rebalance of the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX) complete, there could be 13 changes for the index.
We estimate one-way turnover of 1.94% at the December rebalance leading to a one-way trade of CNY 6.98bn. There are a lot of stocks with over 1x ADV to trade.
Over the last 6 months, the potential adds and potential deletes have tracked each other and underperformed the index. Positioning has led to outperformance in the last week.


CSI300 Index Rebalance Preview: 13 Potential Changes in December

HK/China Healthcare Analyst (ex-Fosun Pharma)

Xinyao (Criss) Wang

Equity Bottom-Up

Shenzhen Kangtai Biological Pr / Equity Bottom-Up

<ul>
<li>The National Health Commission and The People's Daily made "mild" statements about anti-corruption in China healthcare, bringing investors “new hope”. However, there could be a “misconception” regarding the anti-corruption movement. </li>
<li>There was news that some type 2 vaccines could be converted to type 1 vaccines. Even though some vaccines will be affected by this policy, others will not.</li>
<li>Kangtai’s had strong 23H1 net profit, but it has little investment value due to lack of core R&amp;D strength.Kangtai's vaccines face the risk of being included in national immunization program.</li>
</ul>


The National Health Commission and The People's Daily made "mild" statements about anti-corruption in China healthcare, bringing investors “new hope”. However, there could be a “misconception” regarding the anti-corruption movement. 
There was news that some type 2 vaccines could be converted to type 1 vaccines. Even though some vaccines will be affected by this policy, others will not.
Kangtai’s had strong 23H1 net profit, but it has little investment value due to lack of core R&amp;D strength.Kangtai's vaccines face the risk of being included in national immunization program.


China Healthcare Weekly (Sep.15) - Anti-Corruption Turnaround? Vaccine Policy Changes, Kangtai Bio

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Shanghai United Imaging Health / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the <em>next </em>largest 500 names.</li>
<li>In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.</li>
<li>Our latest estimates show that the combined one-way flow for CSI 300 and CSI 500 could be around US$2.8bn.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
In this insight, we take a look at the potential ADDs/DELs for the CSI 300 and CSI 500 rebalance in December 2023.
Our latest estimates show that the combined one-way flow for CSI 300 and CSI 500 could be around US$2.8bn.


Quiddity Leaderboard CSI 300/​​500 Dec 23:  US$2.8bn One-Way; Might Be Time for a Basket Trade

China

Shenzhen Kangtai Biological Products Co., Ltd. operates biological product manufacturing businesses. The Company produces biological vaccines and other vaccine products. Shenzhen Kangtai Biological Products conducts businesses in China.

Shenzhen Kangtai Biological Pr (300601 CH)

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Shenzhen Kangtai Biological Pr (300601 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

CSI300 Index Rebalance: 14 Changes & A Few Surprises

There are 14 changes for the CSI300 in December. Most of the changes were expected and there are a few surprises as the index committee has...

Brian Freitas

CSI300 Index Rebalance Preview: 13 Potential Changes in December

There could be 13 changes for the CSI300 in Dec. With an increase in tracking AUM, there are many stocks with over 1x ADV to trade. Adds, deletes...

Brian Freitas

China Healthcare Weekly (Sep.15) - Anti-Corruption Turnaround? Vaccine Policy Changes, Kangtai Bio

Investors have renewed hope in China healthcare due to potential turnaround in anti-corruption. China may change vaccine policy, which will affect...

Xinyao (Criss) Wang

Quiddity Leaderboard CSI 300/500 Dec 23: US$2.8bn One-Way; Might Be Time for a Basket Trade

The Names directly moving into CSI 300 and CSI 500 without previously being members of either of these indices could outperform the CSI 300 index...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

CSI300 Index Rebalance: 14 Changes & A Few Surprises

There are 14 changes for the CSI300 in December. Most of the changes were expected and there are a few surprises as the index committee has...

Brian Freitas

CSI300 Index Rebalance Preview: 13 Potential Changes in December

There could be 13 changes for the CSI300 in Dec. With an increase in tracking AUM, there are many stocks with over 1x ADV to trade. Adds, deletes...

Brian Freitas

China Healthcare Weekly (Sep.15) - Anti-Corruption Turnaround? Vaccine Policy Changes, Kangtai Bio

Investors have renewed hope in China healthcare due to potential turnaround in anti-corruption. China may change vaccine policy, which will affect...

Xinyao (Criss) Wang

Quiddity Leaderboard CSI 300/​​500 Dec 23: US$2.8bn One-Way; Might Be Time for a Basket Trade

The Names directly moving into CSI 300 and CSI 500 without previously being members of either of these indices could outperform the CSI 300 index...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard CSI 300/500 Dec 23: US$2.8bn One-Way; Might Be Time for a Basket Trade