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>There are three constituent changes for 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> at the March rebalance. One inclusion and one non-inclusion are surprises.</li>
<li>One way turnover is estimated at 2.9% and will result in a one-way trade of CNY 4,075m with over 2.5x ADV to trade on all constituent changes.</li>
<li>The adds have outperformed the deletes over the last few months with a jump in the last few trading sessions. There could be more outperformance over the next two weeks.</li>
</ul>


There are three constituent changes for the SSE STAR50 (STAR50 INDEX) at the March rebalance. One inclusion and one non-inclusion are surprises.
One way turnover is estimated at 2.9% and will result in a one-way trade of CNY 4,075m with over 2.5x ADV to trade on all constituent changes.
The adds have outperformed the deletes over the last few months with a jump in the last few trading sessions. There could be more outperformance over the next two weeks.


STAR50 Index Rebalance: Three Changes a Side; One Surprise Change

<ul>
<li>There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes 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>, HSCI, HSIII and global indices.</li>
<li>The review period for the March rebalance of the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.</li>
<li>There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.</li>
</ul>


There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the HSI, HSCEI, HSTECH, HSCI, HSIII and global indices.
The review period for the March rebalance of the S&amp;P/ASX 200 and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.
There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.


Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

Hainan Jinpan Smart Technology / Event-Driven

<ul>
<li>The review period for the March rebalance ended 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.</li>
<li>There are 10 stocks in inclusion zone and 11 in deletion zone. There should be 10 changes since that is the cap for the maximum changes at a single rebalance.</li>
<li>The potential adds and deletes are down between 37-47% over the last 6 months and a long/short trade could provide superior risk-adjusted returns.</li>
</ul>


The review period for the March rebalance ended 31 January. We expect the changes to be announced 23 February with the implementation taking place after the close on 8 March.
There are 10 stocks in inclusion zone and 11 in deletion zone. There should be 10 changes since that is the cap for the maximum changes at a single rebalance.
The potential adds and deletes are down between 37-47% over the last 6 months and a long/short trade could provide superior risk-adjusted returns.


STAR100 Index Rebalance Preview: High Risk/Return Trade Setup

<ul>
<li>The review period for a global index and a bunch of local indices ended last week. The announcement of the changes will be made in 1 week to 4 weeks.</li>
<li>
<a href="https://www.smartkarma.com/entities/strike-energy-ltd" target="_blank" data-smartkarma-citation="entities:12473:1" rel="noopener">Strike Energy (STX AU)</a> will replace <a href="https://www.smartkarma.com/entities/costa-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:22632:1" rel="noopener">Costa Group Holdings (CGC AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on 8 February.</li>
<li>The inflows to mainland China ETFs continue for another week. There were big inflows to <a href="https://www.smartkarma.com/entities/ishares-msci-india-etf" target="_blank" data-smartkarma-citation="entities:282:1" rel="noopener">iShares India ETF (INDA US)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-india-small-cap" target="_blank" data-smartkarma-citation="entities:32064:1" rel="noopener">Ishares India Small-Cap (SMIN US)</a>. </li>
</ul>


The review period for a global index and a bunch of local indices ended last week. The announcement of the changes will be made in 1 week to 4 weeks.

Strike Energy (STX AU) will replace Costa Group Holdings (CGC AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on 8 February.
The inflows to mainland China ETFs continue for another week. There were big inflows to iShares India ETF (INDA US) and Ishares India Small-Cap (SMIN US). 


Index Rebalance & ETF Flow Recap: N225, ASX, STAR50, NIFTY50, KRX New Deal, UOL SP, Korea Passive

<ul>
<li>The adhoc <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a> rebalance and the regular Nifty200 Momentum30 Index rebalance will be implemented on Thursday and the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET 50 Index</a> rebalance will be implemented on Friday.</li>
<li>The review cutoff period for a whole bunch of indices ends on 29 December and the announcement of the results and implementation will take place early next year.</li>
<li>There were big inflows to China ETFs and to Emerging Market ETFs including <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 US)</a>, <a href="https://www.smartkarma.com/entities/vanguard-ftse-emerging-markets-etf" target="_blank" data-smartkarma-citation="entities:778:1" rel="noopener">Vanguard Emerging Markets (VWO US)</a> and <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets (EMXC US)</a>. </li>
</ul>


The adhoc KOSDAQ 150 Index rebalance and the regular Nifty200 Momentum30 Index rebalance will be implemented on Thursday and the SET 50 Index rebalance will be implemented on Friday.
The review cutoff period for a whole bunch of indices ends on 29 December and the announcement of the results and implementation will take place early next year.
There were big inflows to China ETFs and to Emerging Market ETFs including iShares Core Emerging Mar (IEMG US), Vanguard Emerging Markets (VWO US) and iShares Emerging Markets (EMXC US). 


Index Rebalance & ETF Flow Recap: STAR50, SET50, AMFI, KOSDAQ150

China

China Wafer Level CSP Company Limited provides Wafer level chip size package and testing services.  The Company's main products include image sensor chip, the ambient light sensor chip, medical and electronic devices, micro-electromechanical system (MEMS), radio frequency identification chip (RFID).

Shanghai Aiko Solar Energy Co., Ltd. operates as a solar cell production company. The Company researches, develops, manufactures, and distributes PERC (passivated emitter and rear cell) cell and other products and provides related services. Shanghai Aiko Solar Energy exports its products to South Korea, Japan, India, Europe, and other countries and regions.

Shanghai Belling Co., Ltd. designs, manufactures, and sells integrated circuits which are used in telecommunications and multi-media systems.  The Company also processes silicon chips and produces other electronic components.

Risen Energy Co., Ltd. develops, manufactures and sells photovoltaic applications. The Company's products include crystalline silicon solar lamps, batteries, parts and other applications.

Grinm Advanced Materials Co Ltd. develops and manufactures semiconductor materia ls. The Company's products include monocrystalline silicon, germanium,  compound  semiconductor materials, and other related electronic materials. Grinm Advanced Materials also invests in technology development and provides technical  and processing services.

Shanghai Sinyang Semiconductor Materials Co. Ltd. develops, produces, and provides services for the electronic chemicals used in the semiconductor industry. The company also provides electronic cleaning and electronic plating core technologies. They develops specialized equipment, such as: chemical materials, equipment, and application process etc.

Shanghai Sinyang Smcndctr Mtls (300236 CH)

JinkoSolar Holding Company Limited manufactures solar products. The Company produces silicon wafers, solar cells and solar modules.

Daqo New Energy Corporation manufactures polysilicon.  The Company markets its polysilicon to photovoltaic product manufacturers who process it into ingots, wafers, cells and modules for solar power products.

Shanghai Fudan Microelectronics Group Company Limited designs and sells integrated circuits (IC) for industrial applications.  The Company's IC products are used for smart cards, telecommunication products, as well as motor vehicle electronic and power supply electronic products.

Shanghai Fudan Microelectronics H (1385 HK)

Beijing Jingyuntong Technology Company Limited manufactures photovoltaic equipment, silicon crystal and silicon wafer. Its photovoltaic equipment includes monocrystalline silicon and polycrystalline silicon ingot furnace; its silicon crystal and wafer product mainly includes silicon rods, ingots and wafers.

Beijing Jingyuntong Technology (601908 CH)

Kinsus Interconnect Technology Corp. manufactures BGA (Ball Grid Array) boards. The Company's products include PBGA (Plastic BGA), MCM (Multi Chip Module) BGA, Mini BGA, TEBGA (Thermal Enhanced BGA), and flip chip substrate boards.

Macronix International Co., Ltd. designs, manufactures, and markets integrated circuits (ICs) as well as memory products.  The Company's products include nonvolatile memory integrated circuits, mask ROM (Read Only Memory), EPROM (Erasable Programmable ROM), and flash memory products.  Macronix also produces logic ICs for audio, clock generators, and graphic application devices.

MICRONICS JAPAN CO., LTD. designs, manufactures, and markets probe cards, which are used to inspect semiconductors and integrated circuits (ICs).  The Company also makes wafer probers, probe card testers, IC handlers, and inspection devices used for liquid crystal display (LCD) manufacturing.

Ambarella, Inc. manufactures high definition video compression and image processing semiconductors. The Company products are used in digital still cameras, camcorders, and video-enabled mobile phones.

CHIPBOND Technology Corporation provides chip packaging service for the IC (Integrated Circuit) industry.  The Company manufactures Gold Bump, TCP (Tape Carrier Packaging), Solder Bump, and COG (Chip on Glass), which are applied to the process of packaging.

EO Technics Co., Ltd. is a laser-based equipment supplier. The Company develops laser technology and applications used for marking, drilling, trimming and cutting.

Photronics, Inc. manufactures photomasks, which are high precision quartz plates that contain microscopic images of electronic circuits.  The Company's products are used to transfer circuit patterns onto semiconductor wafers during the fabrication of integrated circuits.  Photronics operates manufacturing facilities in Asia, Europe, and North America.

Parade Technologies Ltd is a fabless semiconductor company that specialzies in high-speed video interfacing and processing products used in personal computer and consumer electronics applications, such as digital TVs, DVDs, monitors and display panels, and set-top boxes.

Veeco Instruments Inc. manufactures enabling solutions for customers in the HB-LED, solar, data storage, semiconductor, scientific research and industrial markets. The Company has technology positions in three businesses: LED & Solar Process Equipment, Data Storage Process Equipment, and Metrology Instruments.

Unisem (M) Berhad manufactures semiconductor devices.  The Company provides turnkey solutions to its customers in wafer grinding, packaging and testing of integrated circuits, tape and reel, and dropship services. Unisem also provides packaging and testing wide range of leadframe packages.

Suzhou Novosense Microelectronics Co., Ltd. produces and sells integrated circuits. The Company manufactures and sells integrated sensor chips, isolation and interface chips, drive and sampling chips, and other products. Suzhou Novosense Microelectronics provides its products for energy, industrial automation, auto electronic, and consumer electronic fields.

Suzhou Novosense Microelectron (688052 CH)

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Suzhou Novosense Microelectron (688052 CH)

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52-week Range

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