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

Hang Seng China Enterprises Index / Event-Driven

<ul>
<li>The HSCEI 2023 dividend futures have moved up over the last few months though there was a sharp move lower in the last couple of weeks.</li>
<li>With results and dividends scheduled to be announced in the next few weeks, we take a look at the fair value estimate for the 2023 dividend futures.</li>
<li>We also list out the things to watch for over the next few weeks and months that could impact the 2023 dividend futures and the 2023/24 dividend steepener.</li>
</ul>


The HSCEI 2023 dividend futures have moved up over the last few months though there was a sharp move lower in the last couple of weeks.
With results and dividends scheduled to be announced in the next few weeks, we take a look at the fair value estimate for the 2023 dividend futures.
We also list out the things to watch for over the next few weeks and months that could impact the 2023 dividend futures and the 2023/24 dividend steepener.


HSCEI Dividend Futures: Fair Value Estimates as Result Season Looms

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>On 24 February 2023, the Hang Seng Indices released their changes for the March rebalance. No changes in HSI, which was unexpected, and small changes elsewhere.</li>
<li>Capping flows and the rule changes on treatment of Dual Primary Listed stocks are responsible for the interesting flows. Yesterday's closing prices are used for final capping.</li>
<li>
<a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK)</a> and <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868 HK)</a> are the interesting trades. Still. </li>
</ul>


On 24 February 2023, the Hang Seng Indices released their changes for the March rebalance. No changes in HSI, which was unexpected, and small changes elsewhere.
Capping flows and the rule changes on treatment of Dual Primary Listed stocks are responsible for the interesting flows. Yesterday's closing prices are used for final capping.

Li Auto (2015 HK) and XPeng (9868 HK) are the interesting trades. Still. 


Major Hang Seng Indices Capping Flows Decided (HSCEI, HSI, HSTECH)

<ul>
<li>The March rebalance of the HSI, HSCEI and HSTECH indices will use today's closing prices to cap the index constituent weights at 8%. This will lead to large flows.</li>
<li>The largest inflows will be on <a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK)</a>, <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a>, <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868 HK)</a>, <a href="https://www.smartkarma.com/entities/jd-com-inc" target="_blank" data-smartkarma-citation="entities:29043:1" rel="noopener">JD.com (9618 HK)</a>, <a href="https://www.smartkarma.com/entities/alibaba-group" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a>, <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> and <a href="https://www.smartkarma.com/entities/beijing-kuaishou-technology-co-ltd" target="_blank" data-smartkarma-citation="entities:29725:1" rel="noopener">Kuaishou Technology (1024 HK)</a>. </li>
<li>The largest outflows will be on <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a>, <a href="https://www.smartkarma.com/entities/hsbc-holdings-plc" target="_blank" data-smartkarma-citation="entities:516:1" rel="noopener">HSBC Holdings (5 HK)</a>, <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a>, <a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi Corp (1810 HK)</a>, <a href="https://www.smartkarma.com/entities/netease" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a>, <a href="https://www.smartkarma.com/entities/cnooc-ltd" target="_blank" data-smartkarma-citation="entities:175:1" rel="noopener">CNOOC (883 HK)</a> and <a href="https://www.smartkarma.com/entities/semiconductor-manufacturing-international-corp-smic" target="_blank" data-smartkarma-citation="entities:14231:1" rel="noopener">SMIC (981 HK)</a>.</li>
</ul>


The March rebalance of the HSI, HSCEI and HSTECH indices will use today's closing prices to cap the index constituent weights at 8%. This will lead to large flows.
The largest inflows will be on Li Auto (2015 HK), Meituan (3690 HK), XPeng (9868 HK), JD.com (9618 HK), Alibaba (9988 HK), BYD (1211 HK) and Kuaishou Technology (1024 HK). 
The largest outflows will be on Tencent (700 HK), HSBC Holdings (5 HK), Baidu (9888 HK), Xiaomi Corp (1810 HK), NetEase (9999 HK), CNOOC (883 HK) and SMIC (981 HK).


HSI, HSCEI, HSTECH: Rebalance Flows Post Capping (March 2023)

<ul>
<li>On Friday 24 February 2023, the Hang Seng Index Committee announced changes for the HSTECH Index - <a href="https://www.smartkarma.com/entities/weibo-corp" target="_blank" data-smartkarma-citation="entities:35280:1" rel="noopener">Weibo Corp (9898 HK)</a> IN, <a href="https://www.smartkarma.com/entities/ming-yuan-cloud-group" target="_blank" data-smartkarma-citation="entities:29268:1" rel="noopener">Ming Yuan Cloud Group (909 HK)</a> OUT.</li>
<li>Notably, the changes in FAF due to the new treatment for Dual Primary Companies means decent boosts in weight for <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868 HK)</a> and <a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK)</a>. </li>
<li>Of the three "major" indices, this one produces the most fun - US$900mm+ and 8.7% flow one-way. And the big flows are additive to the other indices.</li>
</ul>


On Friday 24 February 2023, the Hang Seng Index Committee announced changes for the HSTECH Index - Weibo Corp (9898 HK) IN, Ming Yuan Cloud Group (909 HK) OUT.
Notably, the changes in FAF due to the new treatment for Dual Primary Companies means decent boosts in weight for XPeng (9868 HK) and Li Auto (2015 HK). 
Of the three "major" indices, this one produces the most fun - US$900mm+ and 8.7% flow one-way. And the big flows are additive to the other indices.


HSTECH Mar23 Index Review/​Flows - Weibo IN, Ming Yuan Cloud OUT, BIGLY Flows on Li Auto & Xpeng

<ul>
<li>HSCEI keeps its constituent count at 80 names, adds <a href="https://www.smartkarma.com/entities/xpeng-inc-4cc65854-d10c-4d20-bf7e-ca0e016715ff" target="_blank" data-smartkarma-citation="entities:33772:1" rel="noopener">XPeng (9868 HK)</a> and deletes <a href="https://www.smartkarma.com/entities/china-feihe-ltd" target="_blank" data-smartkarma-citation="entities:24413:1" rel="noopener">China Feihe (6186 HK)</a>. </li>
<li>There are decent flows in this rebal, with <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> and <a href="https://www.smartkarma.com/entities/alibaba-group" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group (9988 HK)</a> seeing selling, <a href="https://www.smartkarma.com/entities/meituan-dianping" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> seeing buying. <a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK)</a> sees FAF upweight.</li>
<li>
<a href="https://www.smartkarma.com/profiles/janaghan-jeyakumar-cfa" target="_blank" data-smartkarma-citation="accounts:3173" rel="noopener">Janaghan Jeyakumar, CFA</a> had called the deletion of China Feihe, but had another name higher on the ADD list. 3.2% and HK$2.6bn one-way flow.</li>
</ul>


HSCEI keeps its constituent count at 80 names, adds XPeng (9868 HK) and deletes China Feihe (6186 HK). 
There are decent flows in this rebal, with Tencent (700 HK) and Alibaba Group (9988 HK) seeing selling, Meituan (3690 HK) seeing buying. Li Auto (2015 HK) sees FAF upweight.

Janaghan Jeyakumar, CFA had called the deletion of China Feihe, but had another name higher on the ADD list. 3.2% and HK$2.6bn one-way flow.


HSCEI Mar23 Index Review/Flows - Xpeng Added, China Feihe Deleted, Li Auto Sees A Bump Up

China

XPeng Inc. designs, produces, and distributes electric vehicles. The Company designs, develops, manufactures and markets smart smart electric vehicles, as well as finance, parts, and maintenance services. XPeng serves customers in China.

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XPeng (9868 HK)

HSCEI Dividend Futures: Fair Value Estimates as Result Season Looms

HSCEI constituents will declare 2022 results and dividends in the next few weeks. 2023 div futures are trading around fair, but there could be...

Brian Freitas

Major Hang Seng Indices Capping Flows Decided (HSCEI, HSI, HSTECH)

Hang Seng Indices final capping for March 2023 resulted from the 7 March close. Li Auto and Xpeng are the major beneficiaries still. HSBC and...

Travis Lundy

HSI, HSCEI, HSTECH: Rebalance Flows Post Capping (March 2023)

The Hang Seng indices rebalance Friday. Capping uses today's closing prices. The one-way trade across all stocks across the indices is estimated at...

Brian Freitas

HSTECH Mar23 Index Review/Flows - Weibo IN, Ming Yuan Cloud OUT, BIGLY Flows on Li Auto & Xpeng

HSTECH is the most interesting of the 3 major Hang Seng indices. There is one inclusion worth 0.04% but the index sees 8.7% one-way turnover on...

Travis Lundy

HSCEI Mar23 Index Review/Flows - Xpeng Added, China Feihe Deleted, Li Auto Sees A Bump Up

The HSCEI Index Review sees one ADD (Xpeng) and one DELETE (China Feihe). These are not unexpected, and the change in FFW because of new treatment...

Travis Lundy

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

HSCEI Dividend Futures: Fair Value Estimates as Result Season Looms

HSCEI constituents will declare 2022 results and dividends in the next few weeks. 2023 div futures are trading around fair, but there could be...

Brian Freitas

Major Hang Seng Indices Capping Flows Decided (HSCEI, HSI, HSTECH)

Hang Seng Indices final capping for March 2023 resulted from the 7 March close. Li Auto and Xpeng are the major beneficiaries still. HSBC and...

Travis Lundy

HSI, HSCEI, HSTECH: Rebalance Flows Post Capping (March 2023)

The Hang Seng indices rebalance Friday. Capping uses today's closing prices. The one-way trade across all stocks across the indices is estimated at...

Brian Freitas

HSTECH Mar23 Index Review/​Flows - Weibo IN, Ming Yuan Cloud OUT, BIGLY Flows on Li Auto & Xpeng

HSTECH is the most interesting of the 3 major Hang Seng indices. There is one inclusion worth 0.04% but the index sees 8.7% one-way turnover on...

Travis Lundy

HSCEI Mar23 Index Review/Flows - Xpeng Added, China Feihe Deleted, Li Auto Sees A Bump Up

The HSCEI Index Review sees one ADD (Xpeng) and one DELETE (China Feihe). These are not unexpected, and the change in FFW because of new treatment...

Travis Lundy

HSTECH Mar23 Index Review/Flows - Weibo IN, Ming Yuan Cloud OUT, BIGLY Flows on Li Auto & Xpeng