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

Zijin Mining Group Co Ltd H / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zijin-mining-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:6358:1" rel="noopener">Zijin Mining Group Co Ltd H (2899 HK)</a> will replace <a href="https://www.smartkarma.com/entities/xinyi-solar-holdings-ltd" target="_blank" data-smartkarma-citation="entities:318:1" rel="noopener">Xinyi Solar Holdings (968 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> after the close on 7 June.</li>
<li>An increase in the FAF for <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> results in the stock avoiding deletion at the June rebalance.</li>
<li>Estimated one-way turnover at the rebalance is 2.9% resulting in a round-trip trade of HK$3.8bn with over 1x ADV to trade on the add and delete.</li>
</ul>



Zijin Mining Group Co Ltd H (2899 HK) will replace Xinyi Solar Holdings (968 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) after the close on 7 June.
An increase in the FAF for SenseTime Group (20 HK) results in the stock avoiding deletion at the June rebalance.
Estimated one-way turnover at the rebalance is 2.9% resulting in a round-trip trade of HK$3.8bn with over 1x ADV to trade on the add and delete.


HSCEI Index Rebalance: Zijin Mining In; Xinyi Solar Out; SenseTime Survives (For Now)

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>The HSCEI is well-known and well-followed but sees less passive tracking than you might expect. Quiddity teammember Janaghan had expected up to two ADDs and two DELETEs.</li>
<li>We got one ADD and one DELETE instead as <a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> was "saved" from deletion by a FFW/FAF increase. </li>
<li>Relatively smaller flows here at 3% one-way with the big flows on the name changes.</li>
</ul>


The HSCEI is well-known and well-followed but sees less passive tracking than you might expect. Quiddity teammember Janaghan had expected up to two ADDs and two DELETEs.
We got one ADD and one DELETE instead as SenseTime Group (20 HK) was "saved" from deletion by a FFW/FAF increase. 
Relatively smaller flows here at 3% one-way with the big flows on the name changes.


HSCEI June 2024 Rebal - Zijin Mining (2899) ADDed, Xinyi Solar (968) DELETEd

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sensetime-group-inc" target="_blank" data-smartkarma-citation="entities:34319:1" rel="noopener">SenseTime Group (20 HK)</a> is a potential deletion in June while <a href="https://www.smartkarma.com/entities/zijin-mining-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:6358:1" rel="noopener">Zijin Mining Group Co Ltd H (2899 HK)</a> is a potential inclusion.</li>
<li>For yet another review, <a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene (6160 HK)</a> is a close add with the Velocity Test determining if the stock will be added to the index or not.</li>
<li>Estimated one-way turnover at the rebalance is 2.95% resulting in a one-way trade of HK$1.6bn. Official capping will be based off the close of trading on 4 June.</li>
</ul>



SenseTime Group (20 HK) is a potential deletion in June while Zijin Mining Group Co Ltd H (2899 HK) is a potential inclusion.
For yet another review, BeiGene (6160 HK) is a close add with the Velocity Test determining if the stock will be added to the index or not.
Estimated one-way turnover at the rebalance is 2.95% resulting in a one-way trade of HK$1.6bn. Official capping will be based off the close of trading on 4 June.


HSCEI Index Rebalance Preview: One Change or Two in June?

<ul>
<li><em>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</em></li>
<li>Last week saw NORTHBOUND net SELL RMB 11.8bn of A-shares. NORTHBOUND bought utilities and raw materials and sold everything else, especially consumer names. Appliances remain on the sell side.</li>
<li>It is notable that net flows as a percentage of value traded are clearly "short gamma", which is to say, sector underperformers are being sold, not bought. </li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net SELL RMB 11.8bn of A-shares. NORTHBOUND bought utilities and raw materials and sold everything else, especially consumer names. Appliances remain on the sell side.
It is notable that net flows as a percentage of value traded are clearly "short gamma", which is to say, sector underperformers are being sold, not bought. 


Mainland Connect NORTHBOUND Flows (To 28 June 2024): BIG Consumer Name Selling Again

Equity, Bottom-up Analyst, Investics Research

Sameer Taneja

Equity, Bottom-up Analyst

Investics Research

It is important to note that the information provided by Investics Research is based on publicly available data and own knowledge, which has been gathered and analyzed from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions. All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include but are not limited to, company announcements, exchange filings, presentations, etc. Investics does not guarantee the accuracy and completeness of the forecasts, estimates, and/or other information.

Equity Bottom-up Research

Commodities

<ul>
<li>
<a href="https://www.smartkarma.com/entities/southern-copper-corp" target="_blank" data-smartkarma-citation="entities:16279:1" rel="noopener">Southern Copper (SCCO US)</a> in the equity space is the best way to play bullish copper long-term with its long-term (10-year) ROCE of &gt;22% </li>
<li>With low-cost production assets in Peru and Mexico, the company has managed EBITDA margins of&gt; 39% across the cycle (last 15 years) and averaging 50%.</li>
<li>A 100% payout results in a dividend yield of 3.5%. We believe there is a price for everything, and in the event of a 20% correction, it would be attractive.</li>
</ul>



Southern Copper (SCCO US) in the equity space is the best way to play bullish copper long-term with its long-term (10-year) ROCE of &gt;22% 
With low-cost production assets in Peru and Mexico, the company has managed EBITDA margins of&gt; 39% across the cycle (last 15 years) and averaging 50%.
A 100% payout results in a dividend yield of 3.5%. We believe there is a price for everything, and in the event of a 20% correction, it would be attractive.


China

Zijin Mining Group Co., Ltd., through its subsidiaries, explores, mines, produces, refines, and sells gold and other mineral resources in China.

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Zijin Mining Group Co Ltd H (2899 HK)

HSCEI Index Rebalance: Zijin Mining In; Xinyi Solar Out; SenseTime Survives (For Now)

Zijin Mining will replace Xinyi Glass in the HSCEI at the close on 7 June. Zijin Mining has jumped over the last few months but still trades...

Brian Freitas

HSCEI June 2024 Rebal - Zijin Mining (2899) ADDed, Xinyi Solar (968) DELETEd

The HSCEI Index sees one add and one delete. The ADD of Zijin was expected. Quiddity expected Xinyi Solar to be deleted, and Sensetime too, but it...

Travis Lundy

HSCEI Index Rebalance Preview: One Change or Two in June?

Announcement is in 4 trading days. Among the potential deletes, SenseTime has soared while Xinyi Glass has dropped. Zijin Mining, Beigene and PICC...

Brian Freitas

Mainland Connect NORTHBOUND Flows (To 28 June 2024): BIG Consumer Name Selling Again

NORTHBOUND net selling continues. It is dominant in the consumer names. Appliances continue to see weakness. Tech is mixed. Renewables are mixed....

Travis Lundy

Southern Copper: In a League of Its Own

We initiate on Southern Copper (SCCO US), a high-quality copper play with assets in Peru and Mexico. Its long term ROCE >22% makes its a very...

Sameer Taneja

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