In today’s briefing:
- HSCEI Index Rebalance Preview: Two Changes Likely in September
- HSTECH Index Rebalance Preview (Sep): One Change or Two?
- CPSE / CNXBANK Index Rebalance Preview: Capping Changes in June
- STAR50 Index Rebalance Preview: One High Probability Change; One ‘It Depends’
- Gap Trades of Small Cap Korean Pref Vs Common Shares
- China A-Shares: Stock Positioning Chart Pack
- Japan Weekly | Japan Rally – Toyota, ASICS, Nikon
- Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, STAR50, KOSDAQ150, CPSE/CNXBANK, Kenedix Merger
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-A Rising Tide Lifts All Boats
- Almac IPO Bookbuilding Results Analysis
HSCEI Index Rebalance Preview: Two Changes Likely in September
- Trip.com (9961 HK) and Chow Tai Fook Jewellery (1929 HK) could replace Country Garden Services Holdings (6098 HK) and Zhongsheng Group (881 HK) at the upcoming rebalance in September.
- Estimated one-way turnover at the rebalance is 1.2% resulting in a one-way trade of HK$744m. The official capping will be done based on closing prices from 29 August.
- Short interest has been rising on the potential adds and short covering could take the stocks higher, especially Chow Tai Fook Jewellery (1929 HK).
HSTECH Index Rebalance Preview (Sep): One Change or Two?
- We expect one change to the Hang Seng Tech Index (HSTECH INDEX) in September – though there could be a second change as well.
- Estimated one-way turnover is 2.13% resulting in a one-way trade of HK$2.01bn in case there are two index changes. Turnover will be lower if there is only one change.
- Short interest on some of the potential changes is over 15% of float and there could be big moves on the stocks post announcement of the changes.
CPSE / CNXBANK Index Rebalance Preview: Capping Changes in June
- The CPSE ETF (CPSEBE IN) and Nifty Bank Index (NSEBANK INDEX) will have its quarterly rebalancing at the close on 29 June.
- There are no constituent changes for the indices in June but there will be capping and float changes for the stocks and there is a reasonable impact on many stocks.
- Both indices have performed well over the recent past and active investors can take advantage of the passive flows to increase or decrease existing positions.
STAR50 Index Rebalance Preview: One High Probability Change; One ‘It Depends’
- The review period for the September rebalance ends 31 July. We expect the changes to be announced 25 August with the implementation taking place after the close on 8 September.
- We expect the index committee to continue using a 6-month minimum listing history resulting in two changes to the index.
- One way turnover is estimated at 3.45% resulting in a one-way trade of CNY 3,675m. The impact on the deletions will be larger than that on the inclusions.
Gap Trades of Small Cap Korean Pref Vs Common Shares
- In this insight, we provide gap trade opportunities among 30 small cap Korean preferred stocks with market cap of less than 100 billion won and more than 20 billion won.
- Among these 30 companies, there are some in interesting gap trade opportunities, especially among those with relatively high dividend yields (more than 5%).
- We have ranked these 30 stocks in terms of three criteria including market cap, pref/common share price ratio, and dividend yields.
China A-Shares: Stock Positioning Chart Pack
- The latest aggregate and fund level stock holding metrics among active China A-Share investors.
- CATL (A) (300750 CH) , Kweichow Moutai (600519 CH) and LONGi Green Energy Technology (601012 CH) are the most widely owned stocks in the A-Share universe
- Agricultural Bank of China (601288 CH) , Bank Of Communications (601328 CH) and Shanghai Pudong Development Bank Co. (600000 CH) mostly avoided by active A-Share Funds.
Japan Weekly | Japan Rally – Toyota, ASICS, Nikon
- The stars are aligned for a rally in the Japanese equity markets – Earnings, Activism, and Capital Allocation.
- We highlight some of the stocks that moved the market this week – Toyota excited the market with promises of Solid State battery production
- Shareholders continue to test Japanese management with a barrage of proposals
Index Rebalance & ETF Flow Recap: HSCEI, HSTECH, STAR50, KOSDAQ150, CPSE/CNXBANK, Kenedix Merger
- There were a bunch of rebalances across different index families that were implemented at the close of trading on Friday.
- The coming week is quieter though there are a couple of ad hoc rebalances for the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) and KOSDAQ 150 Index (KOSDQ150 INDEX).
- Yet another week of inflows to Tracker Fund of Hong Kong Ltd (2800 HK) as the number of units outstanding is nearly the highest over the last couple of years.
EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-A Rising Tide Lifts All Boats
- Weekly summary of vol changes and moves across Global Markets
- Analysing ATM volatility and skew changes over the last 5 days
- We suggest a few trades to take advantage of the implied vol surfaces
Almac IPO Bookbuilding Results Analysis
- Almac announced its IPO price of 50,000 won, which is 11% higher than the high end of the IPO price range. Demand ratio was very high at 1,697 to 1.
- A 98.7% of the IPO shares applied thought that the company’s value is more than 45,000 won
- Given the exceptional demand for IPO shares, it is likely that the IPO share price is likely to trade at higher end of the IPO range in our sensitivity analysis.
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